# EDGAR Filing Document

**Accession Number:** 0001496998
**File Stem:** 0001193125-26-027711
**Filing Date:** 2026-1
**Character Count:** 595458
**Document Hash:** 2b7eed1327f39848ddc832383745de26
**Contains OCR:** False
**Source Format:** 

## Filing Content

## Filing Summary
**0001193125-26-027711.hdr.sgml**: 20260129

**ACCESSION NUMBER**: 0001193125-26-027711

**CONFORMED SUBMISSION TYPE**: NPORT-P

**PUBLIC DOCUMENT COUNT**: 3

**CONFORMED PERIOD OF REPORT**: 20251130

**FILED AS OF DATE**: 20260129

**DATE AS OF CHANGE**: 20260128

**PERIOD START**: 20260831

**FILER**: 

**COMPANY DATA:**
- **COMPANY CONFORMED NAME:** AMERICAN FUNDS MORTGAGE FUND
- **CENTRAL INDEX KEY:** 0001496998

**ORGANIZATION NAME:**
- **EIN:** 273101898
- **FISCAL YEAR END:** 0831

**FILING VALUES:**
- **FORM TYPE:** NPORT-P
- **SEC ACT:** 1940 Act
- **SEC FILE NUMBER:** 811-22449
- **FILM NUMBER:** 26573953

**BUSINESS ADDRESS:**
- **STREET 1:** 6455 IRVINE CENTER DRIVE
- **CITY:** IRVINE
- **STATE:** CA
- **ZIP:** 92618
- **BUSINESS PHONE:** 213-486-9501

**MAIL ADDRESS:**
- **STREET 1:** 333 S HOPE ST - 55TH FLOOR
- **CITY:** LOS ANGELES
- **STATE:** CA
- **ZIP:** 90071

## Series and Classes Contracts Data

### AMERICAN FUNDS MORTGAGE FUND (Series ID: S000030190)

| Class ID   | Class Name    | Ticker Symbol   |
|:---|:---|:---|
| C000092896 | Class A       | MFAAX           |
| C000092897 | Class 529-F-1 | CMFFX           |
| C000092898 | Class R-1     | RMAAX           |
| C000092899 | Class R-2     | RMABX           |
| C000092900 | Class R-3     | RMACX           |
| C000092901 | Class R-4     | RMAEX           |
| C000092902 | Class R-5     | RMAFX           |
| C000092903 | Class R-6     | RMAGX           |
| C000092905 | Class C       | MFACX           |
| C000092906 | Class F-1     | MFAEX           |
| C000092907 | Class F-2     | MFAFX           |
| C000092908 | Class 529-A   | CMFAX           |
| C000092910 | Class 529-C   | CMFCX           |
| C000092911 | Class 529-E   | CMFEX           |
| C000148445 | Class R-2E    | RMBEX           |
| C000164806 | Class R-5E    | RMAHX           |
| C000180009 | Class F-3     | AFFMX           |
| C000189492 | Class 529-T   | TMFMX           |
| C000189493 | Class T       | TFMFX           |
| C000224553 | Class 529-F-2 | FFMFX           |
| C000224554 | Class 529-F-3 | FMMFX           |

## Nport-Ex

![](imgc193757c1.jpg)

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;

**American Funds Mortgage Fund**<sup>®</sup>

Investment portfolio

November 30, 2025

**unaudited**

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;

---

| | | |
|:---|:---|:---|
| Bonds, notes & other debt instruments 87.28%<br> **Mortgage-backed obligations 80.29%**<br> **Federal agency mortgage-backed obligations 79.00%**<br>| Principal amount<br> (000)<br>| Value<br> (000)<br>|
| Fannie Mae Pool #745316 6.50% 2/1/2026 <sup>(a)</sup>  | USD—<br> <sup>(b)</sup><br>| $— <br><sup>(b)</sup><br>|
| Fannie Mae Pool #256310 6.50% 7/1/2026 <sup>(a)</sup>  | —<br> <sup>(b)</sup><br>| — <br><sup>(b)</sup><br>|
| Fannie Mae Pool #928689 6.50% 9/1/2027 <sup>(a)</sup>  | 1 | 1 |
| Fannie Mae Pool #AD0838 6.50% 10/1/2027 <sup>(a)</sup>  | —<br> <sup>(b)</sup><br>| — <br><sup>(b)</sup><br>|
| Fannie Mae Pool #928957 6.50% 12/1/2027 <sup>(a)</sup>  | 1 | 1 |
| Fannie Mae Pool #AL9724 6.50% 2/1/2028 <sup>(a)</sup>  | 1 | 1 |
| Fannie Mae Pool #AY1948 3.50% 1/1/2030 <sup>(a)</sup>  | 25 | 25 |
| Fannie Mae Pool #AZ0554 3.50% 10/1/2030 <sup>(a)</sup>  | 38 | 38 |
| Fannie Mae Pool #613025 6.50% 7/1/2031 <sup>(a)</sup>  | 3 | 4 |
| Fannie Mae Pool #BJ4876 3.00% 2/1/2033 <sup>(a)</sup>  | 229 | 223 |
| Fannie Mae Pool #BJ4856 3.00% 2/1/2033 <sup>(a)</sup>  | 60 | 58 |
| Fannie Mae Pool #BM3919 3.00% 2/1/2033 <sup>(a)</sup>  | 5 | 5 |
| Fannie Mae Pool #695412 5.00% 6/1/2033 <sup>(a)</sup>  | 1 | 1 |
| Fannie Mae Pool #CA2106 3.50% 7/1/2033 <sup>(a)</sup>  | 6 | 6 |
| Fannie Mae Pool #MA1640 2.50% 9/1/2033 <sup>(a)</sup>  | 422 | 402 |
| Fannie Mae Pool #AU7556 3.00% 9/1/2033 <sup>(a)</sup>  | 247 | 236 |
| Fannie Mae Pool #BJ9000 3.50% 11/1/2033 <sup>(a)</sup>  | 64 | 63 |
| Fannie Mae Pool #BO6247 2.50% 12/1/2034 <sup>(a)</sup>  | 3115 | 2974 |
| Fannie Mae Pool #FM2499 2.50% 2/1/2035 <sup>(a)</sup>  | 6097 | 5828 |
| Fannie Mae Pool #745001 6.50% 9/1/2035 <sup>(a)</sup>  | 12 | 13 |
| Fannie Mae Pool #AD3566 5.00% 10/1/2035 <sup>(a)</sup>  | 9 | 9 |
| Fannie Mae Pool #AS7224 4.00% 5/1/2036 <sup>(a)</sup>  | 992 | 981 |
| Fannie Mae Pool #MA2630 4.00% 5/1/2036 <sup>(a)</sup>  | 191 | 190 |
| Fannie Mae Pool #MA2717 4.00% 8/1/2036 <sup>(a)</sup>  | 904 | 899 |
| Fannie Mae Pool #MA2746 4.00% 9/1/2036 <sup>(a)</sup>  | 1702 | 1693 |
| Fannie Mae Pool #MA2787 4.00% 10/1/2036 <sup>(a)</sup>  | 423 | 420 |
| Fannie Mae Pool #CB2247 2.50% 11/1/2036 <sup>(a)</sup>  | 2864 | 2711 |
| Fannie Mae Pool #MA2819 4.00% 11/1/2036 <sup>(a)</sup>  | 820 | 816 |
| Fannie Mae Pool #801783 6.50% 2/1/2037 <sup>(a)</sup>  | 4 | 5 |
| Fannie Mae Pool #CB3701 2.50% 5/1/2037 <sup>(a)</sup>  | 23 | 22 |
| Fannie Mae Pool #MA4665 2.50% 7/1/2037 <sup>(a)</sup>  | 657 | 622 |
| Fannie Mae Pool #MA3099 4.00% 8/1/2037 <sup>(a)</sup>  | 1209 | 1204 |
| Fannie Mae Pool #MA4773 2.50% 10/1/2037 <sup>(a)</sup>  | 179 | 169 |
| Fannie Mae Pool #MA3186 4.00% 11/1/2037 <sup>(a)</sup>  | 2524 | 2504 |
| Fannie Mae Pool #931768 5.00% 8/1/2039 <sup>(a)</sup>  | 14 | 14 |
| Fannie Mae Pool #AC0794 5.00% 10/1/2039 <sup>(a)</sup>  | 56 | 58 |
| Fannie Mae Pool #AD1823 5.00% 2/1/2040 <sup>(a)</sup>  | 377 | 377 |
| Fannie Mae Pool #932606 5.00% 2/1/2040 <sup>(a)</sup>  | 23 | 24 |
| Fannie Mae Pool #BQ7816 1.50% 4/1/2041 <sup>(a)</sup>  | 17554 | 14993 |
| Fannie Mae Pool #BR0986 1.50% 5/1/2041 <sup>(a)</sup>  | 23013 | 19650 |
| Fannie Mae Pool #AE1248 5.00% 6/1/2041 <sup>(a)</sup>  | 103 | 106 |
| Fannie Mae Pool #MA4387 2.00% 7/1/2041 <sup>(a)</sup>  | 288 | 255 |
| Fannie Mae Pool #MA4388 2.50% 7/1/2041 <sup>(a)</sup>  | 5730 | 5165 |
| Fannie Mae Pool #MA4447 2.50% 10/1/2041 <sup>(a)</sup>  | 12114 | 10938 |
| Fannie Mae Pool #FM9117 2.50% 10/1/2041 <sup>(a)</sup>  | 6819 | 6174 |

---

American Funds Mortgage Fund — Page 1 of 27

------

**unaudited**

---

| | | |
|:---|:---|:---|
| Bonds, notes & other debt instruments (continued)<br> **Mortgage-backed obligations (continued)**<br> **Federal agency mortgage-backed obligations (continued)**<br>| Principal amount<br> (000)<br>| Value<br> (000)<br>|
| Fannie Mae Pool #AJ1873 4.00% 10/1/2041 <sup>(a)</sup>  | USD47 | $46 |
| Fannie Mae Pool #AE1277 5.00% 11/1/2041 <sup>(a)</sup>  | 43 | 45 |
| Fannie Mae Pool #MA4502 2.50% 12/1/2041 <sup>(a)</sup>  | 13629 | 12323 |
| Fannie Mae Pool #AE1283 5.00% 12/1/2041 <sup>(a)</sup>  | 21 | 21 |
| Fannie Mae Pool #MA4521 2.50% 1/1/2042 <sup>(a)</sup>  | 17282 | 15625 |
| Fannie Mae Pool #MA4540 2.00% 2/1/2042 <sup>(a)</sup>  | 6260 | 5502 |
| Fannie Mae Pool #AE1290 5.00% 2/1/2042 <sup>(a)</sup>  | 60 | 61 |
| Fannie Mae Pool #MA4570 2.00% 3/1/2042 <sup>(a)</sup>  | 7907 | 6945 |
| Fannie Mae Pool #MA4586 2.00% 4/1/2042 <sup>(a)</sup>  | 2198 | 1930 |
| Fannie Mae Pool #AR1512 3.50% 1/1/2043 <sup>(a)</sup>  | 118 | 113 |
| Fannie Mae Pool #AT0412 3.50% 3/1/2043 <sup>(a)</sup>  | 55 | 52 |
| Fannie Mae Pool #AT0300 3.50% 3/1/2043 <sup>(a)</sup>  | 15 | 15 |
| Fannie Mae Pool #AT7457 3.025% 4/1/2043 <sup>(a)</sup>  | 156 | 145 |
| Fannie Mae Pool #AT3954 3.50% 4/1/2043 <sup>(a)</sup>  | 22 | 21 |
| Fannie Mae Pool #AT7470 2.275% 5/1/2043 <sup>(a)</sup>  | 90 | 80 |
| Fannie Mae Pool #AU0626 2.275% 6/1/2043 <sup>(a)</sup>  | 148 | 129 |
| Fannie Mae Pool #AT5898 3.00% 6/1/2043 <sup>(a)</sup>  | 2554 | 2373 |
| Fannie Mae Pool #AL3829 3.50% 6/1/2043 <sup>(a)</sup>  | 968 | 927 |
| Fannie Mae Pool #AT7161 3.50% 6/1/2043 <sup>(a)</sup>  | 322 | 307 |
| Fannie Mae Pool #AU8120 2.275% 7/1/2043 <sup>(a)</sup>  | 65 | 56 |
| Fannie Mae Pool #AU8121 2.275% 8/1/2043 <sup>(a)</sup>  | 81 | 71 |
| Fannie Mae Pool #MA1583 4.00% 9/1/2043 <sup>(a)</sup>  | 1590 | 1557 |
| Fannie Mae Pool #AX8521 3.50% 12/1/2044 <sup>(a)</sup>  | 68 | 65 |
| Fannie Mae Pool #AY1829 3.50% 12/1/2044 <sup>(a)</sup>  | 26 | 25 |
| Fannie Mae Pool #BE5009 3.50% 1/1/2045 <sup>(a)</sup>  | 293 | 280 |
| Fannie Mae Pool #BE5017 3.50% 2/1/2045 <sup>(a)</sup>  | 581 | 553 |
| Fannie Mae Pool #MA5696 7.00% 3/1/2045 <sup>(a)</sup>  | 3985 | 4182 |
| Fannie Mae Pool #FM9416 3.50% 7/1/2045 <sup>(a)</sup>  | 948 | 901 |
| Fannie Mae Pool #AS8310 3.00% 11/1/2046 <sup>(a)</sup>  | 620 | 572 |
| Fannie Mae Pool #BD2440 3.50% 1/1/2047 <sup>(a)</sup>  | 291 | 276 |
| Fannie Mae Pool #FS3767 2.00% 4/1/2047 <sup>(a)</sup>  | 6456 | 5382 |
| Fannie Mae Pool #BM1179 3.00% 4/1/2047 <sup>(a)</sup>  | 760 | 700 |
| Fannie Mae Pool #MA3002 4.50% 4/1/2047 <sup>(a)</sup>  | 582 | 561 |
| Fannie Mae Pool #BE8740 3.50% 5/1/2047 <sup>(a)</sup>  | 243 | 229 |
| Fannie Mae Pool #BE8742 3.50% 5/1/2047 <sup>(a)</sup>  | 62 | 59 |
| Fannie Mae Pool #BH2846 3.50% 5/1/2047 <sup>(a)</sup>  | 35 | 34 |
| Fannie Mae Pool #BH2848 3.50% 5/1/2047 <sup>(a)</sup>  | 32 | 30 |
| Fannie Mae Pool #BH2847 3.50% 5/1/2047 <sup>(a)</sup>  | 9 | 9 |
| Fannie Mae Pool #BH3122 4.00% 6/1/2047 <sup>(a)</sup>  | 12 | 12 |
| Fannie Mae Pool #BJ5015 4.00% 12/1/2047 <sup>(a)</sup>  | 622 | 605 |
| Fannie Mae Pool #BJ4901 3.50% 3/1/2048 <sup>(a)</sup>  | 177 | 168 |
| Fannie Mae Pool #BK5232 4.00% 5/1/2048 <sup>(a)</sup>  | 147 | 143 |
| Fannie Mae Pool #BK6840 4.00% 6/1/2048 <sup>(a)</sup>  | 496 | 483 |
| Fannie Mae Pool #BK9743 4.00% 8/1/2048 <sup>(a)</sup>  | 60 | 59 |
| Fannie Mae Pool #BK9761 4.50% 8/1/2048 <sup>(a)</sup>  | 76 | 77 |
| Fannie Mae Pool #CA2850 4.00% 12/1/2048 <sup>(a)</sup>  | 894 | 875 |
| Fannie Mae Pool #BF0320 5.50% 1/1/2049 <sup>(a)</sup>  | 1553 | 1621 |
| Fannie Mae Pool #FM3280 3.50% 5/1/2049 <sup>(a)</sup>  | 248 | 236 |
| Fannie Mae Pool #FM1062 3.50% 6/1/2049 <sup>(a)</sup>  | 3628 | 3442 |
| Fannie Mae Pool #BN6708 3.50% 6/1/2049 <sup>(a)</sup>  | 989 | 937 |
| Fannie Mae Pool #BJ8411 3.50% 8/1/2049 <sup>(a)</sup>  | 946 | 895 |
| Fannie Mae Pool #CA4151 3.50% 9/1/2049 <sup>(a)</sup>  | 4841 | 4593 |
| Fannie Mae Pool #FM1443 3.50% 9/1/2049 <sup>(a)</sup>  | 2725 | 2579 |
| Fannie Mae Pool #CA5575 4.00% 4/1/2050 <sup>(a)</sup>  | 19 | 18 |

---

American Funds Mortgage Fund — Page 2 of 27

------

**unaudited**

---

| | | |
|:---|:---|:---|
| Bonds, notes & other debt instruments (continued)<br> **Mortgage-backed obligations (continued)**<br> **Federal agency mortgage-backed obligations (continued)**<br>| Principal amount<br> (000)<br>| Value<br> (000)<br>|
| Fannie Mae Pool #BP3259 3.00% 5/1/2050 <sup>(a)</sup>  | USD18 | $16 |
| Fannie Mae Pool #CA5968 2.50% 6/1/2050 <sup>(a)</sup>  | 1213 | 1054 |
| Fannie Mae Pool #BP5576 2.50% 6/1/2050 <sup>(a)</sup>  | 382 | 326 |
| Fannie Mae Pool #FS3745 2.00% 8/1/2050 <sup>(a)</sup>  | 8046 | 6604 |
| Fannie Mae Pool #CA6593 2.50% 8/1/2050 <sup>(a)</sup>  | 3641 | 3169 |
| Fannie Mae Pool #CA6987 2.00% 9/1/2050 <sup>(a)</sup>  | 2784 | 2268 |
| Fannie Mae Pool #BP6715 2.00% 9/1/2050 <sup>(a)</sup>  | 1 | 1 |
| Fannie Mae Pool #FP0015 2.50% 9/1/2050 <sup>(a)</sup>  | 4 | 4 |
| Fannie Mae Pool #CA7052 3.00% 9/1/2050 <sup>(a)</sup>  | 450 | 404 |
| Fannie Mae Pool #FM4591 2.50% 10/1/2050 <sup>(a)</sup>  | 15207 | 12977 |
| Fannie Mae Pool #FP0034 2.50% 10/1/2050 <sup>(a)</sup>  | 99 | 85 |
| Fannie Mae Pool #FM4870 2.00% 11/1/2050 <sup>(a)</sup>  | 33 | 27 |
| Fannie Mae Pool #CA7737 2.50% 11/1/2050 <sup>(a)</sup>  | 36037 | 31109 |
| Fannie Mae Pool #BQ7564 2.50% 11/1/2050 <sup>(a)</sup>  | 60 | 51 |
| Fannie Mae Pool #CA8108 2.00% 12/1/2050 <sup>(a)</sup>  | 12646 | 10429 |
| Fannie Mae Pool #MA4208 2.00% 12/1/2050 <sup>(a)</sup>  | 853 | 700 |
| Fannie Mae Pool #CA8044 2.50% 12/1/2050 <sup>(a)</sup>  | 26019 | 22380 |
| Fannie Mae Pool #FS9792 4.50% 12/1/2050 <sup>(a)</sup>  | 2568 | 2560 |
| Fannie Mae Pool #BR1283 2.00% 1/1/2051 <sup>(a)</sup>  | 1451 | 1184 |
| Fannie Mae Pool #MA4237 2.00% 1/1/2051 <sup>(a)</sup>  | 751 | 616 |
| Fannie Mae Pool #CA8517 2.00% 1/1/2051 <sup>(a)</sup>  | 48 | 39 |
| Fannie Mae Pool #CA8862 2.50% 1/1/2051 <sup>(a)</sup>  | 29170 | 25254 |
| Fannie Mae Pool #CA8820 2.00% 2/1/2051 <sup>(a)</sup>  | 26452 | 21814 |
| Fannie Mae Pool #FS7385 2.00% 2/1/2051 <sup>(a)</sup>  | 914 | 745 |
| Fannie Mae Pool #FM6332 2.00% 2/1/2051 <sup>(a)</sup>  | 880 | 717 |
| Fannie Mae Pool #FM6112 2.50% 2/1/2051 <sup>(a)</sup>  | 26492 | 22732 |
| Fannie Mae Pool #CA8828 2.50% 2/1/2051 <sup>(a)</sup>  | 24561 | 21262 |
| Fannie Mae Pool #FM6128 2.50% 2/1/2051 <sup>(a)</sup>  | 418 | 356 |
| Fannie Mae Pool #FM6558 2.00% 3/1/2051 <sup>(a)</sup>  | 3958 | 3225 |
| Fannie Mae Pool #FS6474 2.00% 3/1/2051 <sup>(a)</sup>  | 1795 | 1465 |
| Fannie Mae Pool #FM6556 2.00% 3/1/2051 <sup>(a)</sup>  | 696 | 567 |
| Fannie Mae Pool #BQ9471 2.50% 3/1/2051 <sup>(a)</sup>  | 3305 | 2820 |
| Fannie Mae Pool #BQ7729 2.50% 3/1/2051 <sup>(a)</sup>  | 702 | 598 |
| Fannie Mae Pool #CB0290 2.00% 4/1/2051 <sup>(a)</sup>  | 5723 | 4694 |
| Fannie Mae Pool #FM7210 2.00% 4/1/2051 <sup>(a)</sup>  | 1451 | 1182 |
| Fannie Mae Pool #MA4305 2.00% 4/1/2051 <sup>(a)</sup>  | 40 | 33 |
| Fannie Mae Pool #FM6965 2.50% 4/1/2051 <sup>(a)</sup>  | 1749 | 1490 |
| Fannie Mae Pool #BR8460 2.50% 4/1/2051 <sup>(a)</sup>  | 354 | 301 |
| Fannie Mae Pool #CB0041 3.00% 4/1/2051 <sup>(a)</sup>  | 4837 | 4404 |
| Fannie Mae Pool #FM7071 3.00% 4/1/2051 <sup>(a)</sup>  | 924 | 823 |
| Fannie Mae Pool #CB0381 2.00% 5/1/2051 <sup>(a)</sup>  | 5943 | 4842 |
| Fannie Mae Pool #FM7751 2.00% 5/1/2051 <sup>(a)</sup>  | 1236 | 1007 |
| Fannie Mae Pool #FM7411 2.00% 5/1/2051 <sup>(a)</sup>  | 973 | 793 |
| Fannie Mae Pool #BR1035 2.00% 5/1/2051 <sup>(a)</sup>  | 24 | 20 |
| Fannie Mae Pool #CB0457 2.50% 5/1/2051 <sup>(a)</sup>  | 4392 | 3777 |
| Fannie Mae Pool #FM7304 2.50% 5/1/2051 <sup>(a)</sup>  | 4350 | 3706 |
| Fannie Mae Pool #CB0455 2.50% 5/1/2051 <sup>(a)</sup>  | 705 | 604 |
| Fannie Mae Pool #BR9324 2.50% 5/1/2051 <sup>(a)</sup>  | 499 | 425 |
| Fannie Mae Pool #FM7409 2.50% 5/1/2051 <sup>(a)</sup>  | 81 | 69 |
| Fannie Mae Pool #CB0535 3.00% 5/1/2051 <sup>(a)</sup>  | 32 | 28 |
| Fannie Mae Pool #FM8114 2.00% 6/1/2051 <sup>(a)</sup>  | 3197 | 2605 |
| Fannie Mae Pool #CB0844 2.50% 6/1/2051 <sup>(a)</sup>  | 771 | 657 |
| Fannie Mae Pool #CB0737 3.00% 6/1/2051 <sup>(a)</sup>  | 6910 | 6201 |
| Fannie Mae Pool #CB0850 3.00% 6/1/2051 <sup>(a)</sup>  | 4438 | 3993 |

---

American Funds Mortgage Fund — Page 3 of 27

------

**unaudited**

---

| | | |
|:---|:---|:---|
| Bonds, notes & other debt instruments (continued)<br> **Mortgage-backed obligations (continued)**<br> **Federal agency mortgage-backed obligations (continued)**<br>| Principal amount<br> (000)<br>| Value<br> (000)<br>|
| Fannie Mae Pool #BT1267 3.00% 6/1/2051 <sup>(a)</sup>  | USD24 | $22 |
| Fannie Mae Pool #CB0738 3.00% 6/1/2051 <sup>(a)</sup>  | 19 | 17 |
| Fannie Mae Pool #FS3744 2.00% 7/1/2051 <sup>(a)</sup>  | 23899 | 19613 |
| Fannie Mae Pool #CB1186 2.00% 7/1/2051 <sup>(a)</sup>  | 9822 | 8049 |
| Fannie Mae Pool #FM7943 2.00% 7/1/2051 <sup>(a)</sup>  | 457 | 372 |
| Fannie Mae Pool #FM7900 2.50% 7/1/2051 <sup>(a)</sup>  | 1868 | 1626 |
| Fannie Mae Pool #FM8203 2.50% 7/1/2051 <sup>(a)</sup>  | 1487 | 1266 |
| Fannie Mae Pool #CB1134 2.50% 7/1/2051 <sup>(a)</sup>  | 1094 | 932 |
| Fannie Mae Pool #FM9330 3.00% 7/1/2051 <sup>(a)</sup>  | 27949 | 25103 |
| Fannie Mae Pool #CB0998 3.00% 7/1/2051 <sup>(a)</sup>  | 4932 | 4386 |
| Fannie Mae Pool #BT5004 3.00% 7/1/2051 <sup>(a)</sup>  | 288 | 256 |
| Fannie Mae Pool #FM8197 2.00% 8/1/2051 <sup>(a)</sup>  | 464 | 378 |
| Fannie Mae Pool #CB1394 2.50% 8/1/2051 <sup>(a)</sup>  | 390 | 333 |
| Fannie Mae Pool #BT7309 2.00% 9/1/2051 <sup>(a)</sup>  | 940 | 766 |
| Fannie Mae Pool #CB1527 2.50% 9/1/2051 <sup>(a)</sup>  | 32468 | 27901 |
| Fannie Mae Pool #FM8658 2.50% 9/1/2051 <sup>(a)</sup>  | 879 | 750 |
| Fannie Mae Pool #FM8745 2.50% 9/1/2051 <sup>(a)</sup>  | 146 | 124 |
| Fannie Mae Pool #FM9067 2.50% 10/1/2051 <sup>(a)</sup>  | 561 | 479 |
| Fannie Mae Pool #CA9558 2.50% 10/1/2051 <sup>(a)</sup>  | 58 | 49 |
| Fannie Mae Pool #FM8981 3.00% 10/1/2051 <sup>(a)</sup>  | 26116 | 23436 |
| Fannie Mae Pool #FS4628 3.00% 10/1/2051 <sup>(a)</sup>  | 6668 | 5979 |
| Fannie Mae Pool #MA4465 2.00% 11/1/2051 <sup>(a)</sup>  | 2739 | 2245 |
| Fannie Mae Pool #FS0394 2.00% 11/1/2051 <sup>(a)</sup>  | 2028 | 1656 |
| Fannie Mae Pool #FS0965 2.00% 11/1/2051 <sup>(a)</sup>  | 184 | 150 |
| Fannie Mae Pool #CB2092 2.50% 11/1/2051 <sup>(a)</sup>  | 14729 | 12547 |
| Fannie Mae Pool #FM9492 2.50% 11/1/2051 <sup>(a)</sup>  | 10037 | 8731 |
| Fannie Mae Pool #FM9694 2.50% 11/1/2051 <sup>(a)</sup>  | 4720 | 4122 |
| Fannie Mae Pool #CB2088 2.50% 11/1/2051 <sup>(a)</sup>  | 97 | 83 |
| Fannie Mae Pool #CB2095 3.00% 11/1/2051 <sup>(a)</sup>  | 8691 | 7747 |
| Fannie Mae Pool #CB2096 3.00% 11/1/2051 <sup>(a)</sup>  | 1013 | 902 |
| Fannie Mae Pool #FS0354 2.00% 12/1/2051 <sup>(a)</sup>  | 940 | 768 |
| Fannie Mae Pool #CB2361 2.00% 12/1/2051 <sup>(a)</sup>  | 380 | 310 |
| Fannie Mae Pool #FM9930 2.00% 12/1/2051 <sup>(a)</sup>  | 77 | 63 |
| Fannie Mae Pool #FS0433 2.50% 12/1/2051 <sup>(a)</sup>  | 28049 | 24656 |
| Fannie Mae Pool #FS2824 2.50% 12/1/2051 <sup>(a)</sup>  | 6943 | 5914 |
| Fannie Mae Pool #FM9804 2.50% 12/1/2051 <sup>(a)</sup>  | 5184 | 4519 |
| Fannie Mae Pool #CB2286 2.50% 12/1/2051 <sup>(a)</sup>  | 5117 | 4425 |
| Fannie Mae Pool #CB2400 2.50% 12/1/2051 <sup>(a)</sup>  | 868 | 741 |
| Fannie Mae Pool #FM9976 3.00% 12/1/2051 <sup>(a)</sup>  | 6965 | 6348 |
| Fannie Mae Pool #FM9921 3.00% 12/1/2051 <sup>(a)</sup>  | 3970 | 3533 |
| Fannie Mae Pool #BV1172 3.00% 12/1/2051 <sup>(a)</sup>  | 32 | 29 |
| Fannie Mae Pool #BU9528 3.50% 12/1/2051 <sup>(a)</sup>  | 30 | 28 |
| Fannie Mae Pool #FS0490 2.00% 1/1/2052 <sup>(a)</sup>  | 30 | 25 |
| Fannie Mae Pool #FS4203 2.50% 1/1/2052 <sup>(a)</sup>  | 9701 | 8264 |
| Fannie Mae Pool #CB2644 2.50% 1/1/2052 <sup>(a)</sup>  | 2244 | 1912 |
| Fannie Mae Pool #FS6479 2.50% 1/1/2052 <sup>(a)</sup>  | 168 | 143 |
| Fannie Mae Pool #CB2639 2.50% 1/1/2052 <sup>(a)</sup>  | 21 | 18 |
| Fannie Mae Pool #CB2544 3.00% 1/1/2052 <sup>(a)</sup>  | 14816 | 13343 |
| Fannie Mae Pool #CB2666 3.00% 1/1/2052 <sup>(a)</sup>  | 9590 | 8530 |
| Fannie Mae Pool #BV0273 3.00% 1/1/2052 <sup>(a)</sup>  | 918 | 816 |
| Fannie Mae Pool #BV3080 2.00% 2/1/2052 <sup>(a)</sup>  | 30978 | 25317 |
| Fannie Mae Pool #BV3076 2.00% 2/1/2052 <sup>(a)</sup>  | 9284 | 7585 |
| Fannie Mae Pool #CB2765 2.00% 2/1/2052 <sup>(a)</sup>  | 7724 | 6342 |
| Fannie Mae Pool #BT6597 2.00% 2/1/2052 <sup>(a)</sup>  | 2662 | 2174 |

---

American Funds Mortgage Fund — Page 4 of 27

------

**unaudited**

---

| | | |
|:---|:---|:---|
| Bonds, notes & other debt instruments (continued)<br> **Mortgage-backed obligations (continued)**<br> **Federal agency mortgage-backed obligations (continued)**<br>| Principal amount<br> (000)<br>| Value<br> (000)<br>|
| Fannie Mae Pool #FS4251 2.00% 2/1/2052 <sup>(a)</sup>  | USD2,056 | $1705 |
| Fannie Mae Pool #MA4547 2.00% 2/1/2052 <sup>(a)</sup>  | 2025 | 1658 |
| Fannie Mae Pool #BU8256 2.00% 2/1/2052 <sup>(a)</sup>  | 1675 | 1369 |
| Fannie Mae Pool #BT2177 2.00% 2/1/2052 <sup>(a)</sup>  | 559 | 457 |
| Fannie Mae Pool #CB2870 2.50% 2/1/2052 <sup>(a)</sup>  | 414 | 355 |
| Fannie Mae Pool #FS2660 2.50% 2/1/2052 <sup>(a)</sup>  | 89 | 76 |
| Fannie Mae Pool #FS0647 3.00% 2/1/2052 <sup>(a)</sup>  | 1266 | 1150 |
| Fannie Mae Pool #CB2896 3.00% 2/1/2052 <sup>(a)</sup>  | 977 | 869 |
| Fannie Mae Pool #BV0272 3.50% 2/1/2052 <sup>(a)</sup>  | 95 | 88 |
| Fannie Mae Pool #CB3040 2.00% 3/1/2052 <sup>(a)</sup>  | 2829 | 2311 |
| Fannie Mae Pool #BV3101 2.00% 3/1/2052 <sup>(a)</sup>  | 1634 | 1335 |
| Fannie Mae Pool #MA4562 2.00% 3/1/2052 <sup>(a)</sup>  | 813 | 666 |
| Fannie Mae Pool #FS1742 2.00% 3/1/2052 <sup>(a)</sup>  | 799 | 654 |
| Fannie Mae Pool #BT2052 2.00% 3/1/2052 <sup>(a)</sup>  | 162 | 132 |
| Fannie Mae Pool #BV4246 2.00% 3/1/2052 <sup>(a)</sup>  | 31 | 25 |
| Fannie Mae Pool #FS1978 2.50% 3/1/2052 <sup>(a)</sup>  | 11402 | 9713 |
| Fannie Mae Pool #FS5083 3.00% 3/1/2052 <sup>(a)</sup>  | 1305 | 1168 |
| Fannie Mae Pool #FA1161 3.00% 3/1/2052 <sup>(a)</sup>  | 773 | 688 |
| Fannie Mae Pool #BV4519 3.50% 3/1/2052 <sup>(a)</sup>  | 31 | 29 |
| Fannie Mae Pool #BU8882 4.00% 3/1/2052 <sup>(a)</sup>  | 4170 | 3999 |
| Fannie Mae Pool #MA4577 2.00% 4/1/2052 <sup>(a)</sup>  | 23176 | 18957 |
| Fannie Mae Pool #BU8930 2.00% 4/1/2052 <sup>(a)</sup>  | 3207 | 2625 |
| Fannie Mae Pool #CB3346 2.00% 4/1/2052 <sup>(a)</sup>  | 981 | 799 |
| Fannie Mae Pool #BV4658 2.00% 4/1/2052 <sup>(a)</sup>  | 181 | 148 |
| Fannie Mae Pool #BV4651 2.00% 4/1/2052 <sup>(a)</sup>  | 32 | 26 |
| Fannie Mae Pool #CB3260 2.50% 4/1/2052 <sup>(a)</sup>  | 793 | 678 |
| Fannie Mae Pool #FS4712 2.50% 4/1/2052 <sup>(a)</sup>  | 498 | 424 |
| Fannie Mae Pool #BV8126 2.50% 4/1/2052 <sup>(a)</sup>  | 147 | 126 |
| Fannie Mae Pool #CB3353 2.50% 4/1/2052 <sup>(a)</sup>  | 89 | 76 |
| Fannie Mae Pool #BQ7487 3.00% 4/1/2052 <sup>(a)</sup>  | 967 | 861 |
| Fannie Mae Pool #FS4198 3.00% 4/1/2052 <sup>(a)</sup>  | 453 | 404 |
| Fannie Mae Pool #CB3379 4.00% 4/1/2052 <sup>(a)</sup>  | 4552 | 4367 |
| Fannie Mae Pool #BU8948 4.00% 4/1/2052 <sup>(a)</sup>  | 37 | 36 |
| Fannie Mae Pool #FS9189 2.00% 5/1/2052 <sup>(a)</sup>  | 4527 | 3707 |
| Fannie Mae Pool #BV9643 2.00% 5/1/2052 <sup>(a)</sup>  | 2023 | 1652 |
| Fannie Mae Pool #BT7826 2.50% 5/1/2052 <sup>(a)</sup>  | 660 | 562 |
| Fannie Mae Pool #FS5387 2.50% 5/1/2052 <sup>(a)</sup>  | 171 | 145 |
| Fannie Mae Pool #BV5578 3.00% 5/1/2052 <sup>(a)</sup>  | 8884 | 7917 |
| Fannie Mae Pool #BV7243 3.00% 5/1/2052 <sup>(a)</sup>  | 3504 | 3123 |
| Fannie Mae Pool #BT8220 3.00% 5/1/2052 <sup>(a)</sup>  | 1296 | 1153 |
| Fannie Mae Pool #FS4815 3.00% 5/1/2052 <sup>(a)</sup>  | 375 | 334 |
| Fannie Mae Pool #CB3516 3.00% 5/1/2052 <sup>(a)</sup>  | 32 | 28 |
| Fannie Mae Pool #CB3780 3.50% 5/1/2052 <sup>(a)</sup>  | 2993 | 2772 |
| Fannie Mae Pool #CB3678 4.00% 5/1/2052 <sup>(a)</sup>  | 233 | 223 |
| Fannie Mae Pool #CB4021 4.00% 6/1/2052 <sup>(a)</sup>  | 9419 | 9034 |
| Fannie Mae Pool #MA4750 2.00% 7/1/2052 <sup>(a)</sup>  | 717 | 586 |
| Fannie Mae Pool #FS7879 2.50% 7/1/2052 <sup>(a)</sup>  | 101343 | 86333 |
| Fannie Mae Pool #FA2839 2.50% 7/1/2052 <sup>(a)</sup>  | 78210 | 66665 |
| Fannie Mae Pool #BW3384 3.00% 7/1/2052 <sup>(a)</sup>  | 23 | 21 |
| Fannie Mae Pool #MA4711 5.50% 7/1/2052 <sup>(a)</sup>  | 361 | 367 |
| Fannie Mae Pool #CB4357 3.00% 8/1/2052 <sup>(a)</sup>  | 994 | 884 |
| Fannie Mae Pool #BW7756 3.00% 8/1/2052 <sup>(a)</sup>  | 23 | 20 |
| Fannie Mae Pool #FS6039 3.50% 8/1/2052 <sup>(a)</sup>  | 395 | 366 |
| Fannie Mae Pool #FS6598 3.50% 8/1/2052 <sup>(a)</sup>  | 394 | 365 |

---

American Funds Mortgage Fund — Page 5 of 27

------

**unaudited**

---

| | | |
|:---|:---|:---|
| Bonds, notes & other debt instruments (continued)<br> **Mortgage-backed obligations (continued)**<br> **Federal agency mortgage-backed obligations (continued)**<br>| Principal amount<br> (000)<br>| Value<br> (000)<br>|
| Fannie Mae Pool #CB4418 5.50% 8/1/2052 <sup>(a)</sup>  | USD390 | $397 |
| Fannie Mae Pool #BW9206 5.50% 8/1/2052 <sup>(a)</sup>  | 150 | 156 |
| Fannie Mae Pool #BW1195 3.00% 9/1/2052 <sup>(a)</sup>  | 3865 | 3437 |
| Fannie Mae Pool #BW7713 4.00% 9/1/2052 <sup>(a)</sup>  | 752 | 720 |
| Fannie Mae Pool #CB5378 4.00% 9/1/2052 <sup>(a)</sup>  | 463 | 444 |
| Fannie Mae Pool #BW6230 4.00% 9/1/2052 <sup>(a)</sup>  | 272 | 260 |
| Fannie Mae Pool #CB4620 5.00% 9/1/2052 <sup>(a)</sup>  | 9243 | 9320 |
| Fannie Mae Pool #FS3056 2.00% 10/1/2052 <sup>(a)</sup>  | 4545 | 3720 |
| Fannie Mae Pool #BW7750 4.00% 10/1/2052 <sup>(a)</sup>  | 174 | 166 |
| Fannie Mae Pool #BW8987 4.00% 10/1/2052 <sup>(a)</sup>  | 165 | 158 |
| Fannie Mae Pool #CB4852 4.50% 10/1/2052 <sup>(a)</sup>  | 1810 | 1781 |
| Fannie Mae Pool #MA4785 5.00% 10/1/2052 <sup>(a)</sup>  | 3236 | 3252 |
| Fannie Mae Pool #BW1289 5.50% 10/1/2052 <sup>(a)</sup>  | 3031 | 3085 |
| Fannie Mae Pool #BW1243 5.50% 10/1/2052 <sup>(a)</sup>  | 2716 | 2765 |
| Fannie Mae Pool #BX1223 5.50% 10/1/2052 <sup>(a)</sup>  | 347 | 356 |
| Fannie Mae Pool #BX1488 5.50% 10/1/2052 <sup>(a)</sup>  | 139 | 144 |
| Fannie Mae Pool #CB5020 5.50% 10/1/2052 <sup>(a)</sup>  | 61 | 62 |
| Fannie Mae Pool #CB5118 4.00% 11/1/2052 <sup>(a)</sup>  | 473 | 454 |
| Fannie Mae Pool #MA4805 4.50% 11/1/2052 <sup>(a)</sup>  | 1157 | 1138 |
| Fannie Mae Pool #FS3256 6.00% 11/1/2052 <sup>(a)</sup>  | 63 | 65 |
| Fannie Mae Pool #BW1392 3.00% 12/1/2052 <sup>(a)</sup>  | 916 | 815 |
| Fannie Mae Pool #BW1377 4.00% 12/1/2052 <sup>(a)</sup>  | 409 | 392 |
| Fannie Mae Pool #FS3526 4.00% 12/1/2052 <sup>(a)</sup>  | 180 | 172 |
| Fannie Mae Pool #MA4842 5.50% 12/1/2052 <sup>(a)</sup>  | 4035 | 4112 |
| Fannie Mae Pool #MA4894 6.00% 1/1/2053 <sup>(a)</sup>  | 28454 | 29212 |
| Fannie Mae Pool #BX5931 6.00% 1/1/2053 <sup>(a)</sup>  | 3658 | 3763 |
| Fannie Mae Pool #CB5545 6.50% 1/1/2053 <sup>(a)</sup>  | 3598 | 3772 |
| Fannie Mae Pool #BW5132 4.00% 2/1/2053 <sup>(a)</sup>  | 557 | 534 |
| Fannie Mae Pool #MA4919 5.50% 2/1/2053 <sup>(a)</sup>  | 8239 | 8360 |
| Fannie Mae Pool #BX4108 5.50% 2/1/2053 <sup>(a)</sup>  | 731 | 743 |
| Fannie Mae Pool #BX5097 5.50% 2/1/2053 <sup>(a)</sup>  | 579 | 589 |
| Fannie Mae Pool #FS3759 6.00% 2/1/2053 <sup>(a)</sup>  | 8358 | 8722 |
| Fannie Mae Pool #MA4920 6.00% 2/1/2053 <sup>(a)</sup>  | 731 | 751 |
| Fannie Mae Pool #BW5000 4.00% 3/1/2053 <sup>(a)</sup>  | 1248 | 1197 |
| Fannie Mae Pool #FS4191 5.50% 3/1/2053 <sup>(a)</sup>  | 1635 | 1669 |
| Fannie Mae Pool #BX7779 5.50% 3/1/2053 <sup>(a)</sup>  | 725 | 739 |
| Fannie Mae Pool #BX8835 5.50% 3/1/2053 <sup>(a)</sup>  | 699 | 710 |
| Fannie Mae Pool #BX8514 5.50% 3/1/2053 <sup>(a)</sup>  | 657 | 671 |
| Fannie Mae Pool #BX8389 5.50% 3/1/2053 <sup>(a)</sup>  | 557 | 567 |
| Fannie Mae Pool #BX9427 5.50% 3/1/2053 <sup>(a)</sup>  | 198 | 202 |
| Fannie Mae Pool #MA4941 5.50% 3/1/2053 <sup>(a)</sup>  | 37 | 38 |
| Fannie Mae Pool #CB5912 6.00% 3/1/2053 <sup>(a)</sup>  | 6871 | 7102 |
| Fannie Mae Pool #MA4942 6.00% 3/1/2053 <sup>(a)</sup>  | 369 | 380 |
| Fannie Mae Pool #BX8781 6.00% 3/1/2053 <sup>(a)</sup>  | 335 | 345 |
| Fannie Mae Pool #CB6012 4.00% 4/1/2053 <sup>(a)</sup>  | 5952 | 5695 |
| Fannie Mae Pool #BX9358 4.00% 4/1/2053 <sup>(a)</sup>  | 915 | 876 |
| Fannie Mae Pool #MA4978 5.00% 4/1/2053 <sup>(a)</sup>  | 23287 | 23358 |
| Fannie Mae Pool #BX9041 5.00% 4/1/2053 <sup>(a)</sup>  | 83 | 83 |
| Fannie Mae Pool #MA4979 5.50% 4/1/2053 <sup>(a)</sup>  | 15483 | 15753 |
| Fannie Mae Pool #BY2795 5.50% 4/1/2053 <sup>(a)</sup>  | 557 | 567 |
| Fannie Mae Pool #MA4980 6.00% 4/1/2053 <sup>(a)</sup>  | 18224 | 18767 |
| Fannie Mae Pool #BX8415 6.00% 4/1/2053 <sup>(a)</sup>  | 193 | 200 |
| Fannie Mae Pool #BW5278 6.00% 4/1/2053 <sup>(a)</sup>  | 44 | 45 |
| Fannie Mae Pool #CB6131 6.50% 4/1/2053 <sup>(a)</sup>  | 14599 | 15383 |

---

American Funds Mortgage Fund — Page 6 of 27

------

**unaudited**

---

| | | |
|:---|:---|:---|
| Bonds, notes & other debt instruments (continued)<br> **Mortgage-backed obligations (continued)**<br> **Federal agency mortgage-backed obligations (continued)**<br>| Principal amount<br> (000)<br>| Value<br> (000)<br>|
| Fannie Mae Pool #CB6106 6.50% 4/1/2053 <sup>(a)</sup>  | USD4,613 | $4861 |
| Fannie Mae Pool #CB6985 4.00% 5/1/2053 <sup>(a)</sup>  | 2023 | 1939 |
| Fannie Mae Pool #MA5008 4.50% 5/1/2053 <sup>(a)</sup>  | 1810 | 1780 |
| Fannie Mae Pool #FS4563 5.00% 5/1/2053 <sup>(a)</sup>  | 4028 | 4052 |
| Fannie Mae Pool #MA5009 5.00% 5/1/2053 <sup>(a)</sup>  | 3522 | 3532 |
| Fannie Mae Pool #MA5010 5.50% 5/1/2053 <sup>(a)</sup>  | 5284 | 5375 |
| Fannie Mae Pool #FS4840 5.50% 5/1/2053 <sup>(a)</sup>  | 104 | 105 |
| Fannie Mae Pool #BY0849 5.50% 5/1/2053 <sup>(a)</sup>  | 24 | 25 |
| Fannie Mae Pool #MA5011 6.00% 5/1/2053 <sup>(a)</sup>  | 27053 | 27868 |
| Fannie Mae Pool #FS4736 6.50% 5/1/2053 <sup>(a)</sup>  | 210 | 219 |
| Fannie Mae Pool #FS6793 4.00% 6/1/2053 <sup>(a)</sup>  | 2847 | 2725 |
| Fannie Mae Pool #CB6471 4.50% 6/1/2053 <sup>(a)</sup>  | 2938 | 2888 |
| Fannie Mae Pool #MA5038 5.00% 6/1/2053 <sup>(a)</sup>  | 39850 | 39998 |
| Fannie Mae Pool #MA5039 5.50% 6/1/2053 <sup>(a)</sup>  | 38631 | 39277 |
| Fannie Mae Pool #FS5192 5.50% 6/1/2053 <sup>(a)</sup>  | 4684 | 4752 |
| Fannie Mae Pool #BY3521 5.50% 6/1/2053 <sup>(a)</sup>  | 790 | 803 |
| Fannie Mae Pool #MA5040 6.00% 6/1/2053 <sup>(a)</sup>  | 53227 | 54668 |
| Fannie Mae Pool #CB6485 6.00% 6/1/2053 <sup>(a)</sup>  | 11753 | 12079 |
| Fannie Mae Pool #FS4932 6.00% 6/1/2053 <sup>(a)</sup>  | 7636 | 7872 |
| Fannie Mae Pool #CB6486 6.00% 6/1/2053 <sup>(a)</sup>  | 7308 | 7517 |
| Fannie Mae Pool #CB6465 6.00% 6/1/2053 <sup>(a)</sup>  | 5434 | 5616 |
| Fannie Mae Pool #FS4775 6.00% 6/1/2053 <sup>(a)</sup>  | 79 | 81 |
| Fannie Mae Pool #CB6491 6.50% 6/1/2053 <sup>(a)</sup>  | 4321 | 4517 |
| Fannie Mae Pool #CB6490 6.50% 6/1/2053 <sup>(a)</sup>  | 1569 | 1631 |
| Fannie Mae Pool #CB6468 6.50% 6/1/2053 <sup>(a)</sup>  | 1200 | 1254 |
| Fannie Mae Pool #FS7823 2.00% 7/1/2053 <sup>(a)</sup>  | 4090 | 3347 |
| Fannie Mae Pool #FS9167 2.50% 7/1/2053 <sup>(a)</sup>  | 69 | 59 |
| Fannie Mae Pool #MA5130 3.00% 7/1/2053 <sup>(a)</sup>  | 3733 | 3320 |
| Fannie Mae Pool #MA5131 3.50% 7/1/2053 <sup>(a)</sup>  | 184 | 170 |
| Fannie Mae Pool #MA5070 4.50% 7/1/2053 <sup>(a)</sup>  | 2916 | 2866 |
| Fannie Mae Pool #MA5071 5.00% 7/1/2053 <sup>(a)</sup>  | 1716 | 1721 |
| Fannie Mae Pool #BY6763 5.00% 7/1/2053 <sup>(a)</sup>  | 559 | 561 |
| Fannie Mae Pool #BU4112 5.00% 7/1/2053 <sup>(a)</sup>  | 93 | 93 |
| Fannie Mae Pool #MA5072 5.50% 7/1/2053 <sup>(a)</sup>  | 35262 | 35852 |
| Fannie Mae Pool #FS5343 6.00% 7/1/2053 <sup>(a)</sup>  | 36353 | 37399 |
| Fannie Mae Pool #MA5073 6.00% 7/1/2053 <sup>(a)</sup>  | 154 | 158 |
| Fannie Mae Pool #CB6766 6.50% 7/1/2053 <sup>(a)</sup>  | 25018 | 26267 |
| Fannie Mae Pool #AS0745 3.50% 8/1/2053 <sup>(a)</sup>  | 341 | 317 |
| Fannie Mae Pool #BY8293 6.00% 8/1/2053 <sup>(a)</sup>  | 3169 | 3253 |
| Fannie Mae Pool #MA5136 4.50% 9/1/2053 <sup>(a)</sup>  | 6519 | 6399 |
| Fannie Mae Pool #FS5769 6.00% 9/1/2053 <sup>(a)</sup>  | 13350 | 13798 |
| Fannie Mae Pool #CB7122 6.00% 9/1/2053 <sup>(a)</sup>  | 3902 | 4011 |
| Fannie Mae Pool #MA5139 6.00% 9/1/2053 <sup>(a)</sup>  | 242 | 249 |
| Fannie Mae Pool #MA5166 6.00% 10/1/2053 <sup>(a)</sup>  | 18727 | 19227 |
| Fannie Mae Pool #CB7242 6.50% 10/1/2053 <sup>(a)</sup>  | 3382 | 3515 |
| Fannie Mae Pool #MA5167 6.50% 10/1/2053 <sup>(a)</sup>  | 961 | 998 |
| Fannie Mae Pool #MA5190 5.50% 11/1/2053 <sup>(a)</sup>  | 16515 | 16778 |
| Fannie Mae Pool #FS6838 5.50% 11/1/2053 <sup>(a)</sup>  | 297 | 302 |
| Fannie Mae Pool #MA5191 6.00% 11/1/2053 <sup>(a)</sup>  | 8572 | 8804 |
| Fannie Mae Pool #CB7438 6.00% 11/1/2053 <sup>(a)</sup>  | 4163 | 4281 |
| Fannie Mae Pool #CB7480 6.00% 11/1/2053 <sup>(a)</sup>  | 2871 | 2951 |
| Fannie Mae Pool #CB7426 6.50% 11/1/2053 <sup>(a)</sup>  | 4801 | 4998 |
| Fannie Mae Pool #CB7510 6.50% 11/1/2053 <sup>(a)</sup>  | 2586 | 2712 |
| Fannie Mae Pool #MA5192 6.50% 11/1/2053 <sup>(a)</sup>  | 217 | 225 |

---

American Funds Mortgage Fund — Page 7 of 27

------

**unaudited**

---

| | | |
|:---|:---|:---|
| Bonds, notes & other debt instruments (continued)<br> **Mortgage-backed obligations (continued)**<br> **Federal agency mortgage-backed obligations (continued)**<br>| Principal amount<br> (000)<br>| Value<br> (000)<br>|
| Fannie Mae Pool #MA5215 5.50% 12/1/2053 <sup>(a)</sup>  | USD5,586 | $5675 |
| Fannie Mae Pool #CB7617 6.00% 12/1/2053 <sup>(a)</sup>  | 26969 | 27724 |
| Fannie Mae Pool #MA5216 6.00% 12/1/2053 <sup>(a)</sup>  | 6806 | 6987 |
| Fannie Mae Pool #CB7626 6.50% 12/1/2053 <sup>(a)</sup>  | 3898 | 4090 |
| Fannie Mae Pool #FS6880 6.00% 1/1/2054 <sup>(a)</sup>  | 9333 | 9590 |
| Fannie Mae Pool #CB7862 6.00% 1/1/2054 <sup>(a)</sup>  | 3700 | 3804 |
| Fannie Mae Pool #MA5247 6.00% 1/1/2054 <sup>(a)</sup>  | 2312 | 2372 |
| Fannie Mae Pool #FS6873 6.50% 1/1/2054 <sup>(a)</sup>  | 21996 | 22832 |
| Fannie Mae Pool #FS6767 6.50% 1/1/2054 <sup>(a)</sup>  | 10667 | 11166 |
| Fannie Mae Pool #FS6763 6.50% 1/1/2054 <sup>(a)</sup>  | 961 | 1008 |
| Fannie Mae Pool #FS7990 4.00% 2/1/2054 <sup>(a)</sup>  | 6613 | 6334 |
| Fannie Mae Pool #FS6809 5.50% 2/1/2054 <sup>(a)</sup>  | 156 | 159 |
| Fannie Mae Pool #CB7932 6.00% 2/1/2054 <sup>(a)</sup>  | 48270 | 49637 |
| Fannie Mae Pool #FS7031 6.00% 2/1/2054 <sup>(a)</sup>  | 6557 | 6778 |
| Fannie Mae Pool #CB7933 6.50% 2/1/2054 <sup>(a)</sup>  | 17989 | 18657 |
| Fannie Mae Pool #FS7162 6.50% 2/1/2054 <sup>(a)</sup>  | 454 | 476 |
| Fannie Mae Pool #CB8143 5.50% 3/1/2054 <sup>(a)</sup>  | 23869 | 24363 |
| Fannie Mae Pool #CB8148 5.50% 3/1/2054 <sup>(a)</sup>  | 10776 | 10972 |
| Fannie Mae Pool #MA5296 5.50% 3/1/2054 <sup>(a)</sup>  | 7189 | 7294 |
| Fannie Mae Pool #CB8163 6.00% 3/1/2054 <sup>(a)</sup>  | 12556 | 12933 |
| Fannie Mae Pool #CB8168 6.00% 3/1/2054 <sup>(a)</sup>  | 8486 | 8720 |
| Fannie Mae Pool #CB8153 6.00% 3/1/2054 <sup>(a)</sup>  | 3147 | 3267 |
| Fannie Mae Pool #FS7653 6.50% 3/1/2054 <sup>(a)</sup>  | 3035 | 3183 |
| Fannie Mae Pool #MA5341 4.00% 4/1/2054 <sup>(a)</sup>  | 3733 | 3558 |
| Fannie Mae Pool #CB8337 5.50% 4/1/2054 <sup>(a)</sup>  | 27578 | 28015 |
| Fannie Mae Pool #CB8328 5.50% 4/1/2054 <sup>(a)</sup>  | 22800 | 23271 |
| Fannie Mae Pool #MA5331 5.50% 4/1/2054 <sup>(a)</sup>  | 758 | 769 |
| Fannie Mae Pool #CB8387 6.50% 4/1/2054 <sup>(a)</sup>  | 1293 | 1352 |
| Fannie Mae Pool #DB2495 6.00% 5/1/2054 <sup>(a)</sup>  | 1085 | 1112 |
| Fannie Mae Pool #MA5388 5.50% 6/1/2054 <sup>(a)</sup>  | 14382 | 14591 |
| Fannie Mae Pool #FS8131 5.50% 6/1/2054 <sup>(a)</sup>  | 1051 | 1074 |
| Fannie Mae Pool #FS8153 6.00% 6/1/2054 <sup>(a)</sup>  | 22233 | 23050 |
| Fannie Mae Pool #CB8755 6.00% 6/1/2054 <sup>(a)</sup>  | 6330 | 6514 |
| Fannie Mae Pool #FS8223 6.00% 6/1/2054 <sup>(a)</sup>  | 1861 | 1913 |
| Fannie Mae Pool #FS8219 6.00% 6/1/2054 <sup>(a)</sup>  | 1597 | 1651 |
| Fannie Mae Pool #DB6878 6.00% 6/1/2054 <sup>(a)</sup>  | 1219 | 1249 |
| Fannie Mae Pool #CB8725 6.50% 6/1/2054 <sup>(a)</sup>  | 24702 | 25634 |
| Fannie Mae Pool #FP0128 6.50% 6/1/2054 <sup>(a)</sup>  | 14719 | 15260 |
| Fannie Mae Pool #FS8229 6.50% 6/1/2054 <sup>(a)</sup>  | 8338 | 8749 |
| Fannie Mae Pool #DB5480 6.50% 6/1/2054 <sup>(a)</sup>  | 52 | 53 |
| Fannie Mae Pool #BU4699 5.50% 7/1/2054 <sup>(a)</sup>  | 4328 | 4406 |
| Fannie Mae Pool #CB8842 5.50% 7/1/2054 <sup>(a)</sup>  | 1038 | 1057 |
| Fannie Mae Pool #DB5213 5.50% 7/1/2054 <sup>(a)</sup>  | 640 | 649 |
| Fannie Mae Pool #MA5420 5.50% 7/1/2054 <sup>(a)</sup>  | 95 | 96 |
| Fannie Mae Pool #MA5421 6.00% 7/1/2054 <sup>(a)</sup>  | 33982 | 34794 |
| Fannie Mae Pool #CB8858 6.00% 7/1/2054 <sup>(a)</sup>  | 11855 | 12227 |
| Fannie Mae Pool #BU4700 6.00% 7/1/2054 <sup>(a)</sup>  | 11060 | 11381 |
| Fannie Mae Pool #FS8318 6.00% 7/1/2054 <sup>(a)</sup>  | 5345 | 5549 |
| Fannie Mae Pool #FS8591 6.00% 7/1/2054 <sup>(a)</sup>  | 4676 | 4843 |
| Fannie Mae Pool #DB5214 6.00% 7/1/2054 <sup>(a)</sup>  | 2534 | 2596 |
| Fannie Mae Pool #BU4791 6.00% 7/1/2054 <sup>(a)</sup>  | 1766 | 1809 |
| Fannie Mae Pool #DB7039 6.00% 7/1/2054 <sup>(a)</sup>  | 1365 | 1406 |
| Fannie Mae Pool #BU4707 6.00% 7/1/2054 <sup>(a)</sup>  | 1030 | 1055 |
| Fannie Mae Pool #DB6901 6.00% 7/1/2054 <sup>(a)</sup>  | 756 | 775 |

---

American Funds Mortgage Fund — Page 8 of 27

------

**unaudited**

---

| | | |
|:---|:---|:---|
| Bonds, notes & other debt instruments (continued)<br> **Mortgage-backed obligations (continued)**<br> **Federal agency mortgage-backed obligations (continued)**<br>| Principal amount<br> (000)<br>| Value<br> (000)<br>|
| Fannie Mae Pool #CB8872 6.50% 7/1/2054 <sup>(a)</sup>  | USD36,938 | $38465 |
| Fannie Mae Pool #FS8619 6.50% 7/1/2054 <sup>(a)</sup>  | 18642 | 19558 |
| Fannie Mae Pool #CB8876 6.50% 7/1/2054 <sup>(a)</sup>  | 11004 | 11456 |
| Fannie Mae Pool #FS8607 6.50% 7/1/2054 <sup>(a)</sup>  | 10163 | 10663 |
| Fannie Mae Pool #FS8317 6.50% 7/1/2054 <sup>(a)</sup>  | 5501 | 5772 |
| Fannie Mae Pool #FS8786 6.50% 7/1/2054 <sup>(a)</sup>  | 1946 | 2032 |
| Fannie Mae Pool #CB8977 5.00% 8/1/2054 <sup>(a)</sup>  | 245 | 246 |
| Fannie Mae Pool #MA5445 6.00% 8/1/2054 <sup>(a)</sup>  | 17123 | 17542 |
| Fannie Mae Pool #FS8795 6.00% 8/1/2054 <sup>(a)</sup>  | 7129 | 7308 |
| Fannie Mae Pool #FS8757 6.00% 8/1/2054 <sup>(a)</sup>  | 4938 | 5115 |
| Fannie Mae Pool #DC0299 6.00% 8/1/2054 <sup>(a)</sup>  | 2881 | 2956 |
| Fannie Mae Pool #DB7692 6.00% 8/1/2054 <sup>(a)</sup>  | 2793 | 2871 |
| Fannie Mae Pool #FS8792 6.00% 8/1/2054 <sup>(a)</sup>  | 2653 | 2729 |
| Fannie Mae Pool #BU4916 6.00% 8/1/2054 <sup>(a)</sup>  | 2349 | 2414 |
| Fannie Mae Pool #FS8756 6.00% 8/1/2054 <sup>(a)</sup>  | 2041 | 2104 |
| Fannie Mae Pool #FS8758 6.00% 8/1/2054 <sup>(a)</sup>  | 1718 | 1765 |
| Fannie Mae Pool #DB7687 6.00% 8/1/2054 <sup>(a)</sup>  | 675 | 698 |
| Fannie Mae Pool #BU4968 6.00% 8/1/2054 <sup>(a)</sup>  | 628 | 644 |
| Fannie Mae Pool #DB7792 6.00% 8/1/2054 <sup>(a)</sup>  | 623 | 639 |
| Fannie Mae Pool #DB7690 6.00% 8/1/2054 <sup>(a)</sup>  | 573 | 593 |
| Fannie Mae Pool #DC0296 6.00% 8/1/2054 <sup>(a)</sup>  | 522 | 542 |
| Fannie Mae Pool #DC1075 6.00% 8/1/2054 <sup>(a)</sup>  | 277 | 284 |
| Fannie Mae Pool #CB9071 6.50% 8/1/2054 <sup>(a)</sup>  | 13999 | 14605 |
| Fannie Mae Pool #FS8934 6.50% 8/1/2054 <sup>(a)</sup>  | 10918 | 11444 |
| Fannie Mae Pool #FS8788 6.50% 8/1/2054 <sup>(a)</sup>  | 8457 | 8855 |
| Fannie Mae Pool #FS8783 6.50% 8/1/2054 <sup>(a)</sup>  | 6081 | 6380 |
| Fannie Mae Pool #MA5446 6.50% 8/1/2054 <sup>(a)</sup>  | 1396 | 1447 |
| Fannie Mae Pool #CB9210 5.50% 9/1/2054 <sup>(a)</sup>  | 11109 | 11277 |
| Fannie Mae Pool #FS9025 5.50% 9/1/2054 <sup>(a)</sup>  | 8428 | 8611 |
| Fannie Mae Pool #FS9001 5.50% 9/1/2054 <sup>(a)</sup>  | 7041 | 7215 |
| Fannie Mae Pool #MA5470 5.50% 9/1/2054 <sup>(a)</sup>  | 6438 | 6525 |
| Fannie Mae Pool #CB9146 5.50% 9/1/2054 <sup>(a)</sup>  | 6280 | 6393 |
| Fannie Mae Pool #BU4946 5.50% 9/1/2054 <sup>(a)</sup>  | 37 | 37 |
| Fannie Mae Pool #FS8866 6.00% 9/1/2054 <sup>(a)</sup>  | 3173 | 3272 |
| Fannie Mae Pool #DC3262 6.00% 9/1/2054 <sup>(a)</sup>  | 377 | 386 |
| Fannie Mae Pool #DC3459 6.00% 9/1/2054 <sup>(a)</sup>  | 191 | 196 |
| Fannie Mae Pool #DC1873 6.00% 9/1/2054 <sup>(a)</sup>  | 9 | 9 |
| Fannie Mae Pool #MA5472 6.50% 9/1/2054 <sup>(a)</sup>  | 4224 | 4378 |
| Fannie Mae Pool #DC2687 4.00% 10/1/2054 <sup>(a)</sup>  | 399 | 380 |
| Fannie Mae Pool #DC1613 5.50% 10/1/2054 <sup>(a)</sup>  | 4340 | 4398 |
| Fannie Mae Pool #DC1777 5.50% 10/1/2054 <sup>(a)</sup>  | 2410 | 2452 |
| Fannie Mae Pool #DC4451 5.50% 10/1/2054 <sup>(a)</sup>  | 1763 | 1793 |
| Fannie Mae Pool #MA5498 6.00% 10/1/2054 <sup>(a)</sup>  | 7584 | 7775 |
| Fannie Mae Pool #BU5166 6.00% 10/1/2054 <sup>(a)</sup>  | 7531 | 7747 |
| Fannie Mae Pool #BU5049 6.50% 10/1/2054 <sup>(a)</sup>  | 4291 | 4494 |
| Fannie Mae Pool #MA5530 5.00% 11/1/2054 <sup>(a)</sup>  | 11635 | 11627 |
| Fannie Mae Pool #BU5165 5.50% 11/1/2054 <sup>(a)</sup>  | 5887 | 5985 |
| Fannie Mae Pool #MA5531 5.50% 11/1/2054 <sup>(a)</sup>  | 2577 | 2613 |
| Fannie Mae Pool #DC5696 6.00% 11/1/2054 <sup>(a)</sup>  | 23546 | 24160 |
| Fannie Mae Pool #CB9432 6.00% 11/1/2054 <sup>(a)</sup>  | 18296 | 18847 |
| Fannie Mae Pool #DC6459 6.00% 11/1/2054 <sup>(a)</sup>  | 357 | 366 |
| Fannie Mae Pool #DC3867 6.00% 11/1/2054 <sup>(a)</sup>  | 123 | 126 |
| Fannie Mae Pool #MA5550 4.00% 12/1/2054 <sup>(a)</sup>  | 16355 | 15590 |
| Fannie Mae Pool #CB9770 4.50% 12/1/2054 <sup>(a)</sup>  | 736 | 722 |

---

American Funds Mortgage Fund — Page 9 of 27

------

**unaudited**

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| | | |
|:---|:---|:---|
| Bonds, notes & other debt instruments (continued)<br> **Mortgage-backed obligations (continued)**<br> **Federal agency mortgage-backed obligations (continued)**<br>| Principal amount<br> (000)<br>| Value<br> (000)<br>|
| Fannie Mae Pool #CB9768 4.50% 12/1/2054 <sup>(a)</sup>  | USD266 | $260 |
| Fannie Mae Pool #BU5361 5.00% 12/1/2054 <sup>(a)</sup>  | 8840 | 8860 |
| Fannie Mae Pool #MA5552 5.00% 12/1/2054 <sup>(a)</sup>  | 98 | 98 |
| Fannie Mae Pool #CB9616 5.50% 12/1/2054 <sup>(a)</sup>  | 7086 | 7203 |
| Fannie Mae Pool #BU5234 5.50% 12/1/2054 <sup>(a)</sup>  | 4909 | 4990 |
| Fannie Mae Pool #FA0287 6.00% 12/1/2054 <sup>(a)</sup>  | 58918 | 60401 |
| Fannie Mae Pool #DC7823 6.00% 12/1/2054 <sup>(a)</sup>  | 1523 | 1561 |
| Fannie Mae Pool #DC7035 6.00% 12/1/2054 <sup>(a)</sup>  | 1456 | 1492 |
| Fannie Mae Pool #DC8824 6.00% 12/1/2054 <sup>(a)</sup>  | 686 | 704 |
| Fannie Mae Pool #FP0130 6.50% 12/1/2054 <sup>(a)</sup>  | 17820 | 18473 |
| Fannie Mae Pool #MA5583 4.00% 1/1/2055 <sup>(a)</sup>  | 319 | 304 |
| Fannie Mae Pool #CB9737 5.00% 1/1/2055 <sup>(a)</sup>  | 15638 | 15670 |
| Fannie Mae Pool #MA5587 6.00% 1/1/2055 <sup>(a)</sup>  | 23967 | 24558 |
| Fannie Mae Pool #DD0835 6.00% 1/1/2055 <sup>(a)</sup>  | 1351 | 1384 |
| Fannie Mae Pool #MA5612 4.50% 2/1/2055 <sup>(a)</sup>  | 10 | 9 |
| Fannie Mae Pool #FA0608 5.50% 2/1/2055 <sup>(a)</sup>  | 70786 | 71735 |
| Fannie Mae Pool #MA5615 6.00% 2/1/2055 <sup>(a)</sup>  | 32151 | 32938 |
| Fannie Mae Pool #FA0643 6.50% 2/1/2055 <sup>(a)</sup>  | 7501 | 7827 |
| Fannie Mae Pool #MA5643 4.00% 3/1/2055 <sup>(a)</sup>  | 7838 | 7472 |
| Fannie Mae Pool #MA5644 4.50% 3/1/2055 <sup>(a)</sup>  | 429 | 420 |
| Fannie Mae Pool #MA5647 6.00% 3/1/2055 <sup>(a)</sup>  | 20726 | 21233 |
| Fannie Mae Pool #DD3786 6.00% 3/1/2055 <sup>(a)</sup>  | 967 | 992 |
| Fannie Mae Pool #DD4340 6.00% 3/1/2055 <sup>(a)</sup>  | 399 | 409 |
| Fannie Mae Pool #FA2843 6.50% 3/1/2055 <sup>(a)</sup>  | 10666 | 11062 |
| Fannie Mae Pool #MA5649 7.00% 3/1/2055 <sup>(a)</sup>  | 27259 | 28609 |
| Fannie Mae Pool #DD9323 4.00% 4/1/2055 <sup>(a)</sup>  | 77 | 73 |
| Fannie Mae Pool #MA5671 4.50% 4/1/2055 <sup>(a)</sup>  | 454 | 444 |
| Fannie Mae Pool #MA5674 6.00% 4/1/2055 <sup>(a)</sup>  | 81017 | 83001 |
| Fannie Mae Pool #FA1162 6.00% 4/1/2055 <sup>(a)</sup>  | 288 | 295 |
| Fannie Mae Pool #DD4459 6.00% 4/1/2055 <sup>(a)</sup>  | 284 | 291 |
| Fannie Mae Pool #MB0309 4.00% 5/1/2055 <sup>(a)</sup>  | 21886 | 20858 |
| Fannie Mae Pool #MA5699 5.00% 5/1/2055 <sup>(a)</sup>  | 7222 | 7212 |
| Fannie Mae Pool #MA5701 6.00% 5/1/2055 <sup>(a)</sup>  | 101437 | 103921 |
| Fannie Mae Pool #DD8500 6.00% 5/1/2055 <sup>(a)</sup>  | 7947 | 8163 |
| Fannie Mae Pool #DD9150 6.00% 5/1/2055 <sup>(a)</sup>  | 439 | 449 |
| Fannie Mae Pool #MA5734 5.00% 6/1/2055 <sup>(a)</sup>  | 3696 | 3690 |
| Fannie Mae Pool #MA5761 6.00% 7/1/2055 <sup>(a)</sup>  | 2881 | 2952 |
| Fannie Mae Pool #DE1549 6.00% 7/1/2055 <sup>(a)</sup>  | 498 | 510 |
| Fannie Mae Pool #FA2842 6.50% 7/1/2055 <sup>(a)</sup>  | 78406 | 81339 |
| Fannie Mae Pool #MA5792 5.50% 8/1/2055 <sup>(a)</sup>  | 29822 | 30214 |
| Fannie Mae Pool #CC0859 5.50% 8/1/2055 <sup>(a)</sup>  | 4700 | 4809 |
| Fannie Mae Pool #MA5793 6.00% 8/1/2055 <sup>(a)</sup>  | 12848 | 13160 |
| Fannie Mae Pool #CC0879 6.00% 8/1/2055 <sup>(a)</sup>  | 1350 | 1401 |
| Fannie Mae Pool #FA2203 7.00% 8/1/2055 <sup>(a)</sup>  | 11438 | 11996 |
| Fannie Mae Pool #MA5846 7.00% 8/1/2055 <sup>(a)</sup>  | 2991 | 3052 |
| Fannie Mae Pool #BF0133 4.00% 8/1/2056 <sup>(a)</sup>  | 16892 | 16150 |
| Fannie Mae Pool #BF0379 3.50% 4/1/2059 <sup>(a)</sup>  | 2764 | 2541 |
| Fannie Mae Pool #BM6693 3.50% 8/1/2059 <sup>(a)</sup>  | 45939 | 42230 |
| Fannie Mae Pool #BF0481 3.50% 6/1/2060 <sup>(a)</sup>  | 1788 | 1644 |
| Fannie Mae Pool #BF0480 3.50% 6/1/2060 <sup>(a)</sup>  | 1149 | 1056 |
| Fannie Mae Pool #BF0497 3.00% 7/1/2060 <sup>(a)</sup>  | 1392 | 1218 |
| Fannie Mae Pool #BF0546 2.50% 7/1/2061 <sup>(a)</sup>  | 22478 | 18664 |
| Fannie Mae Pool #BF0585 4.50% 12/1/2061 <sup>(a)</sup>  | 3560 | 3490 |
| Fannie Mae Pool #BF0762 3.00% 9/1/2063 <sup>(a)</sup>  | 17691 | 15371 |

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American Funds Mortgage Fund — Page 10 of 27

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**unaudited**

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| | | |
|:---|:---|:---|
| Bonds, notes & other debt instruments (continued)<br> **Mortgage-backed obligations (continued)**<br> **Federal agency mortgage-backed obligations (continued)**<br>| Principal amount<br> (000)<br>| Value<br> (000)<br>|
| Fannie Mae Pool #BF0765 3.50% 9/1/2063 <sup>(a)</sup>  | USD109,566 | $99768 |
| Fannie Mae Pool #BF0784 3.50% 12/1/2063 <sup>(a)</sup>  | 5556 | 5059 |
| Fannie Mae Pool #BF0786 4.00% 12/1/2063 <sup>(a)</sup>  | 7194 | 6815 |
| Farmer Mac Agricultural Real Estate Trust, Series 2024-2, Class A1, 5.191% 8/1/2054 <sup>(a)(c)(d)</sup>  | 8245 | 8418 |
| Freddie Mac Pool #ZA1944 6.50% 6/1/2026 <sup>(a)</sup>  | —<br> <sup>(b)</sup><br>| — <br><sup>(b)</sup><br>|
| Freddie Mac Pool #ZJ9210 6.50% 11/1/2027 <sup>(a)</sup>  | —<br> <sup>(b)</sup><br>| — <br><sup>(b)</sup><br>|
| Freddie Mac Pool #ZA2045 6.50% 1/1/2028 <sup>(a)</sup>  | 2 | 2 |
| Freddie Mac Pool #ZA2066 6.50% 3/1/2028 <sup>(a)</sup>  | 6 | 6 |
| Freddie Mac Pool #ZA2096 6.50% 11/1/2028 <sup>(a)</sup>  | —<br> <sup>(b)</sup><br>| — <br><sup>(b)</sup><br>|
| Freddie Mac Pool #ZS8675 2.50% 11/1/2032 <sup>(a)</sup>  | 4 | 4 |
| Freddie Mac Pool #C91593 2.50% 12/1/2032 <sup>(a)</sup>  | 19 | 18 |
| Freddie Mac Pool #ZS0839 6.50% 12/1/2032 <sup>(a)</sup>  | 4 | 4 |
| Freddie Mac Pool #ZS8087 2.50% 4/1/2033 <sup>(a)</sup>  | 14 | 13 |
| Freddie Mac Pool #C91720 2.50% 8/1/2033 <sup>(a)</sup>  | 37 | 36 |
| Freddie Mac Pool #ZS8710 3.00% 8/1/2033 <sup>(a)</sup>  | 1 | 1 |
| Freddie Mac Pool #SB8041 3.00% 4/1/2035 <sup>(a)</sup>  | —<br> <sup>(b)</sup><br>| — <br><sup>(b)</sup><br>|
| Freddie Mac Pool #ZS4189 6.50% 6/1/2035 <sup>(a)</sup>  | —<br> <sup>(b)</sup><br>| — <br><sup>(b)</sup><br>|
| Freddie Mac Pool #K93558 4.00% 5/1/2036 <sup>(a)</sup>  | 342 | 337 |
| Freddie Mac Pool #C91877 4.00% 5/1/2036 <sup>(a)</sup>  | 236 | 235 |
| Freddie Mac Pool #C91899 4.00% 9/1/2036 <sup>(a)</sup>  | 399 | 397 |
| Freddie Mac Pool #QO0557 2.50% 7/1/2037 <sup>(a)</sup>  | 2054 | 1943 |
| Freddie Mac Pool #SB1388 2.50% 1/1/2038 <sup>(a)</sup>  | 158 | 149 |
| Freddie Mac Pool #G03699 6.00% 1/1/2038 <sup>(a)</sup>  | 40 | 43 |
| Freddie Mac Pool #RB5113 1.50% 6/1/2041 <sup>(a)</sup>  | 111112 | 94873 |
| Freddie Mac Pool #RB5115 2.50% 6/1/2041 <sup>(a)</sup>  | 22215 | 20121 |
| Freddie Mac Pool #QK1181 2.00% 11/1/2041 <sup>(a)</sup>  | 1769 | 1557 |
| Freddie Mac Pool #RB5138 2.00% 12/1/2041 <sup>(a)</sup>  | 22845 | 20093 |
| Freddie Mac Pool #RB5145 2.00% 2/1/2042 <sup>(a)</sup>  | 6976 | 6114 |
| Freddie Mac Pool #RB5148 2.00% 3/1/2042 <sup>(a)</sup>  | 15046 | 13215 |
| Freddie Mac Pool #RB5153 2.00% 4/1/2042 <sup>(a)</sup>  | 2138 | 1876 |
| Freddie Mac Pool #Q15874 4.00% 2/1/2043 <sup>(a)</sup>  | 7 | 7 |
| Freddie Mac Pool #Q17696 3.50% 4/1/2043 <sup>(a)</sup>  | 122 | 117 |
| Freddie Mac Pool #Q18236 3.50% 5/1/2043 <sup>(a)</sup>  | 319 | 306 |
| Freddie Mac Pool #Q19133 3.50% 6/1/2043 <sup>(a)</sup>  | 126 | 120 |
| Freddie Mac Pool #Q28558 3.50% 9/1/2044 <sup>(a)</sup>  | 1243 | 1186 |
| Freddie Mac Pool #760014 4.64% 8/1/2045 <sup>(a)(d)</sup>  | 778 | 780 |
| Freddie Mac Pool #G60238 3.50% 10/1/2045 <sup>(a)</sup>  | 3738 | 3560 |
| Freddie Mac Pool #G67700 3.50% 8/1/2046 <sup>(a)</sup>  | 1399 | 1328 |
| Freddie Mac Pool #T65389 3.50% 9/1/2046 <sup>(a)</sup>  | 39 | 37 |
| Freddie Mac Pool #Q45650 3.50% 1/1/2047 <sup>(a)</sup>  | 5497 | 5254 |
| Freddie Mac Pool #Q47615 3.50% 4/1/2047 <sup>(a)</sup>  | 238 | 222 |
| Freddie Mac Pool #T65448 4.00% 9/1/2047 <sup>(a)</sup>  | 589 | 560 |
| Freddie Mac Pool #Q51622 3.50% 10/1/2047 <sup>(a)</sup>  | 239 | 223 |
| Freddie Mac Pool #Q52069 3.50% 11/1/2047 <sup>(a)</sup>  | 655 | 617 |
| Freddie Mac Pool #Q55056 3.50% 3/1/2048 <sup>(a)</sup>  | 424 | 401 |
| Freddie Mac Pool #Q54709 3.50% 3/1/2048 <sup>(a)</sup>  | 227 | 215 |
| Freddie Mac Pool #Q54701 3.50% 3/1/2048 <sup>(a)</sup>  | 225 | 212 |
| Freddie Mac Pool #Q54700 3.50% 3/1/2048 <sup>(a)</sup>  | 186 | 175 |
| Freddie Mac Pool #Q54781 3.50% 3/1/2048 <sup>(a)</sup>  | 157 | 148 |
| Freddie Mac Pool #Q54782 3.50% 3/1/2048 <sup>(a)</sup>  | 112 | 105 |
| Freddie Mac Pool #Q54699 3.50% 3/1/2048 <sup>(a)</sup>  | 95 | 89 |
| Freddie Mac Pool #Q54831 3.50% 3/1/2048 <sup>(a)</sup>  | 66 | 62 |
| Freddie Mac Pool #Q54698 3.50% 3/1/2048 <sup>(a)</sup>  | 61 | 57 |
| Freddie Mac Pool #G67711 4.00% 3/1/2048 <sup>(a)</sup>  | 10591 | 10315 |

---

American Funds Mortgage Fund — Page 11 of 27

------

**unaudited**

---

| | | |
|:---|:---|:---|
| Bonds, notes & other debt instruments (continued)<br> **Mortgage-backed obligations (continued)**<br> **Federal agency mortgage-backed obligations (continued)**<br>| Principal amount<br> (000)<br>| Value<br> (000)<br>|
| Freddie Mac Pool #Q55060 3.50% 4/1/2048 <sup>(a)</sup>  | USD55 | $51 |
| Freddie Mac Pool #Q55971 4.00% 5/1/2048 <sup>(a)</sup>  | 132 | 128 |
| Freddie Mac Pool #Q56175 4.00% 5/1/2048 <sup>(a)</sup>  | 105 | 102 |
| Freddie Mac Pool #Q55970 4.00% 5/1/2048 <sup>(a)</sup>  | 60 | 58 |
| Freddie Mac Pool #Q56590 3.50% 6/1/2048 <sup>(a)</sup>  | 121 | 114 |
| Freddie Mac Pool #Q56589 3.50% 6/1/2048 <sup>(a)</sup>  | 72 | 68 |
| Freddie Mac Pool #Q56591 3.50% 6/1/2048 <sup>(a)</sup>  | 53 | 50 |
| Freddie Mac Pool #Q56599 4.00% 6/1/2048 <sup>(a)</sup>  | 520 | 506 |
| Freddie Mac Pool #Q57242 4.50% 7/1/2048 <sup>(a)</sup>  | 84 | 83 |
| Freddie Mac Pool #Q58411 4.50% 9/1/2048 <sup>(a)</sup>  | 924 | 922 |
| Freddie Mac Pool #Q58436 4.50% 9/1/2048 <sup>(a)</sup>  | 436 | 434 |
| Freddie Mac Pool #Q58378 4.50% 9/1/2048 <sup>(a)</sup>  | 294 | 292 |
| Freddie Mac Pool #Z40273 4.50% 10/1/2048 <sup>(a)</sup>  | 4224 | 4217 |
| Freddie Mac Pool #QA0284 3.50% 6/1/2049 <sup>(a)</sup>  | 1393 | 1319 |
| Freddie Mac Pool #SD7503 3.50% 8/1/2049 <sup>(a)</sup>  | 6712 | 6329 |
| Freddie Mac Pool #QA2748 3.50% 9/1/2049 <sup>(a)</sup>  | 210 | 198 |
| Freddie Mac Pool #RA1580 3.50% 10/1/2049 <sup>(a)</sup>  | 3436 | 3260 |
| Freddie Mac Pool #RA1463 3.50% 10/1/2049 <sup>(a)</sup>  | 3277 | 3108 |
| Freddie Mac Pool #SD0187 3.00% 1/1/2050 <sup>(a)</sup>  | 2465 | 2249 |
| Freddie Mac Pool #RA1996 3.50% 1/1/2050 <sup>(a)</sup>  | 3197 | 3000 |
| Freddie Mac Pool #SD7512 3.00% 2/1/2050 <sup>(a)</sup>  | 9914 | 9009 |
| Freddie Mac Pool #QA7102 3.00% 2/1/2050 <sup>(a)</sup>  | 943 | 840 |
| Freddie Mac Pool #RA3384 3.00% 8/1/2050 <sup>(a)</sup>  | 451 | 405 |
| Freddie Mac Pool #SI2062 2.00% 9/1/2050 <sup>(a)</sup>  | 42490 | 35149 |
| Freddie Mac Pool #SI2080 2.00% 10/1/2050 <sup>(a)</sup>  | 43963 | 36450 |
| Freddie Mac Pool #SD8106 2.00% 11/1/2050 <sup>(a)</sup>  | 34083 | 27970 |
| Freddie Mac Pool #QB5019 2.00% 11/1/2050 <sup>(a)</sup>  | 2734 | 2231 |
| Freddie Mac Pool #RA3952 2.00% 11/1/2050 <sup>(a)</sup>  | 983 | 801 |
| Freddie Mac Pool #QB6480 2.00% 12/1/2050 <sup>(a)</sup>  | 1347 | 1099 |
| Freddie Mac Pool #QB7148 2.00% 12/1/2050 <sup>(a)</sup>  | 38 | 31 |
| Freddie Mac Pool #RA4352 2.00% 1/1/2051 <sup>(a)</sup>  | 23440 | 19316 |
| Freddie Mac Pool #QB8132 2.00% 1/1/2051 <sup>(a)</sup>  | 3328 | 2715 |
| Freddie Mac Pool #QB8422 2.00% 2/1/2051 <sup>(a)</sup>  | 975 | 794 |
| Freddie Mac Pool #SD8128 2.00% 2/1/2051 <sup>(a)</sup>  | 139 | 114 |
| Freddie Mac Pool #SD8134 2.00% 3/1/2051 <sup>(a)</sup>  | 232 | 190 |
| Freddie Mac Pool #QB9836 2.50% 3/1/2051 <sup>(a)</sup>  | 873 | 749 |
| Freddie Mac Pool #SD0934 2.00% 4/1/2051 <sup>(a)</sup>  | 983 | 804 |
| Freddie Mac Pool #SD0571 2.50% 4/1/2051 <sup>(a)</sup>  | 992 | 845 |
| Freddie Mac Pool #RA5288 2.00% 5/1/2051 <sup>(a)</sup>  | 24216 | 20007 |
| Freddie Mac Pool #SD3984 2.00% 5/1/2051 <sup>(a)</sup>  | 1841 | 1500 |
| Freddie Mac Pool #RA5155 2.00% 5/1/2051 <sup>(a)</sup>  | 243 | 198 |
| Freddie Mac Pool #RA5259 2.50% 5/1/2051 <sup>(a)</sup>  | 4275 | 3676 |
| Freddie Mac Pool #RA5286 2.50% 5/1/2051 <sup>(a)</sup>  | 223 | 190 |
| Freddie Mac Pool #QC2537 2.00% 6/1/2051 <sup>(a)</sup>  | 2989 | 2435 |
| Freddie Mac Pool #QC3259 2.00% 6/1/2051 <sup>(a)</sup>  | 978 | 797 |
| Freddie Mac Pool #QC3428 2.50% 6/1/2051 <sup>(a)</sup>  | 2350 | 2002 |
| Freddie Mac Pool #RA5391 3.00% 6/1/2051 <sup>(a)</sup>  | 3574 | 3178 |
| Freddie Mac Pool #RA5559 2.50% 7/1/2051 <sup>(a)</sup>  | 3089 | 2632 |
| Freddie Mac Pool #SD7544 3.00% 7/1/2051 <sup>(a)</sup>  | 19240 | 17473 |
| Freddie Mac Pool #QC4360 3.00% 7/1/2051 <sup>(a)</sup>  | 901 | 803 |
| Freddie Mac Pool #SD0718 2.50% 8/1/2051 <sup>(a)</sup>  | 626 | 533 |
| Freddie Mac Pool #QC5631 3.00% 8/1/2051 <sup>(a)</sup>  | 3545 | 3157 |
| Freddie Mac Pool #RA5759 2.50% 9/1/2051 <sup>(a)</sup>  | 11526 | 9819 |
| Freddie Mac Pool #SD7545 2.50% 9/1/2051 <sup>(a)</sup>  | 3888 | 3391 |

---

American Funds Mortgage Fund — Page 12 of 27

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---

| | | |
|:---|:---|:---|
| Bonds, notes & other debt instruments (continued)<br> **Mortgage-backed obligations (continued)**<br> **Federal agency mortgage-backed obligations (continued)**<br>| Principal amount<br> (000)<br>| Value<br> (000)<br>|
| Freddie Mac Pool #QC6921 2.50% 9/1/2051 <sup>(a)</sup>  | USD812 | $692 |
| Freddie Mac Pool #QC7626 3.00% 9/1/2051 <sup>(a)</sup>  | 9901 | 8878 |
| Freddie Mac Pool #QC7486 3.00% 9/1/2051 <sup>(a)</sup>  | 947 | 842 |
| Freddie Mac Pool #QC8196 2.50% 10/1/2051 <sup>(a)</sup>  | 2938 | 2503 |
| Freddie Mac Pool #QC8778 2.50% 10/1/2051 <sup>(a)</sup>  | 245 | 208 |
| Freddie Mac Pool #SD2880 3.00% 10/1/2051 <sup>(a)</sup>  | 13828 | 12395 |
| Freddie Mac Pool #SD0740 3.50% 10/1/2051 <sup>(a)</sup>  | 2993 | 2789 |
| Freddie Mac Pool #RA6406 2.00% 11/1/2051 <sup>(a)</sup>  | 5804 | 4757 |
| Freddie Mac Pool #SD7548 2.50% 11/1/2051 <sup>(a)</sup>  | 7777 | 6765 |
| Freddie Mac Pool #SD1385 2.50% 11/1/2051 <sup>(a)</sup>  | 5165 | 4492 |
| Freddie Mac Pool #RA6231 2.50% 11/1/2051 <sup>(a)</sup>  | 875 | 745 |
| Freddie Mac Pool #QD0162 2.50% 11/1/2051 <sup>(a)</sup>  | 161 | 137 |
| Freddie Mac Pool #SD8182 2.00% 12/1/2051 <sup>(a)</sup>  | 787 | 644 |
| Freddie Mac Pool #SD1605 2.50% 12/1/2051 <sup>(a)</sup>  | 13531 | 11527 |
| Freddie Mac Pool #QD3619 2.50% 12/1/2051 <sup>(a)</sup>  | 3368 | 2873 |
| Freddie Mac Pool #QD3226 2.50% 12/1/2051 <sup>(a)</sup>  | 333 | 284 |
| Freddie Mac Pool #QD3120 3.00% 12/1/2051 <sup>(a)</sup>  | 957 | 853 |
| Freddie Mac Pool #QD2481 3.00% 12/1/2051 <sup>(a)</sup>  | 438 | 389 |
| Freddie Mac Pool #QD2929 4.00% 12/1/2051 <sup>(a)</sup>  | 576 | 551 |
| Freddie Mac Pool #QD5262 2.00% 1/1/2052 <sup>(a)</sup>  | 233 | 190 |
| Freddie Mac Pool #SD2629 2.50% 1/1/2052 <sup>(a)</sup>  | 706 | 602 |
| Freddie Mac Pool #QD5662 3.00% 1/1/2052 <sup>(a)</sup>  | 994 | 885 |
| Freddie Mac Pool #QD5042 3.00% 1/1/2052 <sup>(a)</sup>  | 929 | 828 |
| Freddie Mac Pool #QD5490 3.00% 1/1/2052 <sup>(a)</sup>  | 921 | 819 |
| Freddie Mac Pool #RA6771 2.00% 2/1/2052 <sup>(a)</sup>  | 11912 | 9705 |
| Freddie Mac Pool #RA6114 2.00% 2/1/2052 <sup>(a)</sup>  | 1441 | 1178 |
| Freddie Mac Pool #QD6836 2.00% 2/1/2052 <sup>(a)</sup>  | 825 | 674 |
| Freddie Mac Pool #RA6913 2.00% 2/1/2052 <sup>(a)</sup>  | 272 | 222 |
| Freddie Mac Pool #QD7059 3.00% 2/1/2052 <sup>(a)</sup>  | 1980 | 1760 |
| Freddie Mac Pool #QD6604 3.00% 2/1/2052 <sup>(a)</sup>  | 958 | 853 |
| Freddie Mac Pool #RA6806 3.00% 2/1/2052 <sup>(a)</sup>  | 32 | 29 |
| Freddie Mac Pool #SD0873 3.50% 2/1/2052 <sup>(a)</sup>  | 23053 | 21725 |
| Freddie Mac Pool #QD7089 3.50% 2/1/2052 <sup>(a)</sup>  | 312 | 291 |
| Freddie Mac Pool #SD8199 2.00% 3/1/2052 <sup>(a)</sup>  | 29917 | 24504 |
| Freddie Mac Pool #RA6973 2.00% 3/1/2052 <sup>(a)</sup>  | 16401 | 13408 |
| Freddie Mac Pool #SD5343 2.00% 3/1/2052 <sup>(a)</sup>  | 1779 | 1455 |
| Freddie Mac Pool #QD8820 2.00% 3/1/2052 <sup>(a)</sup>  | 167 | 136 |
| Freddie Mac Pool #SD7553 3.00% 3/1/2052 <sup>(a)</sup>  | 6127 | 5539 |
| Freddie Mac Pool #SD2494 3.50% 3/1/2052 <sup>(a)</sup>  | 1980 | 1833 |
| Freddie Mac Pool #QD8689 3.50% 3/1/2052 <sup>(a)</sup>  | 1968 | 1822 |
| Freddie Mac Pool #SD8204 2.00% 4/1/2052 <sup>(a)</sup>  | 1638 | 1341 |
| Freddie Mac Pool #QE0777 3.50% 4/1/2052 <sup>(a)</sup>  | 6330 | 5861 |
| Freddie Mac Pool #QE1079 3.50% 4/1/2052 <sup>(a)</sup>  | 29 | 27 |
| Freddie Mac Pool #SL0316 2.00% 5/1/2052 <sup>(a)</sup>  | 9968 | 8155 |
| Freddie Mac Pool #SD8211 2.00% 5/1/2052 <sup>(a)</sup>  | 24 | 20 |
| Freddie Mac Pool #QE2352 2.50% 5/1/2052 <sup>(a)</sup>  | 85 | 73 |
| Freddie Mac Pool #SD8213 3.00% 5/1/2052 <sup>(a)</sup>  | 86639 | 77306 |
| Freddie Mac Pool #SD6496 2.00% 6/1/2052 <sup>(a)</sup>  | 1918 | 1570 |
| Freddie Mac Pool #SD8220 3.00% 6/1/2052 <sup>(a)</sup>  | 54226 | 48302 |
| Freddie Mac Pool #SD6203 3.00% 6/1/2052 <sup>(a)</sup>  | 7964 | 7082 |
| Freddie Mac Pool #SD1298 3.50% 6/1/2052 <sup>(a)</sup>  | 3477 | 3219 |
| Freddie Mac Pool #QE5610 3.50% 6/1/2052 <sup>(a)</sup>  | 359 | 333 |
| Freddie Mac Pool #RA7556 4.50% 6/1/2052 <sup>(a)</sup>  | 11236 | 11056 |
| Freddie Mac Pool #SL2621 2.50% 7/1/2052 <sup>(a)</sup>  | 106248 | 90512 |

---

American Funds Mortgage Fund — Page 13 of 27

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---

| | | |
|:---|:---|:---|
| Bonds, notes & other debt instruments (continued)<br> **Mortgage-backed obligations (continued)**<br> **Federal agency mortgage-backed obligations (continued)**<br>| Principal amount<br> (000)<br>| Value<br> (000)<br>|
| Freddie Mac Pool #SD5368 2.50% 7/1/2052 <sup>(a)</sup>  | USD28,445 | $24270 |
| Freddie Mac Pool #SD3632 2.50% 7/1/2052 <sup>(a)</sup>  | 95 | 81 |
| Freddie Mac Pool #SD8225 3.00% 7/1/2052 <sup>(a)</sup>  | 54628 | 48661 |
| Freddie Mac Pool #SD2370 3.50% 7/1/2052 <sup>(a)</sup>  | 900 | 834 |
| Freddie Mac Pool #SL0012 3.50% 7/1/2052 <sup>(a)</sup>  | 28 | 26 |
| Freddie Mac Pool #SD1406 2.00% 8/1/2052 <sup>(a)</sup>  | 2960 | 2418 |
| Freddie Mac Pool #SD7556 3.00% 8/1/2052 <sup>(a)</sup>  | 193 | 174 |
| Freddie Mac Pool #QE7537 4.50% 8/1/2052 <sup>(a)</sup>  | 8438 | 8311 |
| Freddie Mac Pool #SD8242 3.00% 9/1/2052 <sup>(a)</sup>  | 10039 | 8942 |
| Freddie Mac Pool #RA7938 5.00% 9/1/2052 <sup>(a)</sup>  | 2454 | 2466 |
| Freddie Mac Pool #QF0924 5.50% 9/1/2052 <sup>(a)</sup>  | 414 | 421 |
| Freddie Mac Pool #QF1771 3.00% 10/1/2052 <sup>(a)</sup>  | 3664 | 3260 |
| Freddie Mac Pool #QF2029 3.00% 10/1/2052 <sup>(a)</sup>  | 2419 | 2154 |
| Freddie Mac Pool #QF1560 4.00% 10/1/2052 <sup>(a)</sup>  | 120 | 115 |
| Freddie Mac Pool #RA8059 5.50% 10/1/2052 <sup>(a)</sup>  | 8878 | 9062 |
| Freddie Mac Pool #QF2363 4.50% 11/1/2052 <sup>(a)</sup>  | 35199 | 34599 |
| Freddie Mac Pool #SD1895 4.50% 11/1/2052 <sup>(a)</sup>  | 33348 | 33467 |
| Freddie Mac Pool #SD2948 5.50% 11/1/2052 <sup>(a)</sup>  | 12780 | 13002 |
| Freddie Mac Pool #QF2862 6.50% 11/1/2052 <sup>(a)</sup>  | 17 | 17 |
| Freddie Mac Pool #SD2602 3.00% 12/1/2052 <sup>(a)</sup>  | 2552 | 2271 |
| Freddie Mac Pool #SD8276 5.00% 12/1/2052 <sup>(a)</sup>  | 36924 | 37046 |
| Freddie Mac Pool #SD8312 2.50% 1/1/2053 <sup>(a)</sup>  | 97 | 83 |
| Freddie Mac Pool #RA8517 3.00% 1/1/2053 <sup>(a)</sup>  | 10 | 9 |
| Freddie Mac Pool #SD8288 5.00% 1/1/2053 <sup>(a)</sup>  | 529 | 531 |
| Freddie Mac Pool #QF5680 5.50% 1/1/2053 <sup>(a)</sup>  | 629 | 640 |
| Freddie Mac Pool #SD8290 6.00% 1/1/2053 <sup>(a)</sup>  | 149685 | 154000 |
| Freddie Mac Pool #SD2601 2.50% 2/1/2053 <sup>(a)</sup>  | 285 | 244 |
| Freddie Mac Pool #SD8295 3.00% 2/1/2053 <sup>(a)</sup>  | 3862 | 3436 |
| Freddie Mac Pool #SD8299 5.00% 2/1/2053 <sup>(a)</sup>  | 758 | 761 |
| Freddie Mac Pool #QF7144 5.50% 2/1/2053 <sup>(a)</sup>  | 849 | 863 |
| Freddie Mac Pool #QF8686 5.50% 2/1/2053 <sup>(a)</sup>  | 383 | 391 |
| Freddie Mac Pool #SD8301 6.00% 2/1/2053 <sup>(a)</sup>  | 2426 | 2497 |
| Freddie Mac Pool #RA8666 4.00% 3/1/2053 <sup>(a)</sup>  | 950 | 910 |
| Freddie Mac Pool #QF8462 5.50% 3/1/2053 <sup>(a)</sup>  | 3315 | 3371 |
| Freddie Mac Pool #QF8554 5.50% 3/1/2053 <sup>(a)</sup>  | 462 | 469 |
| Freddie Mac Pool #QG0719 4.00% 4/1/2053 <sup>(a)</sup>  | 414 | 395 |
| Freddie Mac Pool #SD2716 5.00% 4/1/2053 <sup>(a)</sup>  | 6144 | 6183 |
| Freddie Mac Pool #SD8315 5.00% 4/1/2053 <sup>(a)</sup>  | 1491 | 1495 |
| Freddie Mac Pool #SD8316 5.50% 4/1/2053 <sup>(a)</sup>  | 6823 | 6932 |
| Freddie Mac Pool #QG1023 5.50% 4/1/2053 <sup>(a)</sup>  | 752 | 764 |
| Freddie Mac Pool #SD8323 5.00% 5/1/2053 <sup>(a)</sup>  | 90694 | 90974 |
| Freddie Mac Pool #SD8324 5.50% 5/1/2053 <sup>(a)</sup>  | 16981 | 17273 |
| Freddie Mac Pool #SD3369 5.50% 5/1/2053 <sup>(a)</sup>  | 1285 | 1303 |
| Freddie Mac Pool #QG3365 5.50% 5/1/2053 <sup>(a)</sup>  | 643 | 656 |
| Freddie Mac Pool #QG1875 5.50% 5/1/2053 <sup>(a)</sup>  | 465 | 473 |
| Freddie Mac Pool #SD8325 6.00% 5/1/2053 <sup>(a)</sup>  | 18181 | 18677 |
| Freddie Mac Pool #SD2861 6.00% 5/1/2053 <sup>(a)</sup>  | 4329 | 4456 |
| Freddie Mac Pool #QG3376 6.00% 5/1/2053 <sup>(a)</sup>  | 193 | 199 |
| Freddie Mac Pool #QG1921 6.50% 5/1/2053 <sup>(a)</sup>  | 163 | 171 |
| Freddie Mac Pool #SD8329 5.00% 6/1/2053 <sup>(a)</sup>  | 71532 | 71734 |
| Freddie Mac Pool #QG4719 5.00% 6/1/2053 <sup>(a)</sup>  | 34341 | 34412 |
| Freddie Mac Pool #SD8331 5.50% 6/1/2053 <sup>(a)</sup>  | 34629 | 35201 |
| Freddie Mac Pool #SD8332 6.00% 6/1/2053 <sup>(a)</sup>  | 27692 | 28404 |
| Freddie Mac Pool #RA9279 6.00% 6/1/2053 <sup>(a)</sup>  | 4424 | 4587 |

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American Funds Mortgage Fund — Page 14 of 27

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| | | |
|:---|:---|:---|
| Bonds, notes & other debt instruments (continued)<br> **Mortgage-backed obligations (continued)**<br> **Federal agency mortgage-backed obligations (continued)**<br>| Principal amount<br> (000)<br>| Value<br> (000)<br>|
| Freddie Mac Pool #RA9283 6.00% 6/1/2053 <sup>(a)</sup>  | USD3,988 | $4100 |
| Freddie Mac Pool #RA9281 6.00% 6/1/2053 <sup>(a)</sup>  | 2602 | 2690 |
| Freddie Mac Pool #RA9284 6.00% 6/1/2053 <sup>(a)</sup>  | 2199 | 2291 |
| Freddie Mac Pool #SD3240 6.00% 6/1/2053 <sup>(a)</sup>  | 1654 | 1701 |
| Freddie Mac Pool #RA9294 6.50% 6/1/2053 <sup>(a)</sup>  | 867 | 905 |
| Freddie Mac Pool #RA9292 6.50% 6/1/2053 <sup>(a)</sup>  | 766 | 799 |
| Freddie Mac Pool #RA9288 6.50% 6/1/2053 <sup>(a)</sup>  | 712 | 751 |
| Freddie Mac Pool #RA9289 6.50% 6/1/2053 <sup>(a)</sup>  | 712 | 751 |
| Freddie Mac Pool #RA9287 6.50% 6/1/2053 <sup>(a)</sup>  | 496 | 524 |
| Freddie Mac Pool #RA9290 6.50% 6/1/2053 <sup>(a)</sup>  | 390 | 411 |
| Freddie Mac Pool #RA9291 6.50% 6/1/2053 <sup>(a)</sup>  | 237 | 246 |
| Freddie Mac Pool #RA9295 6.50% 6/1/2053 <sup>(a)</sup>  | 221 | 235 |
| Freddie Mac Pool #QG7176 3.00% 7/1/2053 <sup>(a)</sup>  | 1179 | 1048 |
| Freddie Mac Pool #QG9049 3.00% 7/1/2053 <sup>(a)</sup>  | 778 | 692 |
| Freddie Mac Pool #SD8341 5.00% 7/1/2053 <sup>(a)</sup>  | 313 | 314 |
| Freddie Mac Pool #SD8342 5.50% 7/1/2053 <sup>(a)</sup>  | 120111 | 122062 |
| Freddie Mac Pool #SD3386 5.50% 7/1/2053 <sup>(a)</sup>  | 3959 | 4031 |
| Freddie Mac Pool #QG7363 6.00% 7/1/2053 <sup>(a)</sup>  | 12485 | 12848 |
| Freddie Mac Pool #SD3553 6.00% 7/1/2053 <sup>(a)</sup>  | 3950 | 4064 |
| Freddie Mac Pool #SD3432 6.00% 7/1/2053 <sup>(a)</sup>  | 1400 | 1457 |
| Freddie Mac Pool #SD3356 6.00% 7/1/2053 <sup>(a)</sup>  | 1117 | 1148 |
| Freddie Mac Pool #SD8359 3.50% 8/1/2053 <sup>(a)</sup>  | 914 | 846 |
| Freddie Mac Pool #QG8909 5.00% 8/1/2053 <sup>(a)</sup>  | 622 | 623 |
| Freddie Mac Pool #SD3620 5.50% 8/1/2053 <sup>(a)</sup>  | 12525 | 12884 |
| Freddie Mac Pool #RA9636 6.00% 8/1/2053 <sup>(a)</sup>  | 5707 | 5863 |
| Freddie Mac Pool #SD3512 6.00% 8/1/2053 <sup>(a)</sup>  | 460 | 473 |
| Freddie Mac Pool #QG9115 6.50% 8/1/2053 <sup>(a)</sup>  | 78 | 81 |
| Freddie Mac Pool #SD8362 5.50% 9/1/2053 <sup>(a)</sup>  | 114 | 115 |
| Freddie Mac Pool #RA9857 6.00% 9/1/2053 <sup>(a)</sup>  | 34706 | 35647 |
| Freddie Mac Pool #RA9854 6.00% 9/1/2053 <sup>(a)</sup>  | 10230 | 10624 |
| Freddie Mac Pool #SD8363 6.00% 9/1/2053 <sup>(a)</sup>  | 896 | 920 |
| Freddie Mac Pool #SL0419 3.00% 10/1/2053 <sup>(a)</sup>  | 8723 | 7770 |
| Freddie Mac Pool #SL1562 3.00% 10/1/2053 <sup>(a)</sup>  | 8308 | 7402 |
| Freddie Mac Pool #SD8367 5.50% 10/1/2053 <sup>(a)</sup>  | 25943 | 26316 |
| Freddie Mac Pool #SD4053 6.00% 10/1/2053 <sup>(a)</sup>  | 23340 | 23955 |
| Freddie Mac Pool #SD8368 6.00% 10/1/2053 <sup>(a)</sup>  | 23319 | 23941 |
| Freddie Mac Pool #SD4977 5.00% 11/1/2053 <sup>(a)</sup>  | 40079 | 40181 |
| Freddie Mac Pool #SD8373 6.00% 11/1/2053 <sup>(a)</sup>  | 47313 | 48552 |
| Freddie Mac Pool #RJ0326 6.50% 11/1/2053 <sup>(a)</sup>  | 3575 | 3719 |
| Freddie Mac Pool #SD8374 6.50% 11/1/2053 <sup>(a)</sup>  | 276 | 286 |
| Freddie Mac Pool #SD8392 4.00% 12/1/2053 <sup>(a)</sup>  | 5282 | 5037 |
| Freddie Mac Pool #SD4842 6.00% 12/1/2053 <sup>(a)</sup>  | 2552 | 2622 |
| Freddie Mac Pool #SD6284 2.00% 1/1/2054 <sup>(a)</sup>  | 3127 | 2555 |
| Freddie Mac Pool #QH8513 2.00% 1/1/2054 <sup>(a)</sup>  | 322 | 263 |
| Freddie Mac Pool #QH8426 3.50% 1/1/2054 <sup>(a)</sup>  | 348 | 322 |
| Freddie Mac Pool #SD8396 6.00% 1/1/2054 <sup>(a)</sup>  | 688 | 705 |
| Freddie Mac Pool #SD4693 6.50% 1/1/2054 <sup>(a)</sup>  | 4234 | 4404 |
| Freddie Mac Pool #RJ0854 6.50% 1/1/2054 <sup>(a)</sup>  | 923 | 960 |
| Freddie Mac Pool #SD4614 6.50% 1/1/2054 <sup>(a)</sup>  | 513 | 538 |
| Freddie Mac Pool #QI0001 4.00% 2/1/2054 <sup>(a)</sup>  | 4862 | 4636 |
| Freddie Mac Pool #SD8401 5.50% 2/1/2054 <sup>(a)</sup>  | 1431 | 1452 |
| Freddie Mac Pool #SD4964 6.00% 2/1/2054 <sup>(a)</sup>  | 15601 | 16173 |
| Freddie Mac Pool #QI0006 6.00% 2/1/2054 <sup>(a)</sup>  | 4533 | 4653 |
| Freddie Mac Pool #SD8402 6.00% 2/1/2054 <sup>(a)</sup>  | 3199 | 3280 |

---

American Funds Mortgage Fund — Page 15 of 27

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**unaudited**

---

| | | |
|:---|:---|:---|
| Bonds, notes & other debt instruments (continued)<br> **Mortgage-backed obligations (continued)**<br> **Federal agency mortgage-backed obligations (continued)**<br>| Principal amount<br> (000)<br>| Value<br> (000)<br>|
| Freddie Mac Pool #SD4966 6.50% 2/1/2054 <sup>(a)</sup>  | USD42,428 | $44300 |
| Freddie Mac Pool #SL2362 6.50% 2/1/2054 <sup>(a)</sup>  | 7399 | 7772 |
| Freddie Mac Pool #RJ0856 6.50% 2/1/2054 <sup>(a)</sup>  | 7213 | 7498 |
| Freddie Mac Pool #QI1723 4.00% 3/1/2054 <sup>(a)</sup>  | 723 | 689 |
| Freddie Mac Pool #SD8408 5.50% 3/1/2054 <sup>(a)</sup>  | 17376 | 17631 |
| Freddie Mac Pool #RJ1066 5.50% 3/1/2054 <sup>(a)</sup>  | 11164 | 11376 |
| Freddie Mac Pool #RJ1076 6.00% 3/1/2054 <sup>(a)</sup>  | 1842 | 1891 |
| Freddie Mac Pool #RJ1015 6.50% 3/1/2054 <sup>(a)</sup>  | 106 | 110 |
| Freddie Mac Pool #QI3594 4.00% 4/1/2054 <sup>(a)</sup>  | 1173 | 1118 |
| Freddie Mac Pool #RJ1216 5.50% 4/1/2054 <sup>(a)</sup>  | 5459 | 5572 |
| Freddie Mac Pool #RJ1215 5.50% 4/1/2054 <sup>(a)</sup>  | 1032 | 1047 |
| Freddie Mac Pool #SD5303 6.00% 4/1/2054 <sup>(a)</sup>  | 11932 | 12313 |
| Freddie Mac Pool #RJ1348 6.00% 4/1/2054 <sup>(a)</sup>  | 1708 | 1763 |
| Freddie Mac Pool #QI3333 6.00% 4/1/2054 <sup>(a)</sup>  | 735 | 762 |
| Freddie Mac Pool #SD5221 6.50% 4/1/2054 <sup>(a)</sup>  | 4519 | 4739 |
| Freddie Mac Pool #SD8430 5.00% 5/1/2054 <sup>(a)</sup>  | 7745 | 7745 |
| Freddie Mac Pool #RJ1419 5.50% 5/1/2054 <sup>(a)</sup>  | 5507 | 5589 |
| Freddie Mac Pool #RJ1429 6.00% 5/1/2054 <sup>(a)</sup>  | 17627 | 18151 |
| Freddie Mac Pool #SD5692 6.00% 5/1/2054 <sup>(a)</sup>  | 1066 | 1106 |
| Freddie Mac Pool #SD8432 6.00% 5/1/2054 <sup>(a)</sup>  | 273 | 279 |
| Freddie Mac Pool #SD5404 6.50% 5/1/2054 <sup>(a)</sup>  | 40470 | 42242 |
| Freddie Mac Pool #RJ1855 5.00% 6/1/2054 <sup>(a)</sup>  | 3431 | 3439 |
| Freddie Mac Pool #RJ1857 5.50% 6/1/2054 <sup>(a)</sup>  | 6091 | 6208 |
| Freddie Mac Pool #RJ1768 5.50% 6/1/2054 <sup>(a)</sup>  | 1250 | 1278 |
| Freddie Mac Pool #SD8438 5.50% 6/1/2054 <sup>(a)</sup>  | 369 | 374 |
| Freddie Mac Pool #RJ1859 6.00% 6/1/2054 <sup>(a)</sup>  | 23540 | 24289 |
| Freddie Mac Pool #RJ1785 6.00% 6/1/2054 <sup>(a)</sup>  | 7417 | 7652 |
| Freddie Mac Pool #RJ1779 6.00% 6/1/2054 <sup>(a)</sup>  | 5260 | 5459 |
| Freddie Mac Pool #SD8439 6.00% 6/1/2054 <sup>(a)</sup>  | 33 | 34 |
| Freddie Mac Pool #SD5706 6.50% 6/1/2054 <sup>(a)</sup>  | 45370 | 47289 |
| Freddie Mac Pool #RJ1726 6.50% 6/1/2054 <sup>(a)</sup>  | 17935 | 18676 |
| Freddie Mac Pool #SD5701 6.50% 6/1/2054 <sup>(a)</sup>  | 4408 | 4624 |
| Freddie Mac Pool #RJ1797 6.50% 6/1/2054 <sup>(a)</sup>  | 1502 | 1560 |
| Freddie Mac Pool #RJ1725 6.50% 6/1/2054 <sup>(a)</sup>  | 1459 | 1536 |
| Freddie Mac Pool #SD5619 7.00% 6/1/2054 <sup>(a)</sup>  | 18 | 19 |
| Freddie Mac Pool #SD8446 5.50% 7/1/2054 <sup>(a)</sup>  | 17517 | 17752 |
| Freddie Mac Pool #QI8872 5.50% 7/1/2054 <sup>(a)</sup>  | 2145 | 2183 |
| Freddie Mac Pool #RJ1963 5.50% 7/1/2054 <sup>(a)</sup>  | 276 | 281 |
| Freddie Mac Pool #RJ1975 6.00% 7/1/2054 <sup>(a)</sup>  | 18281 | 18864 |
| Freddie Mac Pool #RJ1964 6.00% 7/1/2054 <sup>(a)</sup>  | 16489 | 17167 |
| Freddie Mac Pool #SD5949 6.00% 7/1/2054 <sup>(a)</sup>  | 8578 | 8814 |
| Freddie Mac Pool #SD8447 6.00% 7/1/2054 <sup>(a)</sup>  | 6379 | 6536 |
| Freddie Mac Pool #SD5813 6.00% 7/1/2054 <sup>(a)</sup>  | 5117 | 5287 |
| Freddie Mac Pool #QI8874 6.00% 7/1/2054 <sup>(a)</sup>  | 4595 | 4723 |
| Freddie Mac Pool #SD5873 6.00% 7/1/2054 <sup>(a)</sup>  | 1626 | 1670 |
| Freddie Mac Pool #SD5896 6.00% 7/1/2054 <sup>(a)</sup>  | 1385 | 1424 |
| Freddie Mac Pool #SD8448 6.50% 7/1/2054 <sup>(a)</sup>  | 40747 | 42233 |
| Freddie Mac Pool #QI8876 6.50% 7/1/2054 <sup>(a)</sup>  | 28262 | 29500 |
| Freddie Mac Pool #RJ1986 6.50% 7/1/2054 <sup>(a)</sup>  | 16049 | 16663 |
| Freddie Mac Pool #QI9151 6.50% 7/1/2054 <sup>(a)</sup>  | 6332 | 6634 |
| Freddie Mac Pool #SD5905 6.50% 7/1/2054 <sup>(a)</sup>  | 5964 | 6257 |
| Freddie Mac Pool #RJ2193 5.00% 8/1/2054 <sup>(a)</sup>  | 3583 | 3597 |
| Freddie Mac Pool #RJ2241 5.00% 8/1/2054 <sup>(a)</sup>  | 2443 | 2452 |
| Freddie Mac Pool #RJ2195 5.00% 8/1/2054 <sup>(a)</sup>  | 2293 | 2295 |

---

American Funds Mortgage Fund — Page 16 of 27

------

**unaudited**

---

| | | |
|:---|:---|:---|
| Bonds, notes & other debt instruments (continued)<br> **Mortgage-backed obligations (continued)**<br> **Federal agency mortgage-backed obligations (continued)**<br>| Principal amount<br> (000)<br>| Value<br> (000)<br>|
| Freddie Mac Pool #RJ2200 5.50% 8/1/2054 <sup>(a)</sup>  | USD5,828 | $5923 |
| Freddie Mac Pool #RJ2206 5.50% 8/1/2054 <sup>(a)</sup>  | 3694 | 3752 |
| Freddie Mac Pool #RJ2243 5.50% 8/1/2054 <sup>(a)</sup>  | 3390 | 3444 |
| Freddie Mac Pool #SD6286 5.50% 8/1/2054 <sup>(a)</sup>  | 3262 | 3329 |
| Freddie Mac Pool #RJ2203 5.50% 8/1/2054 <sup>(a)</sup>  | 611 | 622 |
| Freddie Mac Pool #RJ2210 6.00% 8/1/2054 <sup>(a)</sup>  | 22186 | 22803 |
| Freddie Mac Pool #RJ2216 6.00% 8/1/2054 <sup>(a)</sup>  | 12273 | 12611 |
| Freddie Mac Pool #SD8454 6.00% 8/1/2054 <sup>(a)</sup>  | 5984 | 6131 |
| Freddie Mac Pool #RJ2212 6.00% 8/1/2054 <sup>(a)</sup>  | 4554 | 4728 |
| Freddie Mac Pool #SD6045 6.00% 8/1/2054 <sup>(a)</sup>  | 3799 | 3944 |
| Freddie Mac Pool #SD6029 6.00% 8/1/2054 <sup>(a)</sup>  | 3053 | 3149 |
| Freddie Mac Pool #QJ3296 6.00% 8/1/2054 <sup>(a)</sup>  | 216 | 222 |
| Freddie Mac Pool #SD8455 6.50% 8/1/2054 <sup>(a)</sup>  | 35190 | 36474 |
| Freddie Mac Pool #RJ2222 6.50% 8/1/2054 <sup>(a)</sup>  | 21818 | 22720 |
| Freddie Mac Pool #SD6034 6.50% 8/1/2054 <sup>(a)</sup>  | 8865 | 9232 |
| Freddie Mac Pool #RJ2247 6.50% 8/1/2054 <sup>(a)</sup>  | 8448 | 8806 |
| Freddie Mac Pool #RJ2228 6.50% 8/1/2054 <sup>(a)</sup>  | 4473 | 4653 |
| Freddie Mac Pool #SD6047 6.50% 8/1/2054 <sup>(a)</sup>  | 3303 | 3459 |
| Freddie Mac Pool #SD6035 6.50% 8/1/2054 <sup>(a)</sup>  | 2303 | 2416 |
| Freddie Mac Pool #QJ4825 5.00% 9/1/2054 <sup>(a)</sup>  | 3274 | 3270 |
| Freddie Mac Pool #RJ2422 5.50% 9/1/2054 <sup>(a)</sup>  | 6706 | 6816 |
| Freddie Mac Pool #RJ2415 5.50% 9/1/2054 <sup>(a)</sup>  | 2774 | 2839 |
| Freddie Mac Pool #RJ2408 5.50% 9/1/2054 <sup>(a)</sup>  | 2538 | 2578 |
| Freddie Mac Pool #SD6328 5.50% 9/1/2054 <sup>(a)</sup>  | 762 | 780 |
| Freddie Mac Pool #QJ3044 5.50% 9/1/2054 <sup>(a)</sup>  | 76 | 77 |
| Freddie Mac Pool #RJ2314 6.00% 9/1/2054 <sup>(a)</sup>  | 10766 | 11061 |
| Freddie Mac Pool #RJ2312 6.00% 9/1/2054 <sup>(a)</sup>  | 5822 | 6004 |
| Freddie Mac Pool #RJ2308 6.00% 9/1/2054 <sup>(a)</sup>  | 5426 | 5633 |
| Freddie Mac Pool #RJ2306 6.00% 9/1/2054 <sup>(a)</sup>  | 5219 | 5423 |
| Freddie Mac Pool #RJ2309 6.00% 9/1/2054 <sup>(a)</sup>  | 3179 | 3267 |
| Freddie Mac Pool #SD8463 6.00% 9/1/2054 <sup>(a)</sup>  | 1447 | 1482 |
| Freddie Mac Pool #RJ2474 6.50% 9/1/2054 <sup>(a)</sup>  | 18828 | 19562 |
| Freddie Mac Pool #RJ2411 6.50% 9/1/2054 <sup>(a)</sup>  | 12384 | 12888 |
| Freddie Mac Pool #SL2445 6.50% 9/1/2054 <sup>(a)</sup>  | 8140 | 8458 |
| Freddie Mac Pool #RJ2470 6.50% 9/1/2054 <sup>(a)</sup>  | 5617 | 5843 |
| Freddie Mac Pool #SD6271 6.50% 9/1/2054 <sup>(a)</sup>  | 5373 | 5604 |
| Freddie Mac Pool #QJ5643 6.50% 9/1/2054 <sup>(a)</sup>  | 3788 | 3927 |
| Freddie Mac Pool #SD8464 6.50% 9/1/2054 <sup>(a)</sup>  | 3317 | 3438 |
| Freddie Mac Pool #RJ2320 6.50% 9/1/2054 <sup>(a)</sup>  | 3197 | 3334 |
| Freddie Mac Pool #SD6531 6.50% 9/1/2054 <sup>(a)</sup>  | 2698 | 2835 |
| Freddie Mac Pool #QJ4693 6.50% 9/1/2054 <sup>(a)</sup>  | 2628 | 2754 |
| Freddie Mac Pool #RJ2325 6.50% 9/1/2054 <sup>(a)</sup>  | 1617 | 1683 |
| Freddie Mac Pool #RJ2664 5.00% 10/1/2054 <sup>(a)</sup>  | 104 | 104 |
| Freddie Mac Pool #RJ2625 5.50% 10/1/2054 <sup>(a)</sup>  | 18312 | 18632 |
| Freddie Mac Pool #SD8469 5.50% 10/1/2054 <sup>(a)</sup>  | 5233 | 5306 |
| Freddie Mac Pool #SD6911 6.50% 10/1/2054 <sup>(a)</sup>  | 47049 | 49467 |
| Freddie Mac Pool #SD6733 6.50% 10/1/2054 <sup>(a)</sup>  | 3808 | 3957 |
| Freddie Mac Pool #RJ2851 4.50% 11/1/2054 <sup>(a)</sup>  | 4668 | 4575 |
| Freddie Mac Pool #RJ2860 5.00% 11/1/2054 <sup>(a)</sup>  | 14068 | 14064 |
| Freddie Mac Pool #QJ7708 5.00% 11/1/2054 <sup>(a)</sup>  | 912 | 912 |
| Freddie Mac Pool #RJ2836 5.00% 11/1/2054 <sup>(a)</sup>  | 74 | 74 |
| Freddie Mac Pool #RJ2917 5.50% 11/1/2054 <sup>(a)</sup>  | 21063 | 21385 |
| Freddie Mac Pool #SD8475 5.50% 11/1/2054 <sup>(a)</sup>  | 15017 | 15221 |
| Freddie Mac Pool #RJ2922 6.00% 11/1/2054 <sup>(a)</sup>  | 1347 | 1381 |

---

American Funds Mortgage Fund — Page 17 of 27

------

**unaudited**

---

| | | |
|:---|:---|:---|
| Bonds, notes & other debt instruments (continued)<br> **Mortgage-backed obligations (continued)**<br> **Federal agency mortgage-backed obligations (continued)**<br>| Principal amount<br> (000)<br>| Value<br> (000)<br>|
| Freddie Mac Pool #RJ3012 5.00% 12/1/2054 <sup>(a)</sup>  | USD27,988 | $28101 |
| Freddie Mac Pool #RJ3163 5.00% 12/1/2054 <sup>(a)</sup>  | 24062 | 24149 |
| Freddie Mac Pool #RJ3017 5.00% 12/1/2054 <sup>(a)</sup>  | 13354 | 13367 |
| Freddie Mac Pool #QX1743 5.00% 12/1/2054 <sup>(a)</sup>  | 7685 | 7703 |
| Freddie Mac Pool #SD8491 5.00% 12/1/2054 <sup>(a)</sup>  | 4597 | 4594 |
| Freddie Mac Pool #QX2834 5.00% 12/1/2054 <sup>(a)</sup>  | 2545 | 2550 |
| Freddie Mac Pool #SD8493 5.50% 12/1/2054 <sup>(a)</sup>  | 283 | 287 |
| Freddie Mac Pool #QX0553 6.00% 12/1/2054 <sup>(a)</sup>  | 6296 | 6450 |
| Freddie Mac Pool #QX1463 6.00% 12/1/2054 <sup>(a)</sup>  | 4402 | 4513 |
| Freddie Mac Pool #QX0384 6.00% 12/1/2054 <sup>(a)</sup>  | 2047 | 2105 |
| Freddie Mac Pool #SD8494 5.50% 1/1/2055 <sup>(a)</sup>  | 3081 | 3123 |
| Freddie Mac Pool #SD8496 6.00% 1/1/2055 <sup>(a)</sup>  | 116193 | 119054 |
| Freddie Mac Pool #QX4065 6.00% 1/1/2055 <sup>(a)</sup>  | 72035 | 73828 |
| Freddie Mac Pool #QX2593 6.00% 1/1/2055 <sup>(a)</sup>  | 49148 | 50396 |
| Freddie Mac Pool #SL2928 7.00% 1/1/2055 <sup>(a)</sup>  | 6140 | 6447 |
| Freddie Mac Pool #RJ3264 4.50% 2/1/2055 <sup>(a)</sup>  | 24075 | 23587 |
| Freddie Mac Pool #SD8505 5.00% 2/1/2055 <sup>(a)</sup>  | 29 | 29 |
| Freddie Mac Pool #SD8507 6.00% 2/1/2055 <sup>(a)</sup>  | 76463 | 78335 |
| Freddie Mac Pool #SL0797 6.00% 2/1/2055 <sup>(a)</sup>  | 5779 | 5959 |
| Freddie Mac Pool #QX6697 6.50% 2/1/2055 <sup>(a)</sup>  | 186 | 193 |
| Freddie Mac Pool #SL0799 5.00% 3/1/2055 <sup>(a)</sup>  | 631 | 630 |
| Freddie Mac Pool #SD8515 5.50% 3/1/2055 <sup>(a)</sup>  | 40 | 40 |
| Freddie Mac Pool #SD8516 6.00% 3/1/2055 <sup>(a)</sup>  | 8896 | 9114 |
| Freddie Mac Pool #SD8517 6.50% 3/1/2055 <sup>(a)</sup>  | 40953 | 42447 |
| Freddie Mac Pool #SL0673 6.50% 3/1/2055 <sup>(a)</sup>  | 28530 | 29932 |
| Freddie Mac Pool #QX8785 6.50% 3/1/2055 <sup>(a)</sup>  | 690 | 719 |
| Freddie Mac Pool #QY0231 4.00% 4/1/2055 <sup>(a)</sup>  | 653 | 622 |
| Freddie Mac Pool #SL1094 5.00% 4/1/2055 <sup>(a)</sup>  | 3173 | 3177 |
| Freddie Mac Pool #SD8525 6.00% 4/1/2055 <sup>(a)</sup>  | 28396 | 29091 |
| Freddie Mac Pool #SL0796 6.00% 4/1/2055 <sup>(a)</sup>  | 2537 | 2599 |
| Freddie Mac Pool #SL1416 6.00% 4/1/2055 <sup>(a)</sup>  | 1352 | 1385 |
| Freddie Mac Pool #SD8532 5.00% 5/1/2055 <sup>(a)</sup>  | 6657 | 6647 |
| Freddie Mac Pool #SD8534 6.00% 5/1/2055 <sup>(a)</sup>  | 44339 | 45434 |
| Freddie Mac Pool #SL1138 6.00% 5/1/2055 <sup>(a)</sup>  | 1351 | 1385 |
| Freddie Mac Pool #SL1137 6.00% 5/1/2055 <sup>(a)</sup>  | 1269 | 1300 |
| Freddie Mac Pool #QY3404 6.00% 5/1/2055 <sup>(a)</sup>  | 336 | 345 |
| Freddie Mac Pool #QY2990 6.00% 5/1/2055 <sup>(a)</sup>  | 135 | 139 |
| Freddie Mac Pool #RQ0010 4.00% 6/1/2055 <sup>(a)</sup>  | 1070 | 1020 |
| Freddie Mac Pool #RQ0012 5.00% 6/1/2055 <sup>(a)</sup>  | 3929 | 3924 |
| Freddie Mac Pool #RQ0027 5.50% 7/1/2055 <sup>(a)</sup>  | 44592 | 45179 |
| Freddie Mac Pool #RQ0028 6.00% 7/1/2055 <sup>(a)</sup>  | 398803 | 408498 |
| Freddie Mac Pool #QY7786 6.00% 7/1/2055 <sup>(a)</sup>  | 6694 | 6861 |
| Freddie Mac Pool #QY7483 6.00% 7/1/2055 <sup>(a)</sup>  | 1578 | 1619 |
| Freddie Mac Pool #QY7743 6.00% 7/1/2055 <sup>(a)</sup>  | 429 | 440 |
| Freddie Mac Pool #RQ0041 6.00% 8/1/2055 <sup>(a)</sup>  | 3108 | 3185 |
| Freddie Mac Pool #RQ0050 6.00% 9/1/2055 <sup>(a)</sup>  | 1379 | 1413 |
| Freddie Mac Pool #SL2781 6.50% 9/1/2055 <sup>(a)</sup>  | 17716 | 18573 |
| Freddie Mac Pool #SL2647 6.50% 9/1/2055 <sup>(a)</sup>  | 11364 | 11924 |
| Freddie Mac Pool #RQ0056 5.50% 10/1/2055 <sup>(a)</sup>  | 976 | 989 |
| Freddie Mac, Series K751, Class A2, Multi Family, 4.412% 3/25/2030 <sup>(a)</sup>  | 24000 | 24417 |
| Freddie Mac Seasoned Credit Risk Transfer Trust, Series 2017-1, Class HA, 3.00% 1/25/2056 <sup>(a)</sup>  | 2022 | 1932 |
| Freddie Mac Seasoned Credit Risk Transfer Trust, Series 2017-3, Class MT, 3.00% 7/25/2056 <sup>(a)</sup>  | 3695 | 3285 |
| Freddie Mac Seasoned Credit Risk Transfer Trust, Series 2017-3, Class HA, 3.25% 7/25/2056 <sup>(a)(d)</sup>  | 7626 | 7354 |
| Freddie Mac Seasoned Credit Risk Transfer Trust, Series 2017-3, Class HT, 3.25% 7/25/2056 <sup>(a)</sup>  | 558 | 505 |

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American Funds Mortgage Fund — Page 18 of 27

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**unaudited**

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| | | |
|:---|:---|:---|
| Bonds, notes & other debt instruments (continued)<br> **Mortgage-backed obligations (continued)**<br> **Federal agency mortgage-backed obligations (continued)**<br>| Principal amount<br> (000)<br>| Value<br> (000)<br>|
| Freddie Mac Seasoned Credit Risk Transfer Trust, Series 2017-2, Class MA, 3.00% 8/25/2056 <sup>(a)</sup>  | USD2,420 | $2299 |
| Freddie Mac Seasoned Credit Risk Transfer Trust, Series 2017-2, Class HA, 3.00% 8/25/2056 <sup>(a)(d)</sup>  | 2329 | 2222 |
| Freddie Mac Seasoned Credit Risk Transfer Trust, Series 2018-1, Class HT, 3.00% 5/25/2057 <sup>(a)</sup>  | 3475 | 3042 |
| Freddie Mac Seasoned Credit Risk Transfer Trust, Series 2018-3, Class MA, 3.50% 8/25/2057 <sup>(a)(d)</sup>  | 753 | 733 |
| Freddie Mac Seasoned Credit Risk Transfer Trust, Series 2019-1, Class MT, 3.50% 7/25/2058 <sup>(a)</sup>  | 1173 | 1061 |
| Freddie Mac Seasoned Credit Risk Transfer Trust, Series 2019-1, Class MA, 3.50% 7/25/2058 <sup>(a)</sup>  | 427 | 417 |
| Freddie Mac Seasoned Credit Risk Transfer Trust, Series 2019-2, Class MT, 3.50% 8/25/2058 <sup>(a)</sup>  | 983 | 888 |
| Freddie Mac Seasoned Credit Risk Transfer Trust, Series 2019-3, Class MT, 3.50% 10/25/2058 <sup>(a)</sup>  | 601 | 545 |
| Freddie Mac Seasoned Credit Risk Transfer Trust, Series 2024-2, Class MT, 3.50% 5/25/2064 <sup>(a)</sup>  | 55959 | 49595 |
| Freddie Mac Seasoned Loan Structured Transaction Trust, Series 2018-1, Class A1, 3.50% 6/25/2028 <sup>(a)</sup>  | 3475 | 3403 |
| Freddie Mac Seasoned Loan Structured Transaction Trust, Series 20-2, Class AC, 2.00% 9/25/2030 <sup>(a)</sup>  | 26515 | 24418 |
| Freddie Mac Seasoned Loan Structured Transaction Trust, Series 20-3, Class AC, 2.00% 11/25/2030 <sup>(a)</sup>  | 25076 | 22995 |
| Freddie Mac Seasoned Loan Structured Transaction Trust, Series 21-1, Class AC, 2.25% 5/26/2031 <sup>(a)</sup>  | 25387 | 23486 |
| Freddie Mac Seasoned Loan Structured Transaction Trust, Series 21-2, Class AD, 2.00% 7/25/2031 <sup>(a)</sup>  | 21706 | 19519 |
| Freddie Mac Seasoned Loan Structured Transaction Trust, Series 2022-1, Class A1, 3.50% 5/25/2032 <sup>(a)</sup>  | 21899 | 21412 |
| Government National Mortgage Assn. 3.50% 12/1/2055 <sup>(a)(e)</sup>  | 26590 | 24381 |
| Government National Mortgage Assn. 4.50% 12/1/2055 <sup>(a)(e)</sup>  | 9000 | 8804 |
| Government National Mortgage Assn. Pool #778205 4.00% 3/20/2032 <sup>(a)</sup>  | 173 | 172 |
| Government National Mortgage Assn. Pool #778208 4.00% 5/20/2032 <sup>(a)</sup>  | 207 | 206 |
| Government National Mortgage Assn. Pool #796771 6.50% 10/20/2032 <sup>(a)</sup>  | 137 | 141 |
| Government National Mortgage Assn. Pool #AD0867 4.25% 4/20/2034 <sup>(a)</sup>  | 438 | 438 |
| Government National Mortgage Assn. Pool #AH5896 3.75% 7/20/2034 <sup>(a)</sup>  | 423 | 416 |
| Government National Mortgage Assn. Pool #AH5904 3.25% 2/20/2035 <sup>(a)</sup>  | 698 | 676 |
| Government National Mortgage Assn. Pool #AH5907 3.25% 4/20/2035 <sup>(a)</sup>  | 648 | 626 |
| Government National Mortgage Assn. Pool #AH5908 3.25% 5/20/2035 <sup>(a)</sup>  | 966 | 933 |
| Government National Mortgage Assn. Pool #AC2887 5.00% 7/20/2035 <sup>(a)</sup>  | 75 | 75 |
| Government National Mortgage Assn. Pool #417292 3.25% 8/20/2035 <sup>(a)</sup>  | 1369 | 1320 |
| Government National Mortgage Assn. Pool #AA7288 3.75% 6/20/2037 <sup>(a)</sup>  | 229 | 219 |
| Government National Mortgage Assn. Pool #773549 6.50% 12/20/2038 <sup>(a)</sup>  | 116 | 119 |
| Government National Mortgage Assn. Pool #783690 6.00% 9/20/2039 <sup>(a)</sup>  | 741 | 785 |
| Government National Mortgage Assn. Pool #AH5905 3.25% 1/20/2040 <sup>(a)</sup>  | 503 | 463 |
| Government National Mortgage Assn. Pool #783689 5.50% 2/20/2040 <sup>(a)</sup>  | 744 | 771 |
| Government National Mortgage Assn. Pool #AH5909 3.25% 5/20/2040 <sup>(a)</sup>  | 283 | 261 |
| Government National Mortgage Assn. Pool #AH5912 3.25% 8/20/2040 <sup>(a)</sup>  | 425 | 391 |
| Government National Mortgage Assn. Pool #AC2904 4.50% 5/20/2041 <sup>(a)</sup>  | 315 | 312 |
| Government National Mortgage Assn. Pool #783688 5.00% 6/20/2041 <sup>(a)</sup>  | 567 | 580 |
| Government National Mortgage Assn. Pool #MA0274 4.50% 7/20/2041 <sup>(a)</sup>  | 183 | 180 |
| Government National Mortgage Assn. Pool #005158 5.00% 8/20/2041 <sup>(a)</sup>  | 371 | 377 |
| Government National Mortgage Assn. Pool #005165 6.50% 8/20/2041 <sup>(a)</sup>  | 41 | 41 |
| Government National Mortgage Assn. Pool #MA0273 4.00% 9/20/2041 <sup>(a)</sup>  | 397 | 375 |
| Government National Mortgage Assn. Pool #AB3621 4.50% 9/20/2041 <sup>(a)</sup>  | 96 | 95 |
| Government National Mortgage Assn. Pool #AE5743 5.00% 9/20/2041 <sup>(a)</sup>  | 748 | 754 |
| Government National Mortgage Assn. Pool #MA0310 4.50% 10/20/2041 <sup>(a)</sup>  | 393 | 387 |
| Government National Mortgage Assn. Pool #783687 4.50% 12/20/2041 <sup>(a)</sup>  | 420 | 417 |
| Government National Mortgage Assn. Pool #793043 2.75% 1/15/2042 <sup>(a)</sup>  | 190 | 172 |
| Government National Mortgage Assn. Pool #799829 2.75% 2/15/2042 <sup>(a)</sup>  | 152 | 137 |
| Government National Mortgage Assn. Pool #AB2159 4.50% 3/20/2042 <sup>(a)</sup>  | 470 | 467 |
| Government National Mortgage Assn. Pool #770241 4.00% 5/20/2042 <sup>(a)</sup>  | 270 | 262 |
| Government National Mortgage Assn. Pool #792276 3.50% 6/15/2042 <sup>(a)</sup>  | 139 | 131 |
| Government National Mortgage Assn. Pool #770242 4.00% 6/20/2042 <sup>(a)</sup>  | 416 | 404 |
| Government National Mortgage Assn. Pool #AC2872 4.00% 6/20/2042 <sup>(a)</sup>  | 106 | 102 |
| Government National Mortgage Assn. Pool #799343 3.50% 7/15/2042 <sup>(a)</sup>  | 289 | 273 |
| Government National Mortgage Assn. Pool #AB1330 2.75% 8/15/2042 <sup>(a)</sup>  | 206 | 185 |
| Government National Mortgage Assn. Pool #AB1591 2.75% 9/15/2042 <sup>(a)</sup>  | 176 | 160 |

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American Funds Mortgage Fund — Page 19 of 27

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**unaudited**

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| | | |
|:---|:---|:---|
| Bonds, notes & other debt instruments (continued)<br> **Mortgage-backed obligations (continued)**<br> **Federal agency mortgage-backed obligations (continued)**<br>| Principal amount<br> (000)<br>| Value<br> (000)<br>|
| Government National Mortgage Assn. Pool #AG5105 3.50% 9/20/2043 <sup>(a)</sup>  | USD249 | $229 |
| Government National Mortgage Assn. Pool #AG5106 4.00% 9/20/2043 <sup>(a)</sup>  | 344 | 331 |
| Government National Mortgage Assn. Pool #AA7306 3.50% 11/20/2043 <sup>(a)</sup>  | 619 | 570 |
| Government National Mortgage Assn. Pool #AH5880 3.75% 5/20/2044 <sup>(a)</sup>  | 860 | 805 |
| Government National Mortgage Assn. Pool #AH5881 4.25% 5/20/2044 <sup>(a)</sup>  | 408 | 396 |
| Government National Mortgage Assn. Pool #MA3727 4.00% 6/20/2046 <sup>(a)</sup>  | 854 | 815 |
| Government National Mortgage Assn. Pool #MA4511 4.00% 6/20/2047 <sup>(a)</sup>  | 2726 | 2637 |
| Government National Mortgage Assn. Pool #MA6041 4.50% 7/20/2049 <sup>(a)</sup>  | 219 | 217 |
| Government National Mortgage Assn. Pool #MA6042 5.00% 7/20/2049 <sup>(a)</sup>  | 6 | 6 |
| Government National Mortgage Assn. Pool #MA6709 2.50% 6/20/2050 <sup>(a)</sup>  | 44 | 38 |
| Government National Mortgage Assn. Pool #MA6994 2.00% 11/20/2050 <sup>(a)</sup>  | 7197 | 5998 |
| Government National Mortgage Assn. Pool #BZ3978 2.50% 11/20/2050 <sup>(a)</sup>  | 4951 | 4290 |
| Government National Mortgage Assn. Pool #MA7051 2.00% 12/20/2050 <sup>(a)</sup>  | 9114 | 7596 |
| Government National Mortgage Assn. Pool #785575 2.50% 8/20/2051 <sup>(a)</sup>  | 54338 | 46691 |
| Government National Mortgage Assn. Pool #785659 2.50% 10/20/2051 <sup>(a)</sup>  | 5970 | 5143 |
| Government National Mortgage Assn. Pool #785792 2.50% 12/20/2051 <sup>(a)</sup>  | 72654 | 62362 |
| Government National Mortgage Assn. Pool #786706 2.50% 12/20/2051 <sup>(a)</sup>  | 5631 | 4841 |
| Government National Mortgage Assn. Pool #MA7827 2.50% 1/20/2052 <sup>(a)</sup>  | 2576 | 2238 |
| Government National Mortgage Assn. Pool #785847 2.50% 1/20/2052 <sup>(a)</sup>  | 1991 | 1716 |
| Government National Mortgage Assn. Pool #MA7881 2.50% 2/20/2052 <sup>(a)</sup>  | 12641 | 10983 |
| Government National Mortgage Assn. Pool #MA7936 2.50% 3/20/2052 <sup>(a)</sup>  | 8220 | 7142 |
| Government National Mortgage Assn. Pool #786647 2.50% 3/20/2052 <sup>(a)</sup>  | 7473 | 6502 |
| Government National Mortgage Assn. Pool #786701 2.50% 3/20/2052 <sup>(a)</sup>  | 4821 | 4190 |
| Government National Mortgage Assn. Pool #MA7937 3.00% 3/20/2052 <sup>(a)</sup>  | 4638 | 4189 |
| Government National Mortgage Assn. Pool #MA7987 2.50% 4/20/2052 <sup>(a)</sup>  | 3756 | 3264 |
| Government National Mortgage Assn. Pool #MA7988 3.00% 4/20/2052 <sup>(a)</sup>  | 3521 | 3180 |
| Government National Mortgage Assn. Pool #MA8266 3.50% 9/20/2052 <sup>(a)</sup>  | 20176 | 18778 |
| Government National Mortgage Assn. Pool #MA8346 4.00% 10/20/2052 <sup>(a)</sup>  | 7755 | 7420 |
| Government National Mortgage Assn. Pool #MA8567 4.00% 1/20/2053 <sup>(a)</sup>  | 5650 | 5404 |
| Government National Mortgage Assn. Pool #MA8723 4.00% 3/20/2053 <sup>(a)</sup>  | 3615 | 3459 |
| Government National Mortgage Assn. Pool #MA9015 4.50% 7/20/2053 <sup>(a)</sup>  | 16588 | 16321 |
| Government National Mortgage Assn. Pool #MA9776 4.00% 7/20/2054 <sup>(a)</sup>  | 1690 | 1612 |
| Government National Mortgage Assn. Pool #MB0024 4.50% 11/20/2054 <sup>(a)</sup>  | 25038 | 24518 |
| Government National Mortgage Assn. Pool #MB0147 5.50% 1/20/2055 <sup>(a)</sup>  | 2693 | 2724 |
| Government National Mortgage Assn. Pool #MB0205 5.50% 2/20/2055 <sup>(a)</sup>  | 1753 | 1772 |
| Government National Mortgage Assn. Pool #MB0424 5.50% 6/20/2055 <sup>(a)</sup>  | 9914 | 10023 |
| Government National Mortgage Assn. Pool #MB0485 5.50% 7/20/2055 <sup>(a)</sup>  | 8445 | 8543 |
| Government National Mortgage Assn. Pool #773441 5.20% 4/20/2062 <sup>(a)</sup>  | 1 | 1 |
| Government National Mortgage Assn. Pool #AG8235 5.20% 12/20/2064 <sup>(a)</sup>  | 1 | 1 |
| Government National Mortgage Assn. Pool #AQ8290 4.889% 2/20/2066 <sup>(a)</sup>  | 1 | 1 |
| Government National Mortgage Assn. Pool #AQ8292 5.197% 2/20/2066 <sup>(a)</sup>  | 1 | 1 |
| Government National Mortgage Assn., Series 2021-2, Class AH, 1.50% 6/16/2063 <sup>(a)</sup>  | 7696 | 5772 |
| Government National Mortgage Assn., Series 2016-H13, Class IO, interest only, 0.542% 5/20/2066 <sup>(a)(d)</sup>  | 2302 | 26 |
| Uniform Mortgage-Backed Security 2.50% 12/1/2040 <sup>(a)(e)</sup>  | 12150 | 11491 |
| Uniform Mortgage-Backed Security 4.00% 12/1/2040 <sup>(a)(e)</sup>  | 11000 | 10851 |
| Uniform Mortgage-Backed Security 2.00% 12/1/2055 <sup>(a)(e)</sup>  | 86795 | 70645 |
| Uniform Mortgage-Backed Security 2.50% 12/1/2055 <sup>(a)(e)</sup>  | 303288 | 258090 |
| Uniform Mortgage-Backed Security 3.00% 12/1/2055 <sup>(a)(e)</sup>  | 97038 | 86202 |
| Uniform Mortgage-Backed Security 3.50% 12/1/2055 <sup>(a)(e)</sup>  | 79292 | 73351 |
| Uniform Mortgage-Backed Security 4.00% 12/1/2055 <sup>(a)(e)</sup>  | 53249 | 50723 |
| Uniform Mortgage-Backed Security 4.50% 12/1/2055 <sup>(a)(e)</sup>  | 25008 | 24485 |
| Uniform Mortgage-Backed Security 5.00% 12/1/2055 <sup>(a)(e)</sup>  | 50000 | 49905 |
| Uniform Mortgage-Backed Security 5.50% 12/1/2055 <sup>(a)(e)</sup>  | 69098 | 69980 |
| Uniform Mortgage-Backed Security 6.00% 12/1/2055 <sup>(a)(e)</sup>  | 308727 | 316138 |

---

American Funds Mortgage Fund — Page 20 of 27

------

**unaudited**

---

| | | |
|:---|:---|:---|
| Bonds, notes & other debt instruments (continued)<br> **Mortgage-backed obligations (continued)**<br> **Federal agency mortgage-backed obligations (continued)**<br>| Principal amount<br> (000)<br>| Value<br> (000)<br>|
| Uniform Mortgage-Backed Security 6.50% 12/1/2055 <sup>(a)(e)</sup>  | USD391,278 | $405388 |
| Uniform Mortgage-Backed Security 7.00% 12/1/2055 <sup>(a)(e)</sup>  | 47878 | 50224 |
| Uniform Mortgage-Backed Security 2.00% 1/1/2056 <sup>(a)(e)</sup>  | 132912 | 108203 |
| Uniform Mortgage-Backed Security 3.50% 1/1/2056 <sup>(a)(e)</sup>  | 129349 | 119618 |
| Uniform Mortgage-Backed Security 5.50% 1/1/2056 <sup>(a)(e)</sup>  | 42335 | 42839 |
| Uniform Mortgage-Backed Security 7.00% 1/1/2056 <sup>(a)(e)</sup>  | 6369 | 6686 |
|  |  | 9690751 |
| **Commercial mortgage-backed securities 0.83%** |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; BX Commercial Mortgage Trust, Series 2022-CSMO, Class A, (1-month USD CME Term SOFR + 2.115%) 6.074% <br> 6/15/2027 <sup>(a)(c)(d)</sup>  | 7875 | 7907 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; BX Commercial Mortgage Trust, Series 2021-VOLT, Class A, (1-month USD CME Term SOFR + 0.814%) 4.773% <br> 9/15/2036 <sup>(a)(c)(d)</sup>  | 26061 | 26050 |
| BX Trust, Series 2021-ARIA, Class A, (1-month USD CME Term SOFR + 1.014%) 4.972% 10/15/2036 <sup>(a)(c)(d)</sup>  | 19921 | 19913 |
| Citigroup Commercial Mortgage Trust, Series 2023-SMRT, Class A, 6.015% 10/12/2040 <sup>(a)(c)(d)</sup>  | 31782 | 32755 |
| SREIT Trust, Series 2021-MFP, Class A, (1-month USD CME Term SOFR + 0.845%) 4.804% 11/15/2038 <sup>(a)(c)(d)</sup>  | 15124 | 15117 |
|  |  | 101742 |
| **Collateralized mortgage-backed obligations (privately originated) 0.46%** |  |  |
| Arroyo Mortgage Trust, Series 2019-1, Class A1, 3.805% 1/25/2049 <sup>(a)(c)(d)</sup>  | 32 | 31 |
| CIM Trust, Series 2022-R2, Class A1, 3.75% 12/25/2061 <sup>(a)(c)(d)</sup>  | 12898 | 12399 |
| COLT Mortgage Loan Trust, Series 2021-5, Class A1, 1.726% 11/26/2066 <sup>(a)(c)(d)</sup>  | 734 | 669 |
| FARM Mortgage Trust, Series 2024-1, Class A, 4.684% 10/1/2053 <sup>(a)(c)(d)</sup>  | 14182 | 13873 |
| Legacy Mortgage Asset Trust, Series 2021-GS2, Class A1, 5.75% 4/25/2061 <sup>(a)(c)</sup>  | 2976 | 2978 |
| Morgan Stanley Residential Mortgage Loan Trust, Series 2024-INV2, Class A1, 6.50% 2/25/2054 <sup>(a)(c)(d)</sup>  | 14623 | 14920 |
| PMT Loan Trust, Series 2024-INV1, Class A2, 6.00% 10/25/2059 <sup>(a)(c)(d)</sup>  | 8388 | 8548 |
| Towd Point Mortgage Trust, Series 2016-2, Class M1, 3.00% 8/25/2055 <sup>(a)(c)(d)</sup>  | 2542 | 2516 |
|  |  | 55934 |
| **Total mortgage-backed obligations** |  | 9848427 |
| **U.S. Treasury bonds & notes 6.23%**<br> **U.S. Treasury 6.23%**<br>|  |  |
| U.S. Treasury 4.50% 3/31/2026  | 20000 | 20045 |
| U.S. Treasury 4.375% 7/31/2026  | 37000 | 37156 |
| U.S. Treasury 0.875% 9/30/2026  | 400 | 391 |
| U.S. Treasury 3.50% 9/30/2026  | 44000 | 43941 |
| U.S. Treasury 4.125% 1/31/2027  | 27000 | 27160 |
| U.S. Treasury 3.75% 6/30/2027  | 28376 | 28467 |
| U.S. Treasury 3.50% 10/31/2027  | 110000 | 109985 |
| U.S. Treasury 1.25% 5/31/2028  | 3800 | 3598 |
| U.S. Treasury 1.25% 6/30/2028  | 19000 | 17960 |
| U.S. Treasury 4.125% 7/31/2028 <sup>(f)</sup>  | 118000 | 119899 |
| U.S. Treasury 1.75% 1/31/2029 <sup>(f)</sup>  | 10000 | 9476 |
| U.S. Treasury 4.50% 5/31/2029 <sup>(f)</sup>  | 136000 | 140335 |
| U.S. Treasury 4.125% 10/31/2031  | 5184 | 5301 |
| U.S. Treasury 4.375% 1/31/2032  | 11000 | 11394 |
| U.S. Treasury 1.875% 2/15/2032 <sup>(f)</sup>  | 10000 | 8979 |
| U.S. Treasury 2.875% 5/15/2032 <sup>(f)</sup>  | 5822 | 5533 |
| U.S. Treasury 4.00% 6/30/2032  | 30000 | 30428 |
| U.S. Treasury 1.375% 11/15/2040  | 3168 | 2099 |
| U.S. Treasury 1.875% 2/15/2041  | 18333 | 13065 |
| U.S. Treasury 3.25% 5/15/2042  | 8193 | 6969 |
| U.S. Treasury 1.875% 2/15/2051  | 11600 | 6703 |

---

American Funds Mortgage Fund — Page 21 of 27

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**unaudited**

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| | | | |
|:---|:---|:---|:---|
| Bonds, notes & other debt instruments (continued)<br> **U.S. Treasury bonds & notes (continued)**<br> **U.S. Treasury (continued)**<br>|  | Principal amount<br> (000)<br>| Value<br> (000)<br>|
| U.S. Treasury 2.00% 8/15/2051  | U.S. Treasury 2.00% 8/15/2051  | USD11,000 | $6517 |
| U.S. Treasury 4.625% 2/15/2055 <sup>(f)</sup>  | U.S. Treasury 4.625% 2/15/2055 <sup>(f)</sup>  | 45000 | 44638 |
| U.S. Treasury 4.75% 8/15/2055 <sup>(f)</sup>  | U.S. Treasury 4.75% 8/15/2055 <sup>(f)</sup>  | 63000 | 63798 |
|  |  |  | 763837 |
| **Asset-backed obligations 0.76%**<br> **Other asset-backed securities 0.26%**<br>|  |  |  |
| CF Hippolyta, LLC, Series 2020-1, Class A1, 1.69% 7/15/2060 <sup>(a)(c)</sup> <br>|  | 4982 | 4282 |
| CF Hippolyta, LLC, Series 2020-1, Class A2, 1.99% 7/15/2060 <sup>(a)(c)</sup> <br>|  | 2203 | 1861 |
| CF Hippolyta, LLC, Series 2021-1, Class A1, 1.53% 3/15/2061 <sup>(a)(c)</sup> <br>|  | 9417 | 7737 |
| New Economy Assets Phase 1 Issuer, LLC, Series 2021-1, Class A1, 1.91% 10/20/2061 <sup>(a)(c)</sup> <br>|  | 12130 | 10315 |
| Synchrony Card Issuance Trust, Series 2023-A, Class A, 5.54% 7/15/2029 <sup>(a)</sup> <br>|  | 7488 | 7558 |
|  |  |  | 31753 |
| **Auto loan 0.25%** |  |  |  |
| American Credit Acceptance Receivables Trust, Series 2024-3, Class A, 5.76% 11/12/2027 <sup>(a)(c)</sup> <br>|  | 43 | 43 |
| American Credit Acceptance Receivables Trust, Series 2024-4, Class A, 4.81% 3/13/2028 <sup>(a)(c)</sup> <br>|  | 213 | 213 |
| Bridgecrest Lending Auto Securitization Trust, Series 2024-4, Class A2, 4.84% 9/15/2027 <sup>(a)</sup> <br>|  | 227 | 227 |
| CPS Auto Receivables Trust, Series 2024-D, Class A, 4.91% 6/15/2028 <sup>(a)(c)</sup> <br>|  | 379 | 380 |
| Drive Auto Receivables Trust, Series 2024-2, Class A2, 4.94% 12/15/2027 <sup>(a)</sup> <br>|  | 381 | 381 |
| Drive Auto Receivables Trust, Series 2024-2, Class A3, 4.50% 9/15/2028 <sup>(a)</sup> <br>|  | 2905 | 2909 |
| Ford Credit Auto Owner Trust, Series 2023-2, Class A, 5.28% 2/15/2036 <sup>(a)(c)</sup> <br>|  | 22413 | 23183 |
| GLS Auto Receivables Trust, Series 2024-3A, Class A2, 5.35% 8/16/2027 <sup>(a)(c)</sup> <br>|  | 95 | 95 |
| GLS Auto Receivables Trust, Series 2024-4A, Class A2, 4.76% 10/15/2027 <sup>(a)(c)</sup> <br>|  | 512 | 512 |
| GLS Auto Receivables Trust, Series 2024-3A, Class A3, 5.02% 4/17/2028 <sup>(a)(c)</sup> <br>|  | 2085 | 2089 |
| Santander Drive Auto Receivables Trust, Series 2024-5, Class A2, 4.88% 9/15/2027 <sup>(a)</sup> <br>|  | 206 | 206 |
| Santander Drive Auto Receivables Trust, Series 2023-4, Class A3, 5.73% 4/17/2028 <sup>(a)</sup> <br>|  | 175 | 175 |
| World OMNI Select Auto Trust, Series 2024-A, Class A2A, 5.37% 2/15/2028 <sup>(a)</sup> <br>|  | 415 | 416 |
|  |  |  | 30829 |
| **Student loan 0.25%** |  |  |  |
| Navient Student Loan Trust, Series 2021-A, Class A, 0.84% 5/15/2069 <sup>(a)(c)</sup> <br>|  | 1473 | 1353 |
| Navient Student Loan Trust, Series 2021-CA, Class A, 1.06% 10/15/2069 <sup>(a)(c)</sup> <br>|  | 2738 | 2514 |
| Nelnet Student Loan Trust, Series 2021-CA, Class AFX, 1.32% 4/20/2062 <sup>(a)(c)</sup> <br>|  | 3523 | 3305 |
| Nelnet Student Loan Trust, Series 2021-A, Class APT1, 1.36% 4/20/2062 <sup>(a)(c)</sup> <br>|  | 4432 | 4187 |
| Nelnet Student Loan Trust, Series 2021-B, Class AFX, 1.42% 4/20/2062 <sup>(a)(c)</sup> <br>|  | 12206 | 11547 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Nelnet Student Loan Trust, Series 2021-CA, Class AFL, (1-month USD CME Term SOFR + 0.854%) <br> 4.814% 4/20/2062 <sup>(a)(c)(d)</sup> <br>|  | 6405 | 6393 |
| SMB Private Education Loan Trust, Series 2021-A, Class APT2, 1.07% 1/15/2053 <sup>(a)(c)</sup> <br>|  | 1037 | 950 |
|  |  |  | 30249 |
| **Total asset-backed obligations** |  |  | 92831 |
| **Total bonds, notes & other debt instruments** (cost: $10,673,088,000) |  |  | 10705095 |
| Short-term securities 27.35%<br> **Federal agency bills & notes 16.52%**<br> **Federal agency bonds & notes 16.52%**<br>| Weighted<br> average yield<br> at acquisition<br>|  |  |
| Federal Home Loan Bank 12/4/2025  | 3.872<br> %<br>| 150000 | 149952 |
| Federal Home Loan Bank 12/15/2025  | 3.852 | 150000 | 149780 |
| Federal Home Loan Bank 12/30/2025  | 3.827 | 500000 | 498442 |
| Federal Home Loan Bank 1/6/2026  | 3.790 | 400000 | 398464 |
| Federal Home Loan Bank 1/7/2026  | 3.815 | 100000 | 99605 |

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American Funds Mortgage Fund — Page 22 of 27

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**unaudited**

---

| | | | |
|:---|:---|:---|:---|
| Short-term securities (continued)<br> **Federal agency bills & notes (continued)**<br> **Federal agency bonds & notes (continued)**<br>| Weighted<br> average yield<br> at acquisition<br>| Principal amount<br> (000)<br>| Value<br> (000)<br>|
| Federal Home Loan Bank 1/16/2026  | 3.813<br> %<br>| USD50,000 | $49759 |
| Federal Home Loan Bank 1/21/2026  | 3.746 | 52099 | 51822 |
| Federal Home Loan Bank 1/23/2026  | 3.786 | 135000 | 134261 |
| Federal Home Loan Bank 1/26/2026  | 3.781 | 100000 | 99421 |
| Federal Home Loan Bank 1/28/2026  | 3.758 | 150000 | 149119 |
| Federal Home Loan Bank 2/11/2026  | 3.708 | 31000 | 30773 |
| Federal Home Loan Bank 3/11/2026  | 3.689 | 67000 | 66308 |
| Federal Home Loan Bank 3/13/2026  | 3.680 | 150000 | 148419 |
|  |  |  | 2026125 |
|  |  |  | 2026125 |
| **Money market investments 10.83%** |  | Shares |  |
| Capital Group Central Cash Fund 3.94% <sup>(g)(h)</sup>  | Capital Group Central Cash Fund 3.94% <sup>(g)(h)</sup>  | 13290054 | 1328872 |
| **Total short-term securities** (cost: $3,354,955,000) |  |  | 3354997 |
| Options purchased (equity style) 0.00% |  |  |  |
| Options purchased (equity style)\* |  |  | 73 |
| **Total options purchased (equity style)** (cost: $1,092,000) |  |  | 73 |
| **Total investment securities 114.63%** (cost: $14,029,135,000) |  |  | 14060165 |
| Other assets less liabilities (14.63)% |  |  | (1794256)<br>|
| **Net assets 100.00%** |  |  | $12265909 |

---

<sup>\*</sup>Options purchased (equity style)

------

**Options on futures** 

---

| | | | | | |
|:---|:---|:---|:---|:---|:---|
| Description | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Number of <br>contracts<br>| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Expiration <br>date<br>| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Exercise <br>price<br>| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Notional <br>amount <br>&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;(000)<br>| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Value at <br>11/30/2025 <br>&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;(000)<br>|
| **Put** |  |  |  |  |  |
| 3 Month SOFR Futures Option | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 11750 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 12/12/2025 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; USD95.69 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; USD2,937,500 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; $73 |

---

Futures contracts

------

---

| | | | | | |
|:---|:---|:---|:---|:---|:---|
| Contracts | Type | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Number of <br>contracts<br>| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Expiration <br>date<br>| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Notional <br>amount <br>&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;(000)<br>| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Value and <br>unrealized <br>appreciation <br>&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;(depreciation) <br>at 11/30/2025 <br>&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;(000)<br>|
| 2 Year U.S. Treasury Note Futures | Long | 33393 | 4/6/2026 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; USD6,974,441 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; $800 |
| 5 Year U.S. Treasury Note Futures | Long | 13818 | 4/6/2026 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 1516741 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 2289 |
| 10 Year Ultra U.S. Treasury Note Futures | Long | 3373 | 3/31/2026 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 391953 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 848 |
| 10 Year U.S. Treasury Note Futures | Short | 1754 | 3/31/2026 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; (198805)<br>| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 85 |
| 20 Year U.S. Treasury Bond Futures | Long | 1448 | 3/31/2026 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 170050 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 452 |
| 30 Year Ultra U.S. Treasury Bond Futures | Long | 1844 | 3/31/2026 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 223009 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 1734 |
|  |  |  |  |  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; $6208 |

---

American Funds Mortgage Fund — Page 23 of 27

------

**unaudited**

Swap contracts

------

**Interest rate swaps**

**Centrally cleared interest rate swaps** 

---

| | | | | | | | | |
|:---|:---|:---|:---|:---|:---|:---|:---|:---|
| Receive | Receive | Pay | Pay | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Expiration <br>date | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Notional <br>amount <br>&nbsp;&nbsp;&nbsp;&nbsp;(000) | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Value at <br>11/30/2025 <br>&nbsp;&nbsp;&nbsp;&nbsp;(000) | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Upfront <br>premium <br>paid <br>&nbsp;&nbsp;&nbsp;&nbsp;(received) <br>&nbsp;&nbsp;&nbsp;&nbsp;(000) | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Unrealized <br>appreciation <br>&nbsp;&nbsp;&nbsp;&nbsp;(depreciation) <br>at 11/30/2025 <br>&nbsp;&nbsp;&nbsp;&nbsp;(000) |
| Rate | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Payment <br>frequency<br>| Rate | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Payment <br>frequency<br>| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Expiration <br>date | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Notional <br>amount <br>&nbsp;&nbsp;&nbsp;&nbsp;(000) | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Value at <br>11/30/2025 <br>&nbsp;&nbsp;&nbsp;&nbsp;(000) | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Upfront <br>premium <br>paid <br>&nbsp;&nbsp;&nbsp;&nbsp;(received) <br>&nbsp;&nbsp;&nbsp;&nbsp;(000) | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Unrealized <br>appreciation <br>&nbsp;&nbsp;&nbsp;&nbsp;(depreciation) <br>at 11/30/2025 <br>&nbsp;&nbsp;&nbsp;&nbsp;(000) |
| SOFR | Annual | 3.3615% | Annual | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 5/31/2030 | USD50,109 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; $(167)<br>| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; $— | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; $(167)<br>|
| SOFR | Annual | 3.6038% | Annual | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 1/8/2034 | 46550 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; (367)<br>| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; — | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; (367)<br>|
| SOFR | Annual | 3.8215% | Annual | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 4/23/2035 | 9631 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; (192)<br>| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; — | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; (192)<br>|
| SOFR | Annual | 3.802% | Annual | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 7/11/2035 | 6985 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; (123)<br>| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; — | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; (123)<br>|
| SOFR | Annual | 3.6965% | Annual | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 11/5/2035 | 21884 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; (169)<br>| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; — | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; (169)<br>|
| SOFR | Annual | 3.41% | Annual | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 7/28/2045 | 115000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 8822 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; — | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 8822 |
|  |  |  |  |  |  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; $7804 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; $— | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; $7804 |

---

Investments in affiliates <sup>(h)</sup>

------

---

| | | | | | | | |
|:---|:---|:---|:---|:---|:---|:---|:---|
|  | Value at <br>9/1/2025 <br>(000)<br>| Additions <br>(000)<br>| Reductions <br>(000)<br>| Net <br>realized <br>gain (loss) <br>(000)<br>| Net <br>unrealized <br>appreciation <br>(depreciation) <br>(000)<br>| Value at <br>11/30/2025 <br>(000)<br>| Dividend <br>or interest <br>income <br>(000)<br>|
| **Short-term securities 10.83%** | **Short-term securities 10.83%** | **Short-term securities 10.83%** | **Short-term securities 10.83%** | **Short-term securities 10.83%** | **Short-term securities 10.83%** | **Short-term securities 10.83%** | **Short-term securities 10.83%** |
| **Money market investments 10.83%** |  |  |  |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Capital Group Central Cash Fund 3.94% <sup>(g)</sup> <br>| $1015625 | &nbsp;&nbsp; $2491723 | &nbsp;&nbsp; $2178257 | &nbsp;&nbsp; $33 | &nbsp;&nbsp; $(252)<br>| &nbsp;&nbsp; $1328872 | &nbsp;&nbsp; $13439 |

---

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;

<sup>(a)</sup> Principal payments may be made periodically. Therefore, the effective maturity date may be earlier than the stated maturity date.

<sup>(b)</sup> Amount less than one thousand.

<sup>(c)</sup> Acquired in a transaction exempt from registration under Rule 144A or, for commercial paper, Section 4(a)(2) of the Securities Act of 1933. May be resold in the U.S. in transactions exempt from registration, normally to qualified institutional buyers. The total value of all such securities was $247,053,000, which represented 2.01% of the net assets of the fund. 

<sup>(d)</sup> Coupon rate may change periodically. Reference rate and spread are as of the most recent information available. Some coupon rates are determined by the issuer or agent based on current market conditions; therefore, the reference rate and spread are not available. 

<sup>(e)</sup> Represents securities transacted on a TBA basis.

<sup>(f)</sup> All or a portion of this security was pledged as collateral. The total value of pledged collateral was $90,557,000, which represented 0.74% of the net assets of the fund. 

<sup>(g)</sup> Rate represents the seven-day yield at 11/30/2025.

<sup>(h)</sup> Affiliate of the fund or part of the same "group of investment companies" as the fund, as defined under the Investment Company Act of 1940, as amended.

American Funds Mortgage Fund — Page 24 of 27

------

**unaudited**

Valuation disclosures

------

Capital Research and Management Company ("CRMC"), the fund's investment adviser, values the fund's investments at fair value as defined by accounting principles generally accepted in the United States of America. The net asset value per share is calculated once daily as of the close of regular trading on the New York Stock Exchange, normally 4 p.m. New York time, each day the New York Stock Exchange is open. Security transactions are recorded by the fund as of the date the trades are executed with brokers.

**Methods and inputs** — The fund's investment adviser uses the following methods and inputs to establish the fair value of the fund's assets and liabilities. Use of particular methods and inputs may vary over time based on availability and relevance as market and economic conditions evolve.

Fixed-income securities, including short-term securities, are generally valued at evaluated prices obtained from third-party pricing vendors. Vendors value such securities based on one or more of the inputs described in the following table. The table provides examples of inputs that are commonly relevant for valuing particular classes of fixed-income securities in which the fund is authorized to invest. However, these classifications are not exclusive, and any of the inputs may be used to value any other class of fixed-income security.

---

| | |
|:---|:---|
| **Fixed-income class** | **Examples of standard inputs** |
| &nbsp;&nbsp;&nbsp;&nbsp; All | &nbsp;&nbsp;&nbsp; Benchmark yields, transactions, bids, offers, quotations from dealers and <br> trading systems, new issues, spreads and other relationships observed in <br> the markets among comparable securities; and proprietary pricing <br> models such as yield measures calculated using factors such as cash flows, <br> financial or collateral performance and other reference data (collectively <br> referred to as "standard inputs")<br>|
| &nbsp;&nbsp;&nbsp;&nbsp; Corporate bonds, notes & loans; convertible securities | Standard inputs and underlying equity of the issuer |
| &nbsp;&nbsp;&nbsp;&nbsp; Bonds & notes of governments & government agencies | Standard inputs and interest rate volatilities |
| &nbsp;&nbsp;&nbsp;&nbsp; Mortgage-backed; asset-backed obligations | &nbsp;&nbsp;&nbsp; Standard inputs and cash flows, prepayment information, default rates, <br> delinquency and loss assumptions, collateral characteristics, credit <br> enhancements and specific deal information<br>|

---

The Capital Group Central Cash Fund ("CCF"), a fund within the Capital Group Central Fund Series ("Central Funds"), is valued based upon a floating net asset value, which fluctuates with changes in the value of CCF's portfolio securities. The underlying securities are valued based on the policies and procedures in CCF's statement of additional information. Exchange-traded options and futures are generally valued at the official closing price for options and official settlement price for futures on the exchange or market on which such instruments are traded, as of the close of business on the day such instruments are being valued. The average month-end notional amount of options on futures while held was $3,011,104,000. The average month-end notional amount of futures contracts while held was $9,623,276,000. Swaps are generally valued using evaluated prices obtained from third-party pricing vendors who calculate these values based on market inputs that may include the yields of the indices referenced in the instrument and the relevant curve, dealer quotes, default probabilities and recovery rates, and terms of the contract. The average month-end notional amounts of interest rate swaps while held were $179,671,000.

Securities and other assets for which representative market quotations are not readily available or are considered unreliable by the fund's investment adviser are fair valued as determined in good faith under fair valuation guidelines adopted by the fund's investment adviser and approved by the board of trustees as further described. The investment adviser follows fair valuation guidelines, consistent with U.S. Securities and Exchange Commission rules and guidance, to consider relevant principles and factors when making fair value determinations. The investment adviser considers relevant indications of value that are reasonably and timely available to it in determining the fair value to be assigned to a particular security, such as the type and cost of the security, restrictions on resale of the security, relevant financial or business developments of the issuer, actively traded similar or related securities, dealer or broker quotes, conversion or exchange rights on the security, related corporate actions, significant events occurring after the close of trading in the security, and changes in overall market conditions. In addition, the closing prices of equity securities that trade in markets outside U.S. time zones may be adjusted to reflect significant events that occur after the close of local trading but before the net asset value of each share class of the fund is determined. Fair valuations of investments that are not actively trading involve judgment and may differ materially from valuations that would have been used had greater market activity occurred.

American Funds Mortgage Fund — Page 25 of 27

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**unaudited**

**Processes and structure** — The fund's board of trustees has designated the fund's investment adviser to make fair value determinations, subject to board oversight. The investment adviser has established a Joint Fair Valuation Committee (the "Committee") to administer, implement and oversee the fair valuation process and to make fair value decisions. The Committee regularly reviews its own fair value decisions, as well as decisions made under its standing instructions to the investment adviser's valuation team. The Committee reviews changes in fair value measurements from period to period, pricing vendor information and market data, and may, as deemed appropriate, update the fair valuation guidelines to better reflect the results of back testing and address new or evolving issues. Pricing decisions, processes and controls over security valuation are also subject to additional internal reviews facilitated by the investment adviser's global risk management group. The Committee reports changes to the fair valuation guidelines to the board of trustees. The fund's board and audit committee also regularly review reports that describe fair value determinations and methods.

**Classifications** — The fund's investment adviser classifies the fund's assets and liabilities into three levels based on the inputs used to value the assets or liabilities. Level 1 values are based on quoted prices in active markets for identical securities. Level 2 values are based on significant observable market inputs, such as quoted prices for similar securities and quoted prices in inactive markets. Certain securities trading outside the U.S. may transfer between Level 1 and Level 2 due to valuation adjustments resulting from significant market movements following the close of local trading. Level 3 values are based on significant unobservable inputs that reflect the investment adviser's determination of assumptions that market participants might reasonably use in valuing the securities. The valuation levels are not necessarily an indication of the risk or liquidity associated with the underlying investment. For example, U.S. government securities are reflected as Level 2 because the inputs used to determine fair value may not always be quoted prices in an active market. The fund's valuation levels as of November 30, 2025, were as follows (dollars in thousands):

---

| | | | | |
|:---|:---|:---|:---|:---|
|  | Investment securities | Investment securities | Investment securities | Investment securities |
|  | Level 1 | Level 2 | Level 3 | Total |
| **Assets:** |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Bonds, notes & other debt instruments: |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Mortgage-backed obligations | $— | $9848427 | $— | $9848427 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; U.S. Treasury bonds & notes |  | 763837 |  | 763837 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Asset-backed obligations |  | 92831 |  | 92831 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Short-term securities  | 1328872 | 2026125 |  | 3354997 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Options purchased on futures (equity style) | 73 |  |  | 73 |
| Total | $1328945 | $12731220 | $— | $14060165 |

---

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;

---

| | | | | |
|:---|:---|:---|:---|:---|
|  | Other investments\* | Other investments\* | Other investments\* | Other investments\* |
|  | Level 1 | Level 2 | Level 3 | Total |
| **Assets:** |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Unrealized appreciation on futures contracts | $6208 | $— | $— | $6208 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Unrealized appreciation on centrally cleared interest rate swaps |  | 8822 |  | 8822 |
| **Liabilities:** |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Unrealized depreciation on centrally cleared interest rate swaps |  | (1018)<br>|  | (1018)<br>|
| Total  | $6208 | $7804 | $— | $14012 |

---

\*

Futures contracts and interest rate swaps are not included in the fund's investment portfolio.

---

| |
|:---|
| **Key to abbreviation(s)** |
| Assn. = Association |
| CME = CME Group |
| SOFR = Secured Overnight Financing Rate |
| TBA = To be announced |
| USD = U.S. dollars |

---

American Funds Mortgage Fund — Page 26 of 27

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**unaudited**

**Investments are not FDIC-insured, nor are they deposits of or guaranteed by a bank or any other entity, so they may lose value.**

**Investors should carefully consider investment objectives, risks, charges and expenses. This and other important information is contained in the fund prospectus and summary prospectus, which can be obtained from your financial professional and should be read carefully before investing. You may also call American Funds Service Company (AFS) at (800) 421-4225 or visit the Capital Group website at capitalgroup.com.**

All Capital Group trademarks mentioned are owned by The Capital Group Companies, Inc., an affiliated company or fund. All other company and product names mentioned are the property of their respective companies.

Capital Client Group, Inc., member FINRA.© 2026 Capital Group. All rights reserved.

MFGEFP1-042-0126

American Funds Mortgage Fund — Page 27 of 27

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## Form NPORT-P: Monthly Portfolio Investments Report

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

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

- **a. Name of Registrant:** American Funds Mortgage Fund

- **b. Investment Company Act file number:** 811-22449

- **c. CIK number of Registrant:** 0001496998

- **d. LEI of Registrant:** C5033DWGZLEAE8CW5708

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

  - **Street Address 1:** 6455 Irvine Center Drive

  - **City:** Irvine

  - **State:** CA

  - **Foreign country:** US

  - **Zip / Postal Code:** 92618-4518

  - **Telephone number:** 9499755000

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

- **a. Name of Series:** American Funds Mortgage Fund

- **b. EDGAR series identifier (if any):** S000030190

- **c. LEI of Series:** C5033DWGZLEAE8CW5708

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

- **a. Date of fiscal year-end:** 2026-08-31

- **b. Date as of which information is reported:** 2025-11-30

**Item A.4. Final filing**

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

### Fund Information

**Total Assets:** $14566941832.98

**Total Liabilities:** $2346664587.66

**Net Assets:** $12220277245.32

**Cash Not Reported:** $19177660.26

**Currency Risk Metrics (dv01):**

- 

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

- **3-Month:** -1859.210000000000 | **1-Year:** -19307.330000000000 | **5-Year:** -15947.850000000000 | **10-Year:** -1686.620000000000 | **30-Year:** -276.868347200000

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

- **3-Month:** -849.205550400000 | **1-Year:** -10764.640000000000 | **5-Year:** -25931.200000000000 | **10-Year:** -8837.510000000000 | **30-Year:** -972.218944500000

**Monthly Return Information**

| Class               | Month 1 Return (%)   | Month 2 Return (%)   | Month 3 Return (%)   |
|:---|:---|:---|:---|
| Class ID C000092896 | 0.80%                | 0.57%                | 0.67%                |
| Class ID C000092897 | 0.83%                | 0.60%                | 0.69%                |
| Class ID C000092898 | 0.75%                | 0.52%                | 0.62%                |
| Class ID C000092899 | 0.75%                | 0.52%                | 0.62%                |
| Class ID C000092900 | 0.78%                | 0.55%                | 0.65%                |
| Class ID C000092901 | 0.81%                | 0.58%                | 0.68%                |
| Class ID C000092902 | 0.83%                | 0.72%                | 0.59%                |
| Class ID C000092903 | 0.84%                | 0.61%                | 0.71%                |
| Class ID C000092905 | 0.75%                | 0.51%                | 0.61%                |
| Class ID C000092906 | 0.81%                | 0.58%                | 0.67%                |
| Class ID C000092907 | 0.83%                | 0.71%                | 0.58%                |
| Class ID C000092908 | 0.69%                | 0.68%                | 0.56%                |
| Class ID C000092910 | 0.74%                | 0.51%                | 0.61%                |
| Class ID C000092911 | 0.78%                | 0.55%                | 0.65%                |
| Class ID C000148445 | 0.78%                | 0.55%                | 0.64%                |
| Class ID C000164806 | 0.83%                | 0.60%                | 0.69%                |
| Class ID C000180009 | 0.84%                | 0.61%                | 0.71%                |
| Class ID C000189492 | 0.71%                | 0.70%                | 0.58%                |
| Class ID C000189493 | 0.71%                | 0.71%                | 0.58%                |
| Class ID C000224553 | 0.83%                | 0.71%                | 0.58%                |
| Class ID C000224554 | 0.83%                | 0.72%                | 0.59%                |

**Monthly Gains & Losses**

| Period   | Net Realized Gain/Loss   | Net Unrealized Appreciation/Depreciation   |
|:---|:---|:---|
| Month 1  | $34739077.41             | $17382727.36                               |
| Month 2  | $14283725.30             | $17567454.52                               |
| Month 3  | $1220111.64              | $16613695.26                               |

**Designated Index Information**

- **Index Name:** Bloomberg U.S. Mortgage Backed Securities Index

- **Index Identifier:** LUMSTRUU

### Schedule of Portfolio Investments

| Name                                                        | Title                                          | Identifiers                                   | Payoff Profile   | Asset Category   | Issuer Category   | Country   |   Balance | Units   | Value (USD)    | % of Net Assets   | Maturity Date   | Coupon Type   | Annualized Rate (%)   | Restricted?   |   Fair Value Level | Lending Status   |
|:---|:---|:---|:---|:---|:---|:---|---:|:---|:---|:---|:---|:---|:---|:---|---:|:---|
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                       | FNCL UMBS 2.5 FP0034 10-01-50                  | CUSIP: 3140XTBC4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |     99403 | PA      | $84805.48      | 0.00%             | 2050-10-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                       | FNCL UMBS 2.5 BR8460 04-01-51                  | CUSIP: 3140L7MJ8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |    353559 | PA      | $301197.36     | 0.00%             | 2051-04-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| UNITED STATES TREASURY                                      | UNITED STATES TREASURY NOTE 4.625% 02-15-55    | CUSIP: 912810UG1<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  45000000 | PA      | $44637889.50   | 0.37%             | 2055-02-15      | Fixed         | 4.62%                 | No            |                  2 | On Loan: No      |
| UNITED STATES TREASURY                                      | UNITED STATES TREASURY NOTE 3.75% 06-30-27     | CUSIP: 91282CNL1<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  28375700 | PA      | $28466590.20   | 0.23%             | 2027-06-30      | Fixed         | 3.75%                 | No            |                  2 | On Loan: No      |
| UNITED STATES TREASURY                                      | UNITED STATES TREASURY NOTE 4.0% 06-30-32      | CUSIP: 91282CNJ6<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  30000000 | PA      | $30427734.00   | 0.25%             | 2032-06-30      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| UNITED STATES TREASURY                                      | UNITED STATES TREASURY NOTE 4.75% 08-15-55     | CUSIP: 912810UM8<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  63000000 | PA      | $63797611.50   | 0.52%             | 2055-08-15      | Fixed         | 4.75%                 | No            |                  2 | On Loan: No      |
| UNITED STATES TREASURY                                      | UNITED STATES TREASURY NOTE 3.5% 10-31-27      | CUSIP: 91282CPE5<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        | 110000000 | PA      | $109984963.00  | 0.90%             | 2027-10-31      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| UNITED STATES TREASURY                                      | UNITED STATES TREASURY NOTE 1.25% 05-31-28     | CUSIP: 91282CCE9<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   3800000 | PA      | $3598421.78    | 0.03%             | 2028-05-31      | Fixed         | 1.25%                 | No            |                  2 | On Loan: No      |
| UNITED STATES TREASURY                                      | UNITED STATES TREASURY NOTE 1.25% 06-30-28     | CUSIP: 91282CCH2<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  19000000 | PA      | $17959824.10   | 0.15%             | 2028-06-30      | Fixed         | 1.25%                 | No            |                  2 | On Loan: No      |
| UNITED STATES TREASURY                                      | UNITED STATES TREASURY NOTE 2.0% 08-15-51      | CUSIP: 912810SZ2<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  11000000 | PA      | $6517500.00    | 0.05%             | 2051-08-15      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| UNITED STATES TREASURY                                      | UNITED STATES TREASURY NOTE 2.875% 05-15-32    | CUSIP: 91282CEP2<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   5822000 | PA      | $5533174.07    | 0.05%             | 2032-05-15      | Fixed         | 2.88%                 | No            |                  2 | On Loan: No      |
| ARROYO MORTGAGE TRUST ARRW_19-1                             | ARRW 2019-1 A1 144A FRN 01-25-49               | CUSIP: 042859AA6<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     31605 | PA      | $30936.49      | 0.00%             | 2049-01-25      | Variable      | 3.81%                 | Yes           |                  2 | On Loan: No      |
| BX COMMERCIAL MORTGAGE TRUST BX_21-VOLT                     | BX 2021-VOLT A 144A FRN 09-15-36               | CUSIP: 05609VAA3<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |  26061477 | PA      | $26049827.22   | 0.21%             | 2036-09-15      | Variable      | 4.77%                 | Yes           |                  2 | On Loan: No      |
| BX TRUST BX_21-ARIA                                         | BX 2021-ARIA A 144A FRN 10-15-36               | CUSIP: 05608RAA3<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |  19921000 | PA      | $19913270.65   | 0.16%             | 2036-10-15      | Variable      | 4.97%                 | Yes           |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                       | FNCL UMBS 3.5 BN6708 06-01-49                  | CUSIP: 3140JPN27<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |    988800 | PA      | $936746.32     | 0.01%             | 2049-06-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                       | FNCI UMBS 3.5 AY1948 01-01-30                  | CUSIP: 3138YFEW0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |     25277 | PA      | $25005.27      | 0.00%             | 2030-01-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                       | FNCI UMBS 3.5 AZ0554 10-01-30                  | CUSIP: 3138YRTL2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |     38339 | PA      | $37897.54      | 0.00%             | 2030-10-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                             | FNCL UMBS 3.0 SD0187 01-01-50                  | CUSIP: 3132DMF42<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |   2465015 | PA      | $2249459.46    | 0.02%             | 2050-01-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                             | FNCL UMBS SD7512 02-01-50                      | CUSIP: 3132DVKZ7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |   9913760 | PA      | $9008534.35    | 0.07%             | 2050-02-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                             | FNCL UMBS 3.5 RA1996 01-01-50                  | CUSIP: 3133KHGD2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |   3197484 | PA      | $2999687.81    | 0.02%             | 2050-01-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                       | FNCT UMBS 4.0 MA3099 08-01-37                  | CUSIP: 31418CNR1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |   1208506 | PA      | $1203598.42    | 0.01%             | 2037-08-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                       | FNCL UMBS 2.0 MA4237 01-01-51                  | CUSIP: 31418DV74<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |    750911 | PA      | $616199.50     | 0.01%             | 2051-01-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP - GOLD                      | FGLMC 6.0 G03699 01-01-38                      | CUSIP: 3128M5NQ9<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |     40393 | PA      | $42716.33      | 0.00%             | 2038-01-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                       | FNMDI6 3.0 BF0497 07-01-60                     | CUSIP: 3140FXRT1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |   1391621 | PA      | $1217859.27    | 0.01%             | 2060-07-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                       | FNMDI4 3.5 BF0481 06-01-60                     | CUSIP: 3140FXRB0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |   1788389 | PA      | $1644014.01    | 0.01%             | 2060-06-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                       | FNCL UMBS 3.0 AS8310 11-01-46                  | CUSIP: 3138WJGU6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |    619995 | PA      | $571543.90     | 0.00%             | 2046-11-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                       | FNCL UMBS 3.0 CB2544 01-01-52                  | CUSIP: 3140QMZJ6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |  14815682 | PA      | $13343166.11   | 0.11%             | 2052-01-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                             | FNCT UMBS 2.0 RB5145 02-01-42                  | CUSIP: 3133KYWE5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |   6976189 | PA      | $6114008.37    | 0.05%             | 2042-02-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                             | FNCT UMBS 2.0 RB5148 03-01-42                  | CUSIP: 3133KYWH8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |  15046232 | PA      | $13214594.42   | 0.11%             | 2042-03-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                       | FNCT UMBS 2.0 MA4540 02-01-42                  | CUSIP: 31418EBJ8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |   6260413 | PA      | $5502195.99    | 0.05%             | 2042-02-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                       | FNCT UMBS 2.0 MA4570 03-01-42                  | CUSIP: 31418ECG3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |   7907144 | PA      | $6944559.80    | 0.06%             | 2042-03-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                             | FNCT UMBS 2.0 RB5153 04-01-42                  | CUSIP: 3133KYWN5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |   2137821 | PA      | $1876246.12    | 0.02%             | 2042-04-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                       | FNCT UMBS 2.0 MA4586 04-01-42                  | CUSIP: 31418ECY4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |   2197879 | PA      | $1930324.83    | 0.02%             | 2042-04-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                             | FNCL UMBS 2.5 SD7548 11-01-51                  | CUSIP: 3132DVL52<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |   7776721 | PA      | $6765304.34    | 0.06%             | 2051-11-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                       | FNCL UMBS 2.5 FS0433 12-01-51                  | CUSIP: 3140XFPT2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |  28049291 | PA      | $24655523.47   | 0.20%             | 2051-12-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                       | FNCL UMBS 3.0 FM9976 12-01-51                  | CUSIP: 3140XECN2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |   6964735 | PA      | $6348383.88    | 0.05%             | 2051-12-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                             | FNCL UMBS 3.5 SD0873 02-01-52                  | CUSIP: 3132DM6J9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |  23052555 | PA      | $21725050.33   | 0.18%             | 2052-02-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                             | FNCL UMBS 3.0 SD7553 03-01-52                  | CUSIP: 3132DVMA0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |   6126968 | PA      | $5538662.57    | 0.05%             | 2052-03-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                             | FNCT UMBS 2.0 RB5138 12-01-41                  | CUSIP: 3133KYV71<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |  22845039 | PA      | $20092577.63   | 0.16%             | 2041-12-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                             | FNCT UMBS 2.0 QK1181 11-01-41                  | CUSIP: 3133D4J20<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |   1768796 | PA      | $1556782.44    | 0.01%             | 2041-11-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                       | FNCL UMBS 2.0 FM7411 05-01-51                  | CUSIP: 3140XBGV6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |    972782 | PA      | $792577.37     | 0.01%             | 2051-05-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                       | FNCL UMBS 2.0 MA4547 02-01-52                  | CUSIP: 31418EBR0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |   2024567 | PA      | $1658253.79    | 0.01%             | 2052-02-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                       | FNCL UMBS 2.5 CB2639 01-01-52                  | CUSIP: 3140QM4Z4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |     21202 | PA      | $18083.15      | 0.00%             | 2052-01-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                       | FNCL UMBS 2.0 MA4305 04-01-51                  | CUSIP: 31418DYB2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |     40253 | PA      | $32998.39      | 0.00%             | 2051-04-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                       | FNCL UMBS 2.0 CA6987 09-01-50                  | CUSIP: 3140QEXR8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |   2783879 | PA      | $2268201.43    | 0.02%             | 2050-09-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                             | FNCL UMBS 2.0 RA5155 05-01-51                  | CUSIP: 3133KLWQ6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |    242953 | PA      | $197946.88     | 0.00%             | 2051-05-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                       | FNCL UMBS 2.0 MA4465 11-01-51                  | CUSIP: 31418D6B3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |   2738978 | PA      | $2245274.33    | 0.02%             | 2051-11-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                             | FNCL UMBS 2.5 RA5286 05-01-51                  | CUSIP: 3133KL2T3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |    223302 | PA      | $190408.40     | 0.00%             | 2051-05-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                             | FNCL UMBS 2.0 RA4352 01-01-51                  | CUSIP: 3133KKZR3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |  23440023 | PA      | $19315844.37   | 0.16%             | 2051-01-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                             | FNCL UMBS 2.0 SD8199 03-01-52                  | CUSIP: 3132DWDC4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |  29916733 | PA      | $24503688.94   | 0.20%             | 2052-03-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                             | FNCL UMBS 2.0 SD8182 12-01-51                  | CUSIP: 3132DWCT8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |    786710 | PA      | $644200.15     | 0.01%             | 2051-12-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                             | FNCL UMBS 2.0 SD8128 02-01-51                  | CUSIP: 3132DWA52<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |    139165 | PA      | $114184.70     | 0.00%             | 2051-02-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                             | FNCL UMBS 2.0 SD8134 03-01-51                  | CUSIP: 3132DWBB8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |    231549 | PA      | $189948.11     | 0.00%             | 2051-03-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                       | FNCL UMBS 5.5 CB9210 09-01-54                  | CUSIP: 3140QVGU2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |  11109043 | PA      | $11277278.43   | 0.09%             | 2054-09-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                             | FNCL UMBS 5.5 SD6286 08-01-54                  | CUSIP: 3132DT6X3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |   3261508 | PA      | $3329020.84    | 0.03%             | 2054-08-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                       | FNCL UMBS 6.0 DC1873 09-01-54                  | CUSIP: 3140APCK8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |      8572 | PA      | $8826.14       | 0.00%             | 2054-09-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                       | FNMDI4 3.5 BF0784 12-01-63                     | CUSIP: 3140FX2S0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |   5555527 | PA      | $5058695.86    | 0.04%             | 2063-12-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                             | FNCL UMBS 2.0 SD6284 01-01-54                  | CUSIP: 3132DT6V7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |   3126926 | PA      | $2555185.99    | 0.02%             | 2054-01-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                       | FNMDI4 4.0 BF0786 12-01-63                     | CUSIP: 3140FX2U5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |   7193527 | PA      | $6814938.59    | 0.06%             | 2063-12-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                             | FNCL UMBS 5.5 SD8401 02-01-54                  | CUSIP: 3132DWKN2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |   1430896 | PA      | $1452163.17    | 0.01%             | 2054-02-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                             | FNCL UMBS 2.0 SD8106 11-01-50                  | CUSIP: 3132DWAF0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |  34083066 | PA      | $27970472.28   | 0.23%             | 2050-11-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                       | FNCL UMBS 2.5 FM7304 05-01-51                  | CUSIP: 3140XBDJ6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |   4350065 | PA      | $3705763.60    | 0.03%             | 2051-05-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                             | FNCL UMBS 6.5 SD8464 09-01-54                  | CUSIP: 3132DWMM2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |   3317367 | PA      | $3438407.60    | 0.03%             | 2054-09-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                             | FNCL UMBS 6.0 SD8439 06-01-54                  | CUSIP: 3132DWLU5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |     32771 | PA      | $33573.29      | 0.00%             | 2054-06-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                       | FNCL UMBS 2.5 BT7826 05-01-52                  | CUSIP: 3140LWVU8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |    659790 | PA      | $562065.29     | 0.00%             | 2052-05-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                             | FNCL UMBS 4.0 QF1560 10-01-52                  | CUSIP: 3133BNWV1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |    120388 | PA      | $115395.98     | 0.00%             | 2052-10-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                             | FNCL UMBS 2.5 SD5368 07-01-52                  | CUSIP: 3132DS6D9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |  28445212 | PA      | $24269511.46   | 0.20%             | 2052-07-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                       | FNCL UMBS 2.5 CB3353 04-01-52                  | CUSIP: 3140QNWP3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |     88994 | PA      | $75921.09      | 0.00%             | 2052-04-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                       | FNCL UMBS 2.5 CB2092 11-01-51                  | CUSIP: 3140QMKE3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |  14728767 | PA      | $12547274.89   | 0.10%             | 2051-11-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                             | FNCL UMBS 3.5 QH8426 01-01-54                  | CUSIP: 3133CMLF9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |    348228 | PA      | $322411.95     | 0.00%             | 2054-01-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                             | FNCL UMBS 4.0 SD8392 12-01-53                  | CUSIP: 3132DWKD4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |   5282439 | PA      | $5037190.83    | 0.04%             | 2053-12-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                       | FNCL UMBS 2.5 CB2400 12-01-51                  | CUSIP: 3140QMU28<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |    867665 | PA      | $741453.23     | 0.01%             | 2051-12-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                       | FNCL UMBS 2.5 BQ7729 03-01-51                  | CUSIP: 3140KTST3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |    702436 | PA      | $598415.96     | 0.00%             | 2051-03-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                             | FNCL UMBS 5.0 SD8430 05-01-54                  | CUSIP: 3132DWLK7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |   7745237 | PA      | $7744764.76    | 0.06%             | 2054-05-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                       | FNCI UMBS 2.5 FM2499 02-01-35                  | CUSIP: 3140X5X57<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |   6097072 | PA      | $5827721.58    | 0.05%             | 2035-02-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                             | FNCL UMBS 6.5 SD6271 09-01-54                  | CUSIP: 3132DT6G0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |   5373414 | PA      | $5603739.89    | 0.05%             | 2054-09-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                       | FNCL UMBS 6.5 FS8783 08-01-54                  | CUSIP: 3140XQXM4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |   6080983 | PA      | $6379716.88    | 0.05%             | 2054-08-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                             | FNCL UMBS 6.5 QJ4693 09-01-54                  | CUSIP: 3133CVGA6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |   2628324 | PA      | $2753781.97    | 0.02%             | 2054-09-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                             | FNCL UMBS 3.0 SD8220 06-01-52                  | CUSIP: 3132DWDZ3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |  54225680 | PA      | $48302229.50   | 0.40%             | 2052-06-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                             | FNCL UMBS 2.5 QC3428 06-01-51                  | CUSIP: 3133AMYZ3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |   2349911 | PA      | $2001846.95    | 0.02%             | 2051-06-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                             | FNCL UMBS 6.5 QI9151 07-01-54                  | CUSIP: 3133WGEY7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |   6331882 | PA      | $6634121.96    | 0.05%             | 2054-07-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                       | FNCL UMBS 6.5 CB7626 12-01-53                  | CUSIP: 3140QTPL7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |   3897756 | PA      | $4090044.33    | 0.03%             | 2053-12-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                       | FNCL UMBS 5.5 DC1613 10-01-54                  | CUSIP: 3140ANYK9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |   4339521 | PA      | $4397692.35    | 0.04%             | 2054-10-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                             | FNCL UMBS 5.5 SD8475 11-01-54                  | CUSIP: 3132DWMY6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |  15016911 | PA      | $15220885.93   | 0.12%             | 2054-11-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                             | FNCL UMBS 3.0 RA6806 02-01-52                  | CUSIP: 3133KNR39<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |     32297 | PA      | $28718.88      | 0.00%             | 2052-02-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                             | FNCL UMBS 3.0 SD8242 09-01-52                  | CUSIP: 3132DWEP4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |  10038552 | PA      | $8941950.22    | 0.07%             | 2052-09-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                       | FNCL UMBS 5.5 DC4451 10-01-54                  | CUSIP: 3140AR5M8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |   1763153 | PA      | $1793285.38    | 0.01%             | 2054-10-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                       | FNCL UMBS 6.5 FS8788 08-01-54                  | CUSIP: 3140XQXS1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |   8456915 | PA      | $8855108.75    | 0.07%             | 2054-08-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP - GOLD                      | FGLMC 4.5 Z40273 10-01-48                      | CUSIP: 3132FCJS5<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |   4224151 | PA      | $4216640.10    | 0.03%             | 2048-10-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                       | FNCL UMBS 4.5 FS9792 12-01-50                  | CUSIP: 3140XR3A1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |   2568305 | PA      | $2560235.78    | 0.02%             | 2050-12-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                             | FNCL UMBS 3.0 QD5662 01-01-52                  | CUSIP: 3133B3JF5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |    993612 | PA      | $885062.75     | 0.01%             | 2052-01-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                       | FNCL UMBS 4.0 BW1377 12-01-52                  | CUSIP: 3140MSQ73<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |    408681 | PA      | $391637.62     | 0.00%             | 2052-12-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                       | FNCL UMBS 3.0 BV1172 12-01-51                  | CUSIP: 3140MEJS6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |     32397 | PA      | $28857.24      | 0.00%             | 2051-12-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                       | FNCL UMBS 4.0 BW8987 10-01-52                  | CUSIP: 3140N16Z1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |    164907 | PA      | $158086.01     | 0.00%             | 2052-10-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                       | FNCL UMBS 3.0 CB2896 02-01-52                  | CUSIP: 3140QNGE6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |    976825 | PA      | $868600.05     | 0.01%             | 2052-02-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                             | FNCL UMBS 3.0 QD3120 12-01-51                  | CUSIP: 3133B0PD9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |    957158 | PA      | $852582.66     | 0.01%             | 2051-12-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                       | FNCL UMBS 5.5 BW9206 08-01-52                  | CUSIP: 3140N2GQ8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |    149554 | PA      | $155606.74     | 0.00%             | 2052-08-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                             | FNCL UMBS 3.0 SD8225 07-01-52                  | CUSIP: 3132DWD67<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |  54628480 | PA      | $48661137.90   | 0.40%             | 2052-07-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                       | FNCL UMBS 5.5 CB5020 10-01-52                  | CUSIP: 3140QQSJ5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |     61098 | PA      | $62219.84      | 0.00%             | 2052-10-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                       | FNCL UMBS 5.5 BX1488 10-01-52                  | CUSIP: 3140N5UN2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |    139219 | PA      | $144193.69     | 0.00%             | 2052-10-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                       | FNCL UMBS 3.0 BW7756 08-01-52                  | CUSIP: 3140N0TN5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |     22872 | PA      | $20437.26      | 0.00%             | 2052-08-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                       | FNCL UMBS 5.5 MA4842 12-01-52                  | CUSIP: 31418ELY4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |   4035463 | PA      | $4112084.69    | 0.03%             | 2052-12-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                       | FNCL UMBS 3.0 BW1195 09-01-52                  | CUSIP: 3140MSKH7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |   3865092 | PA      | $3436789.73    | 0.03%             | 2052-09-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                             | FNCL UMBS 3.0 QF1771 10-01-52                  | CUSIP: 3133BN6G3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |   3663615 | PA      | $3260210.78    | 0.03%             | 2052-10-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                             | FNCL UMBS 3.0 QF2029 10-01-52                  | CUSIP: 3133BPHE1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |   2419278 | PA      | $2154258.47    | 0.02%             | 2052-10-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                       | FNCL UMBS 5.5 MA4711 07-01-52                  | CUSIP: 31418EGV6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |    360656 | PA      | $367037.51     | 0.00%             | 2052-07-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                       | FNCL UMBS 5.5 CB4418 08-01-52                  | CUSIP: 3140QP4C8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |    390377 | PA      | $396596.11     | 0.00%             | 2052-08-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                             | FNCL UMBS 6.5 QF2862 11-01-52                  | CUSIP: 3133BQFB7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |     16544 | PA      | $17188.45      | 0.00%             | 2052-11-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                       | FNCL UMBS 2.5 CB2088 11-01-51                  | CUSIP: 3140QMKA1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |     97470 | PA      | $83316.08      | 0.00%             | 2051-11-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                       | FNCL UMBS 5.5 BX1223 10-01-52                  | CUSIP: 3140N5LD4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |    346983 | PA      | $355982.18     | 0.00%             | 2052-10-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                       | FNCL UMBS 6.0 FS8795 08-01-54                  | CUSIP: 3140XQXZ5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |   7129310 | PA      | $7307734.79    | 0.06%             | 2054-08-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                       | FNCL UMBS 5.0 CB9737 01-01-55                  | CUSIP: 3140QVZB3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |  15637664 | PA      | $15670190.45   | 0.13%             | 2055-01-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                             | FNCL UMBS 3.0 QC4360 07-01-51                  | CUSIP: 3133ANZZ0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |    900964 | PA      | $802530.55     | 0.01%             | 2051-07-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                       | FNCL UMBS 3.0 CB0738 06-01-51                  | CUSIP: 3140QKZC5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |     19126 | PA      | $17019.44      | 0.00%             | 2051-06-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                       | FNCL UMBS 6.0 MA4894 01-01-53                  | CUSIP: 31418ENL0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |  28454365 | PA      | $29212246.84   | 0.24%             | 2053-01-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                             | FNCL UMBS 3.0 SD7556 08-01-52                  | CUSIP: 3132DVMD4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |    193098 | PA      | $173678.56     | 0.00%             | 2052-08-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                             | FNCL UMBS 6.0 SD8301 02-01-53                  | CUSIP: 3132DWGJ6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |   2426389 | PA      | $2496574.45    | 0.02%             | 2053-02-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                             | FNCL UMBS 6.0 SD8290 01-01-53                  | CUSIP: 3132DWF73<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        | 149685284 | PA      | $154000411.52  | 1.26%             | 2053-01-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                       | FNCL UMBS 4.5 CB9770 12-01-54                  | CUSIP: 3140QV2C7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |    735674 | PA      | $721605.25     | 0.01%             | 2054-12-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                       | FNCL UMBS 4.5 CB9768 12-01-54                  | CUSIP: 3140QV2A1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |    265902 | PA      | $260508.88     | 0.00%             | 2054-12-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                       | FNCL UMBS 6.5 613025 07-01-31                  | CUSIP: 31388SA21<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |      3472 | PA      | $3593.36       | 0.00%             | 2031-07-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                       | FNCT UMBS 6.5 AD0838 10-01-27                  | CUSIP: 31418M4Y5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |       459 | PA      | $474.60        | 0.00%             | 2027-10-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                       | FNCT UMBS 6.5 928957 12-01-27                  | CUSIP: 31412MB23<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |      1107 | PA      | $1145.90       | 0.00%             | 2027-12-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                       | FNCL UMBS 6.5 801783 02-01-37                  | CUSIP: 31405WXL4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |      4387 | PA      | $4600.05       | 0.00%             | 2037-02-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                             | FNCL UMBS 6.5 ZS0839 12-01-32                  | CUSIP: 3132A04Y9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |      3790 | PA      | $3978.22       | 0.00%             | 2032-12-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                       | FNCL UMBS 6.5 745001 09-01-35                  | CUSIP: 31403CU25<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |     12225 | PA      | $12768.33      | 0.00%             | 2035-09-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                             | FNCL UMBS 2.0 SD8211 05-01-52                  | CUSIP: 3132DWDQ3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |     24484 | PA      | $20038.28      | 0.00%             | 2052-05-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                             | FNCL UMBS 2.0 QD8820 03-01-52                  | CUSIP: 3133B6YR5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |    167145 | PA      | $136461.81     | 0.00%             | 2052-03-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                       | FNCL UMBS 6.0 MA4920 02-01-53                  | CUSIP: 31418EPE4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |    731441 | PA      | $751359.33     | 0.01%             | 2053-02-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                       | FNCL UMBS 2.0 CB3346 04-01-52                  | CUSIP: 3140QNWG3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |    980551 | PA      | $798880.08     | 0.01%             | 2052-04-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                             | FNCL UMBS 6.5 ZS4189 06-01-35                  | CUSIP: 3132A4UN6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |       469 | PA      | $495.66        | 0.00%             | 2035-06-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                             | FNCL UMBS 5.0 SD8299 02-01-53                  | CUSIP: 3132DWGG2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |    758426 | PA      | $760804.14     | 0.01%             | 2053-02-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                             | FNCL UMBS 2.0 RA6973 03-01-52                  | CUSIP: 3133KNXA6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |  16400552 | PA      | $13408139.81   | 0.11%             | 2052-03-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                             | FNCL UMBS 2.0 QD6836 02-01-52                  | CUSIP: 3133B4SZ9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |    824881 | PA      | $673647.28     | 0.01%             | 2052-02-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                             | FNCT UMBS 6.5 ZJ9210 11-01-27                  | CUSIP: 3131X1GT2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |        69 | PA      | $68.54         | 0.00%             | 2027-11-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                             | FNCT UMBS 6.5 ZA2066 03-01-28                  | CUSIP: 31329KJK1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |      5705 | PA      | $5808.31       | 0.00%             | 2028-03-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                             | FNCT UMBS 6.5 ZA2096 11-01-28                  | CUSIP: 31329KKH6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |       445 | PA      | $456.47        | 0.00%             | 2028-11-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                             | FNCT UMBS 6.5 ZA1944 06-01-26                  | CUSIP: 31329KER1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |       308 | PA      | $318.51        | 0.00%             | 2026-06-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                       | FNCT UMBS 6.5 256310 07-01-26                  | CUSIP: 31371MVB0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |       171 | PA      | $177.28        | 0.00%             | 2026-07-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                       | FNCL UMBS 6.0 FS3759 02-01-53                  | CUSIP: 3140XKE97<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |   8357711 | PA      | $8722216.11    | 0.07%             | 2053-02-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                       | FNCL UMBS 2.0 BV3080 02-01-52                  | CUSIP: 3140MGM65<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |  30977934 | PA      | $25316902.05   | 0.21%             | 2052-02-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                       | FNCL UMBS 2.0 BV3076 02-01-52                  | CUSIP: 3140MGM24<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |   9284099 | PA      | $7585052.91    | 0.06%             | 2052-02-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                       | FNCL UMBS 5.0 BU5361 12-01-54                  | CUSIP: 3140M65X7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |   8840499 | PA      | $8859567.49    | 0.07%             | 2054-12-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                             | FNCL UMBS 5.0 QX1743 12-01-54                  | CUSIP: 31425V5D1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |   7685481 | PA      | $7702650.61    | 0.06%             | 2054-12-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                             | FNCL UMBS 3.5 SD1298 06-01-52                  | CUSIP: 3132DNNP4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |   3476617 | PA      | $3218874.45    | 0.03%             | 2052-06-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                             | FNCL UMBS 6.0 RA9281 06-01-53                  | CUSIP: 3133KRJ21<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |   2602369 | PA      | $2689943.83    | 0.02%             | 2053-06-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                             | FNCL UMBS 6.5 RA9291 06-01-53                  | CUSIP: 3133KRKC7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |    236636 | PA      | $245953.95     | 0.00%             | 2053-06-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                             | FNCL UMBS 6.5 RA9292 06-01-53                  | CUSIP: 3133KRKD5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |    765577 | PA      | $799103.61     | 0.01%             | 2053-06-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                             | FNCL UMBS 6.0 RA9283 06-01-53                  | CUSIP: 3133KRJ47<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |   3987548 | PA      | $4099817.41    | 0.03%             | 2053-06-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                             | FNCL UMBS 6.5 RA9294 06-01-53                  | CUSIP: 3133KRKF0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |    867151 | PA      | $905125.01     | 0.01%             | 2053-06-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                             | FNCL UMBS 6.0 RA9284 06-01-53                  | CUSIP: 3133KRJ54<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |   2198501 | PA      | $2291126.07    | 0.02%             | 2053-06-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                             | FNCL UMBS 6.5 RA9295 06-01-53                  | CUSIP: 3133KRKG8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |    220618 | PA      | $235116.33     | 0.00%             | 2053-06-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                             | FNCL UMBS 5.0 QX2834 12-01-54                  | CUSIP: 31425XEG0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |   2544942 | PA      | $2550235.88    | 0.02%             | 2054-12-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                       | FNCL UMBS 2.0 FM8197 08-01-51                  | CUSIP: 3140XCDB1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |    463564 | PA      | $377685.92     | 0.00%             | 2051-08-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                             | FNCL UMBS 5.5 SD8342 07-01-53                  | CUSIP: 3132DWHT3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        | 120110560 | PA      | $122061996.51  | 1.00%             | 2053-07-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                             | FNCL UMBS 5.5 SD8331 06-01-53                  | CUSIP: 3132DWHG1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |  34628972 | PA      | $35200765.11   | 0.29%             | 2053-06-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                       | FNCL UMBS 5.5 MA5072 07-01-53                  | CUSIP: 31418ET67<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |  35261978 | PA      | $35852263.43   | 0.29%             | 2053-07-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                             | FNCL UMBS 5.5 SD8316 04-01-53                  | CUSIP: 3132DWGZ0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |   6823480 | PA      | $6931925.67    | 0.06%             | 2053-04-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                             | FNCL UMBS 4.5 QF2363 11-01-52                  | CUSIP: 3133BPTU2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |  35199052 | PA      | $34599189.35   | 0.28%             | 2052-11-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                       | FNCL UMBS 5.5 MA4979 04-01-53                  | CUSIP: 31418EQ94<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |  15483419 | PA      | $15753326.37   | 0.13%             | 2053-04-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                             | FNCL UMBS 4.5 QE7537 08-01-52                  | CUSIP: 3133BHLS3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |   8438431 | PA      | $8310849.89    | 0.07%             | 2052-08-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                             | FNCL UMBS 5.5 SD2948 11-01-52                  | CUSIP: 3132DQHZ2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |  12780087 | PA      | $13001527.25   | 0.11%             | 2052-11-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                             | FNCL UMBS 2.0 QC3259 06-01-51                  | CUSIP: 3133AMTQ9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |    977999 | PA      | $796823.45     | 0.01%             | 2051-06-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                       | FNCL UMBS 2.0 BT2177 02-01-52                  | CUSIP: 3140LQM31<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |    559197 | PA      | $457078.84     | 0.00%             | 2052-02-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                             | FNCL UMBS 5.0 SD8341 07-01-53                  | CUSIP: 3132DWHS5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |    312730 | PA      | $313533.58     | 0.00%             | 2053-07-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                             | FNCL UMBS 3.0 RA3384 08-01-50                  | CUSIP: 3133KJXM9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |    451098 | PA      | $404937.44     | 0.00%             | 2050-08-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                       | FNCL UMBS 2.0 FM6332 02-01-51                  | CUSIP: 3140XABA9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |    880217 | PA      | $717166.44     | 0.01%             | 2051-02-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                       | FNCL UMBS 2.0 FS0354 12-01-51                  | CUSIP: 3140XFMC2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |    940355 | PA      | $768482.87     | 0.01%             | 2051-12-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                       | FNCL UMBS 3.0 CA7052 09-01-50                  | CUSIP: 3140QEZS4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |    450299 | PA      | $404359.86     | 0.00%             | 2050-09-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                       | FNCL UMBS 5.5 BW1243 10-01-52                  | CUSIP: 3140MSLZ6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |   2715954 | PA      | $2765286.77    | 0.02%             | 2052-10-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                       | FNCL UMBS 2.0 FS7385 02-01-51                  | CUSIP: 3140XPF38<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |    914467 | PA      | $745403.70     | 0.01%             | 2051-02-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                       | FNCL UMBS 2.0 BT6597 02-01-52                  | CUSIP: 3140LVKK4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |   2661796 | PA      | $2173585.14    | 0.02%             | 2052-02-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                       | FNCL UMBS 2.0 BU8256 02-01-52                  | CUSIP: 3140MAE67<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |   1675413 | PA      | $1368794.34    | 0.01%             | 2052-02-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                             | FNCL UMBS 2.0 QB5019 11-01-50                  | CUSIP: 3133ABSG6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |   2733786 | PA      | $2231501.74    | 0.02%             | 2050-11-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                       | FNCL UMBS 5.0 FS4563 05-01-53                  | CUSIP: 3140XLB98<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |   4027886 | PA      | $4052122.08    | 0.03%             | 2053-05-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                             | FNCL UMBS 5.0 SD8315 04-01-53                  | CUSIP: 3132DWGY3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |   1490525 | PA      | $1495121.95    | 0.01%             | 2053-04-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                       | FNCL UMBS 2.0 BT7309 09-01-51                  | CUSIP: 3140LWDP9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |    939636 | PA      | $765549.48     | 0.01%             | 2051-09-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                             | FNCL UMBS 2.0 SD1406 08-01-52                  | CUSIP: 3132DNR39<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |   2959771 | PA      | $2418115.34    | 0.02%             | 2052-08-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                             | FNCL UMBS 5.0 SD2716 04-01-53                  | CUSIP: 3132DQAR7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |   6144357 | PA      | $6182599.95    | 0.05%             | 2053-04-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                             | FNCL UMBS 5.0 SD8329 06-01-53                  | CUSIP: 3132DWHE6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |  71532202 | PA      | $71734352.12   | 0.59%             | 2053-06-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                       | FNCL UMBS 2.0 FM7943 07-01-51                  | CUSIP: 3140XBZH6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |    456700 | PA      | $372092.70     | 0.00%             | 2051-07-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                       | FNCL UMBS 2.0 CB3040 03-01-52                  | CUSIP: 3140QNLW0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |   2829122 | PA      | $2311016.74    | 0.02%             | 2052-03-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                       | FNCL UMBS 2.0 FS0490 01-01-52                  | CUSIP: 3140XFRL7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |     30154 | PA      | $24567.25      | 0.00%             | 2052-01-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                       | FNCL UMBS 2.0 CB2361 12-01-51                  | CUSIP: 3140QMTT1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |    380357 | PA      | $309896.98     | 0.00%             | 2051-12-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                       | FNCL UMBS 2.0 FS0394 11-01-51                  | CUSIP: 3140XFNL1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |   2027679 | PA      | $1655956.60    | 0.01%             | 2051-11-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                       | FNCL UMBS 6.0 MA5587 01-01-55                  | CUSIP: 31418FF51<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |  23967339 | PA      | $24557511.13   | 0.20%             | 2055-01-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                       | FNCL UMBS 5.5 BW1289 10-01-52                  | CUSIP: 3140MSNF8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |   3030903 | PA      | $3085025.77    | 0.03%             | 2052-10-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                       | FNCL UMBS 5.0 MA5071 07-01-53                  | CUSIP: 31418ET59<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |   1715947 | PA      | $1720796.21    | 0.01%             | 2053-07-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                       | FNCL UMBS 4.5 MA5612 02-01-55                  | CUSIP: 31418FGW1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |      9602 | PA      | $9407.67       | 0.00%             | 2055-02-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                             | FNCL UMBS 4.5 RJ3264 02-01-55                  | CUSIP: 3142GTTW6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |  24074911 | PA      | $23586551.30   | 0.19%             | 2055-02-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                             | FNCL UMBS 6.0 SD8507 02-01-55                  | CUSIP: 3132DWNY5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |  76462887 | PA      | $78335463.39   | 0.64%             | 2055-02-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                             | FNCL UMBS 3.0 SD8295 02-01-53                  | CUSIP: 3132DWGC1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |   3861921 | PA      | $3435831.47    | 0.03%             | 2053-02-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                             | FNCL UMBS 6.0 SD8516 03-01-55                  | CUSIP: 3132DWN90<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |   8896332 | PA      | $9114203.48    | 0.07%             | 2055-03-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                       | FNCL UMBS 4.0 MA5643 03-01-55                  | CUSIP: 31418FHV2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |   7838307 | PA      | $7471921.21    | 0.06%             | 2055-03-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                       | FNCL UMBS 4.0 BU8948 04-01-52                  | CUSIP: 3140MA5J9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |     37292 | PA      | $35761.07      | 0.00%             | 2052-04-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                             | FNCL UMBS 6.0 SD8496 01-01-55                  | CUSIP: 3132DWNM1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        | 116193084 | PA      | $119054222.54  | 0.97%             | 2055-01-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                       | FNCL UMBS 6.0 MA5615 02-01-55                  | CUSIP: 31418FGZ4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |  32150578 | PA      | $32937945.30   | 0.27%             | 2055-02-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                       | FNCL UMBS 6.0 MA5647 03-01-55                  | CUSIP: 31418FHZ3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |  20725741 | PA      | $21233314.84   | 0.17%             | 2055-03-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                             | FNCL UMBS 6.5 QX6697 02-01-55                  | CUSIP: 31426CNP5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |    185769 | PA      | $193068.46     | 0.00%             | 2055-02-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                             | FNCL UMBS 5.0 SD8491 12-01-54                  | CUSIP: 3132DWNG4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |   4597086 | PA      | $4593918.59    | 0.04%             | 2054-12-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                       | FNCL UMBS 6.0 MA5674 04-01-55                  | CUSIP: 31418FJU2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |  81017345 | PA      | $83001459.71   | 0.68%             | 2055-04-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                             | FNCL UMBS 5.0 RJ2664 10-01-54                  | CUSIP: 3142GS6A1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |    103931 | PA      | $104128.26     | 0.00%             | 2054-10-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                             | FNCL UMBS 5.0 RJ2836 11-01-54                  | CUSIP: 3142GTEJ1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |     74489 | PA      | $74399.89      | 0.00%             | 2054-11-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                             | FNCL UMBS 6.0 SD8525 04-01-55                  | CUSIP: 3132DWPJ6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |  28395820 | PA      | $29091233.88   | 0.24%             | 2055-04-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                       | FNCL UMBS 6.0 DC7823 12-01-54                  | CUSIP: 3140AVVR9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |   1522794 | PA      | $1560649.16    | 0.01%             | 2054-12-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                             | FNCL UMBS 7.0 SD5619 06-01-54                  | CUSIP: 3132DTG46<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |     17972 | PA      | $18853.33      | 0.00%             | 2054-06-01      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                       | FNCT UMBS 7.0 MA5696 03-01-45                  | CUSIP: 31418FKJ5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |   3985014 | PA      | $4182053.08    | 0.03%             | 2045-03-01      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                       | FNCL UMBS 2.0 FM8114 06-01-51                  | CUSIP: 3140XCAQ1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |   3197183 | PA      | $2604908.23    | 0.02%             | 2051-06-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                       | FNCL UMBS 2.0 BT2052 03-01-52                  | CUSIP: 3140LQH60<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |    161616 | PA      | $131672.97     | 0.00%             | 2052-03-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                             | FNCL UMBS 2.0 QB8132 01-01-51                  | CUSIP: 3133AFA92<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |   3327674 | PA      | $2714905.76    | 0.02%             | 2051-01-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                             | FNCL UMBS 2.0 QB6480 12-01-50                  | CUSIP: 3133ADFV3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |   1347234 | PA      | $1099201.72    | 0.01%             | 2050-12-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                       | FNCL UMBS 3.0 CB2666 01-01-52                  | CUSIP: 3140QM6C3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |   9589972 | PA      | $8530337.47    | 0.07%             | 2052-01-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                             | FNCL UMBS 2.0 QD5262 01-01-52                  | CUSIP: 3133B2Z36<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |    232824 | PA      | $190424.52     | 0.00%             | 2052-01-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                       | FNCL UMBS 2.0 CA8517 01-01-51                  | CUSIP: 3140QGPB7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |     48381 | PA      | $39419.50      | 0.00%             | 2051-01-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                             | FNCL UMBS 6.5 QX8785 03-01-55                  | CUSIP: 31426FXP7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |    689741 | PA      | $719465.05     | 0.01%             | 2055-03-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                             | FNCL UMBS 6.5 QG1921 05-01-53                  | CUSIP: 3133C2D21<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |    163373 | PA      | $170776.72     | 0.00%             | 2053-05-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                             | FNCL UMBS 6.5 QG9115 08-01-53                  | CUSIP: 3133CADU1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |     77565 | PA      | $81067.71      | 0.00%             | 2053-08-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                             | FNCL UMBS 3.0 SD6203 06-01-52                  | CUSIP: 3132DT3L2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |   7963970 | PA      | $7081633.50    | 0.06%             | 2052-06-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                       | FNCL UMBS 3.0 FS4815 05-01-52                  | CUSIP: 3140XLK56<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |    375323 | PA      | $333739.72     | 0.00%             | 2052-05-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                       | FNCL UMBS 6.0 FA0287 12-01-54                  | CUSIP: 3140W0J97<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |  58918057 | PA      | $60400789.24   | 0.49%             | 2054-12-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                             | FNCL UMBS 6.0 SL1138 05-01-55                  | CUSIP: 31427NHQ5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |   1350638 | PA      | $1384815.76    | 0.01%             | 2055-05-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                             | FNCL UMBS 6.0 SL1137 05-01-55                  | CUSIP: 31427NHP7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |   1268727 | PA      | $1299798.18    | 0.01%             | 2055-05-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                             | FNCL UMBS 6.0 RQ0028 07-01-55                  | CUSIP: 3142J6A60<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        | 398803411 | PA      | $408498321.82  | 3.34%             | 2055-07-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                       | FNCL UMBS 2.0 CB1186 07-01-51                  | CUSIP: 3140QLJ80<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |   9822128 | PA      | $8048870.49    | 0.07%             | 2051-07-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                       | FNCL UMBS 6.0 MA5761 07-01-55                  | CUSIP: 31418FMK0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |   2881244 | PA      | $2952058.87    | 0.02%             | 2055-07-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                             | FNCL UMBS 2.0 SL0316 05-01-52                  | CUSIP: 31427MK67<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |   9967526 | PA      | $8155140.67    | 0.07%             | 2052-05-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                       | FNCL UMBS 6.0 DC1075 08-01-54                  | CUSIP: 3140ANFR5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |    276593 | PA      | $283838.52     | 0.00%             | 2054-08-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                             | FNCL UMBS 2.5 QD0162 11-01-51                  | CUSIP: 3133AWFB5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |    161341 | PA      | $137445.88     | 0.00%             | 2051-11-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                             | FNCL UMBS 2.5 SD0571 04-01-51                  | CUSIP: 3132DMT47<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |    992124 | PA      | $845191.22     | 0.01%             | 2051-04-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                             | FNCL UMBS 3.5 QD8689 03-01-52                  | CUSIP: 3133B6UN8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |   1967715 | PA      | $1822320.79    | 0.01%             | 2052-03-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                             | FNCL UMBS 3.5 QE1079 04-01-52                  | CUSIP: 3133BAFU0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |     29047 | PA      | $26893.53      | 0.00%             | 2052-04-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                       | FNCL UMBS 3.5 BV4519 03-01-52                  | CUSIP: 3140MJAV7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |     31180 | PA      | $28950.23      | 0.00%             | 2052-03-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                             | FNCL UMBS 3.5 SD8359 08-01-53                  | CUSIP: 3132DWJC8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |    913841 | PA      | $846447.00     | 0.01%             | 2053-08-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                             | FNCL UMBS 3.5 SL0012 07-01-52                  | CUSIP: 31427MAN1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |     27961 | PA      | $25925.58      | 0.00%             | 2052-07-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                       | FNCL UMBS 3.5 MA5131 07-01-53                  | CUSIP: 31418EVZ0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |    183999 | PA      | $170443.71     | 0.00%             | 2053-07-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                             | FNCL UMBS 3.5 SD2494 03-01-52                  | CUSIP: 3132DPXX1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |   1979832 | PA      | $1833055.30    | 0.02%             | 2052-03-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                             | FNCL UMBS 3.5 SD2370 07-01-52                  | CUSIP: 3132DPT32<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |    899535 | PA      | $834255.24     | 0.01%             | 2052-07-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                             | FNCL UMBS 6.0 QY7483 07-01-55                  | CUSIP: 31426SJ59<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |   1577818 | PA      | $1618932.95    | 0.01%             | 2055-07-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                             | FNCL UMBS 6.0 QY3404 05-01-55                  | CUSIP: 31426MYA4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |    336357 | PA      | $344739.18     | 0.00%             | 2055-05-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                       | FNCL UMBS 6.0 FA1162 04-01-55                  | CUSIP: 3140W1JG9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |    287933 | PA      | $295101.89     | 0.00%             | 2055-04-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                       | FNCL UMBS 6.0 DD4459 04-01-55                  | CUSIP: 3140B45V8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |    283577 | PA      | $290559.52     | 0.00%             | 2055-04-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                             | FNCL UMBS 3.5 QE0777 04-01-52                  | CUSIP: 3133B92J2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |   6329901 | PA      | $5860627.24    | 0.05%             | 2052-04-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                             | FNCL UMBS 3.5 QE5610 06-01-52                  | CUSIP: 3133BFGT1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |    359300 | PA      | $333046.75     | 0.00%             | 2052-06-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                       | FNCL UMBS 3.5 FS6039 08-01-52                  | CUSIP: 3140XMV94<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |    395087 | PA      | $365812.99     | 0.00%             | 2052-08-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                       | FNCL UMBS 3.5 FS6598 08-01-52                  | CUSIP: 3140XNKL7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |    394152 | PA      | $365218.42     | 0.00%             | 2052-08-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                       | FNCL UMBS 3.5 BV0272 02-01-52                  | CUSIP: 3140MDJS8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |     94601 | PA      | $87587.80      | 0.00%             | 2052-02-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                       | FNCL UMBS 6.0 DD9150 05-01-55                  | CUSIP: 3140BAEY8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |    438513 | PA      | $449451.52     | 0.00%             | 2055-05-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                             | FNCL UMBS 6.0 QX1463 12-01-54                  | CUSIP: 31425VTV5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |   4401688 | PA      | $4513297.69    | 0.04%             | 2054-12-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                       | FNCL UMBS 2.0 MA4750 07-01-52                  | CUSIP: 31418EH45<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |    716612 | PA      | $585966.79     | 0.00%             | 2052-07-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                       | FNCL UMBS 2.0 FS4251 02-01-52                  | CUSIP: 3140XKWM8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |   2056409 | PA      | $1705102.42    | 0.01%             | 2052-02-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                       | FNCL UMBS 2.0 FS6474 03-01-51                  | CUSIP: 3140XNFQ2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |   1794904 | PA      | $1465273.32    | 0.01%             | 2051-03-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                       | FNCL UMBS 6.0 BU4791 07-01-54                  | CUSIP: 3140M6KD4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |   1765663 | PA      | $1809398.05    | 0.01%             | 2054-07-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                       | FNCL UMBS 6.0 DC6459 11-01-54                  | CUSIP: 3140AUE90<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |    356924 | PA      | $365824.18     | 0.00%             | 2054-11-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                             | FNCL UMBS 6.0 SL1416 04-01-55                  | CUSIP: 31427NSE0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |   1351953 | PA      | $1385441.37    | 0.01%             | 2055-04-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                       | FNCL UMBS 2.5 FS2824 12-01-51                  | CUSIP: 3140XJD67<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |   6942567 | PA      | $5914310.17    | 0.05%             | 2051-12-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                             | FNCL UMBS 6.0 QX2593 01-01-55                  | CUSIP: 31425W3B5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |  49147530 | PA      | $50396171.75   | 0.41%             | 2055-01-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                       | FNCL UMBS 6.0 DD8500 05-01-55                  | CUSIP: 3140B9NS4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |   7947440 | PA      | $8162879.37    | 0.07%             | 2055-05-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                       | FNCL UMBS 2.5 FS1978 03-01-52                  | CUSIP: 3140XHFU6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |  11401810 | PA      | $9712951.37    | 0.08%             | 2052-03-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                             | FNCL UMBS 2.5 SD1605 12-01-51                  | CUSIP: 3132DNYA5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |  13530790 | PA      | $11526771.62   | 0.09%             | 2051-12-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                       | FNCL UMBS 6.0 DD4340 03-01-55                  | CUSIP: 3140B4ZE3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |    398627 | PA      | $408791.10     | 0.00%             | 2055-03-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                       | FNCL UMBS 6.0 DC5696 11-01-54                  | CUSIP: 3140ATKJ4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |  23545551 | PA      | $24159524.69   | 0.20%             | 2054-11-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                       | FNCL UMBS 6.0 DC8824 12-01-54                  | CUSIP: 3140AWYW3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |    686494 | PA      | $703848.32     | 0.01%             | 2054-12-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                       | FNCL UMBS 6.5 FA2842 07-01-55                  | CUSIP: 3140W3EQ8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |  78406290 | PA      | $81338685.25   | 0.67%             | 2055-07-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                             | FNCL UMBS 6.5 SL2781 09-01-55                  | CUSIP: 31427QCT7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |  17715662 | PA      | $18573170.74   | 0.15%             | 2055-09-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                             | FNCL UMBS 6.5 SL2647 09-01-55                  | CUSIP: 31427P5H3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |  11363768 | PA      | $11923740.52   | 0.10%             | 2055-09-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                             | FNCL UMBS 6.5 SL2445 09-01-54                  | CUSIP: 31427PWF7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |   8139804 | PA      | $8458224.87    | 0.07%             | 2054-09-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                             | FNCL UMBS 6.5 SL0673 03-01-55                  | CUSIP: 31427MXB2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |  28529901 | PA      | $29931917.51   | 0.24%             | 2055-03-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                       | FNCL UMBS 6.5 CB6766 07-01-53                  | CUSIP: 3140QSQU8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |  25018019 | PA      | $26267143.80   | 0.21%             | 2053-07-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                       | FNCL UMBS 6.5 FA2843 03-01-55                  | CUSIP: 3140W3ER6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |  10665771 | PA      | $11061972.01   | 0.09%             | 2055-03-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                       | FNCL UMBS 7.0 MA5649 03-01-55                  | CUSIP: 31418FH34<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |  27258782 | PA      | $28608745.99   | 0.23%             | 2055-03-01      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                             | FNCL UMBS 7.0 SL2928 01-01-55                  | CUSIP: 31427QHE5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |   6140161 | PA      | $6447021.85    | 0.05%             | 2055-01-01      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                       | FNCL UMBS 3.5 BU9528 12-01-51                  | CUSIP: 3140MBSS2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |     29995 | PA      | $27949.53      | 0.00%             | 2051-12-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                       | FNCL UMBS 2.5 FM8203 07-01-51                  | CUSIP: 3140XCDH8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |   1486635 | PA      | $1266442.31    | 0.01%             | 2051-07-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                             | FNCL UMBS 3.5 SD0740 10-01-51                  | CUSIP: 3132DMZD0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |   2993238 | PA      | $2789318.00    | 0.02%             | 2051-10-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                       | FNCL UMBS 3.5 CB3780 05-01-52                  | CUSIP: 3140QPFW2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |   2993444 | PA      | $2772222.75    | 0.02%             | 2052-05-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                       | FNCL UMBS 2.5 BQ9471 03-01-51                  | CUSIP: 3140KVQZ6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |   3305073 | PA      | $2819696.32    | 0.02%             | 2051-03-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                       | FNCL UMBS 6.5 FA0643 02-01-55                  | CUSIP: 3140W0WD3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |   7501266 | PA      | $7827188.94    | 0.06%             | 2055-02-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                             | FNCL UMBS 6.5 SL2362 02-01-54                  | CUSIP: 31427PTU8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |   7399437 | PA      | $7772398.00    | 0.06%             | 2054-02-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                       | FNJMCK 7.0 MA5846 08-01-55                     | CUSIP: 31418FP84<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |   2990595 | PA      | $3051729.20    | 0.02%             | 2055-08-01      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                       | FNCL UMBS 6.5 FP0130 12-01-54                  | CUSIP: 3140XTEC1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |  17819903 | PA      | $18472681.38   | 0.15%             | 2054-12-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                       | FNCL UMBS 2.0 FM7210 04-01-51                  | CUSIP: 3140XBAL4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |   1451070 | PA      | $1182287.21    | 0.01%             | 2051-04-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                       | FNCL UMBS 2.0 FM9930 12-01-51                  | CUSIP: 3140XEA87<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |     77435 | PA      | $63089.06      | 0.00%             | 2051-12-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                       | FNCL UMBS 2.5 BR9324 05-01-51                  | CUSIP: 3140L8LE8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |    498880 | PA      | $424987.03     | 0.00%             | 2051-05-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                       | FNCL UMBS 7.0 FA2203 08-01-55                  | CUSIP: 3140W2NV9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |  11437787 | PA      | $11995790.67   | 0.10%             | 2055-08-01      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                       | FNHLCR 4.0 MA1583 09-01-43                     | CUSIP: 31418AXM5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |   1589939 | PA      | $1557206.93    | 0.01%             | 2043-09-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                       | FNJMCK 5.0 AD1823 02-01-40                     | CUSIP: 31418PAZ8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |    376747 | PA      | $376986.18     | 0.00%             | 2040-02-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                       | FNCL UMBS 2.275 AT7470 05-01-43                | CUSIP: 3138WVJQ5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |     90021 | PA      | $79860.76      | 0.00%             | 2043-05-01      | Fixed         | 2.27%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                       | FNCL UMBS 2.275 AU0626 06-01-43                | CUSIP: 3138WZVU3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |    147625 | PA      | $128577.19     | 0.00%             | 2043-06-01      | Fixed         | 2.27%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                       | FNCL UMBS 2.275 AU8120 07-01-43                | CUSIP: 3138X8AW1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |     64877 | PA      | $56462.72      | 0.00%             | 2043-07-01      | Fixed         | 2.27%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                       | FNCL UMBS 2.275 AU8121 08-01-43                | CUSIP: 3138X8AX9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |     80559 | PA      | $70579.08      | 0.00%             | 2043-08-01      | Fixed         | 2.27%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                       | FNCI UMBS 3.025 AT7457 04-01-43                | CUSIP: 3138WVJB8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |    156231 | PA      | $145370.77     | 0.00%             | 2043-04-01      | Fixed         | 3.02%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                       | FNCT UMBS 2.5 MA1640 09-01-33                  | CUSIP: 31418AZE1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |    422415 | PA      | $402355.45     | 0.00%             | 2033-09-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                       | FNCZ AS0745 08-01-53                           | CUSIP: 3138W9ZK9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |    341079 | PA      | $316645.36     | 0.00%             | 2053-08-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                       | FNJMCK 3.0 AU7556 09-01-33                     | CUSIP: 3138X7ME0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |    246809 | PA      | $236143.04     | 0.00%             | 2033-09-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                       | FNCL UMBS 3.0 AT5898 06-01-43                  | CUSIP: 3138WTRU2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |   2554275 | PA      | $2372959.72    | 0.02%             | 2043-06-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| GINNIE MAE II POOL                                          | G2MHD 3.25 AH5911 85K MAX 08-20-35             | CUSIP: 36182NR88<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |   1369075 | PA      | $1320013.93    | 0.01%             | 2035-08-20      | Fixed         | 3.25%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION                    | GNR 2016-H13 IO IO FRN 05-20-66                | CUSIP: 38376RUW4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-CBDO         | USGA              | US        |   2302081 | PA      | $26071.07      | 0.00%             | 2066-05-20      | Variable      | 0.54%                 | No            |                  2 | On Loan: No      |
| GINNIE MAE II POOL                                          | G2JM 4.0 MA3727 06-20-46                       | CUSIP: 36179SD87<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |    853867 | PA      | $815238.93     | 0.01%             | 2046-06-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| GINNIE MAE II POOL                                          | G2SF 4.0 MA4511 06-20-47                       | CUSIP: 36179TAL9<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |   2725992 | PA      | $2637198.66    | 0.02%             | 2047-06-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC - SCRT SCRT_17-3                                | SCRT 2017-3 HA FRN 07-25-56                    | CUSIP: 35563PBY4<br>LEI: N/A                  | Long             | ABS-CBDO         | USGA              | US        |   7626160 | PA      | $7354150.29    | 0.06%             | 2056-07-25      | Variable      | 3.25%                 | No            |                  2 | On Loan: No      |
| SEASONED LOAN STRUCTURED TRANSACTION SLST_18-1              | SLST 2018-1 A1 3.5% 06-25-28                   | CUSIP: 35564CAA5<br>LEI: N/A                  | Long             | ABS-CBDO         | USGA              | US        |   3475375 | PA      | $3403364.99    | 0.03%             | 2028-06-25      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| SEASONED CREDIT RISK TRANSFER SCRT_19-1                     | SCRT 2019-1 MA 3.5% 07-25-58                   | CUSIP: 35563PJF7<br>LEI: N/A                  | Long             | ABS-CBDO         | USGA              | US        |    427345 | PA      | $416905.79     | 0.00%             | 2058-07-25      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| SEASONED CREDIT RISK TRANSFER SCRT_19-3                     | SCRT 2019-3 MT 3.5% 10-25-58                   | CUSIP: 35563PLG2<br>LEI: N/A                  | Long             | ABS-CBDO         | USGA              | US        |    600974 | PA      | $544535.17     | 0.00%             | 2058-10-25      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| SEASONED CREDIT RISK TRANSFER SCRT_19-2                     | SCRT 2019-2 MT 3.5% 08-25-58                   | CUSIP: 35563PKF5<br>LEI: N/A                  | Long             | ABS-CBDO         | USGA              | US        |    983439 | PA      | $887826.89     | 0.01%             | 2058-08-25      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| SEASONED CREDIT RISK TRANSFER SCRT_19-1                     | SCRT 2019-1 MT 3.5% 07-25-58                   | CUSIP: 35563PJE0<br>LEI: N/A                  | Long             | ABS-CBDO         | USGA              | US        |   1172889 | PA      | $1060610.94    | 0.01%             | 2058-07-25      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| SREIT TRUST SREIT_21-MFP                                    | SREIT 2021-MFP A 144A FRN 11-15-38             | CUSIP: 78472UAA6<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |  15124312 | PA      | $15116674.47   | 0.12%             | 2038-11-15      | Variable      | 4.80%                 | Yes           |                  2 | On Loan: No      |
| SEASONED LOANS STRUCTURED TRANSACTION TRUST SLST_22-1       | SLST 2022-1 A1 3.5% 05-25-32                   | CUSIP: 35564CLZ8<br>LEI: N/A                  | Long             | ABS-CBDO         | USGA              | US        |  21898877 | PA      | $21411801.81   | 0.18%             | 2032-05-25      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC SLST_20-3                                       | SLST 2020-3 AC 2.0% 11-25-30                   | CUSIP: 35564CJD0<br>LEI: N/A                  | Long             | ABS-CBDO         | USGA              | US        |  25076177 | PA      | $22995456.36   | 0.19%             | 2030-11-25      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| SEASONED LOANS STRUCTURED TRANSACTION TRUST SLST_21-1       | SLST 2021-1 AC 2.25% 05-26-31                  | CUSIP: 35564CKH9<br>LEI: N/A                  | Long             | ABS-CBDO         | USGA              | US        |  25387312 | PA      | $23485726.41   | 0.19%             | 2031-05-26      | Fixed         | 2.25%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC SLST_20-2                                       | SLST 2020-2 AC 2.0% 09-25-30                   | CUSIP: 35564CGW1<br>LEI: N/A                  | Long             | ABS-CBDO         | USGA              | US        |  26515327 | PA      | $24417699.56   | 0.20%             | 2030-09-25      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC - SLST SLST_21-2                                | SLST 2021-2 AD 2.0% 07-25-31                   | CUSIP: 35564CLN5<br>LEI: N/A                  | Long             | ABS-CBDO         | USGA              | US        |  21706248 | PA      | $19518974.22   | 0.16%             | 2031-07-25      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| SCRT 2024-2                                                 | SCRT 2024-2 MT 3.5% 05-25-64                   | CUSIP: 35563PX46<br>LEI: N/A                  | Long             | ABS-CBDO         | USGA              | US        |  55958959 | PA      | $49595138.48   | 0.41%             | 2064-05-25      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| TOWD POINT MORTGAGE TRUST TPMT_16-2                         | TPMT 2016-2 M1 144A FRN 08-25-55               | CUSIP: 89172PAC3<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |   2542199 | PA      | $2515899.70    | 0.02%             | 2055-08-25      | Variable      | 3.00%                 | Yes           |                  2 | On Loan: No      |
| UNIFORM MBS                                                 | FNCL 6.0 UMBS TBA 12-01-55                     | CUSIP: 01F0606C4<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        | 308726761 | PA      | $316137746.90  | 2.59%             | 2055-12-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| UNIFORM MBS                                                 | FNCL 2.0 UMBS TBA 12-01-55                     | CUSIP: 01F0206C8<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |  86794583 | PA      | $70644975.32   | 0.58%             | 2055-12-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| UNIFORM MBS                                                 | FNCL 2.5 UMBS TBA 12-01-55                     | CUSIP: 01F0226C4<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        | 303287831 | PA      | $258090361.99  | 2.11%             | 2055-12-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| UNIFORM MBS                                                 | FNCL 7.0 UMBS TBA 12-01-55                     | CUSIP: 01F0706C3<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |  47878129 | PA      | $50223917.93   | 0.41%             | 2055-12-01      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| UNIFORM MBS                                                 | FNCL 3.5 UMBS TBA 12-01-55                     | CUSIP: 01F0326C3<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |  79292037 | PA      | $73351477.59   | 0.60%             | 2055-12-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| UNIFORM MBS                                                 | FNCL 3.0 UMBS TBA 12-01-55                     | CUSIP: 01F0306C7<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |  97038000 | PA      | $86201572.46   | 0.71%             | 2055-12-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                       | FNCL UMBS 6.0 BX5931 01-01-53                  | CUSIP: 3140NASV6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |   3658488 | PA      | $3762776.47    | 0.03%             | 2053-01-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                       | FNCL UMBS 6.0 BW5278 04-01-53                  | CUSIP: 3140MW2L9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |     44264 | PA      | $45422.44      | 0.00%             | 2053-04-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                       | FNCL UMBS 6.0 MA5073 07-01-53                  | CUSIP: 31418ET75<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |    154194 | PA      | $158374.91     | 0.00%             | 2053-07-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                       | FNCL UMBS 6.0 BX8781 03-01-53                  | CUSIP: 3140NDXK8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |    334702 | PA      | $344754.77     | 0.00%             | 2053-03-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                             | FNCL UMBS 6.0 QG3376 05-01-53                  | CUSIP: 3133C3XD3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |    192964 | PA      | $199440.95     | 0.00%             | 2053-05-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                       | FNCL UMBS 6.0 BX8415 04-01-53                  | CUSIP: 3140NDK55<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |    192804 | PA      | $199522.54     | 0.00%             | 2053-04-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                             | FNCL UMBS 5.5 QF0924 09-01-52                  | CUSIP: 3133BNAZ6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |    414415 | PA      | $421251.86     | 0.00%             | 2052-09-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                             | FNCL UMBS 5.5 QF8462 03-01-53                  | CUSIP: 3133BWMK6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |   3315184 | PA      | $3370848.78    | 0.03%             | 2053-03-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                             | FNCL UMBS 5.5 QG1875 05-01-53                  | CUSIP: 3133C2CL0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |    465036 | PA      | $472534.15     | 0.00%             | 2053-05-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                       | FNCL UMBS 5.5 BX8514 03-01-53                  | CUSIP: 3140NDN86<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |    656786 | PA      | $670936.03     | 0.01%             | 2053-03-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                             | FNCL UMBS 5.5 QF8554 03-01-53                  | CUSIP: 3133BWQF3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |    461813 | PA      | $469425.10     | 0.00%             | 2053-03-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                             | FNCL UMBS 5.5 QG1023 04-01-53                  | CUSIP: 3133C1D49<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |    751964 | PA      | $763816.92     | 0.01%             | 2053-04-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                             | FNCL UMBS 5.5 QF7144 02-01-53                  | CUSIP: 3133BU5D5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |    849209 | PA      | $863489.21     | 0.01%             | 2053-02-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                       | FNCL UMBS 6.0 CB7438 11-01-53                  | CUSIP: 3140QTHQ5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |   4163205 | PA      | $4280666.10    | 0.04%             | 2053-11-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                       | FNCL UMBS 6.0 CB7122 09-01-53                  | CUSIP: 3140QS4G3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |   3901869 | PA      | $4011031.12    | 0.03%             | 2053-09-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                       | FNCL UMBS 6.0 CB7480 11-01-53                  | CUSIP: 3140QTJ26<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |   2870891 | PA      | $2951267.34    | 0.02%             | 2053-11-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                       | FNCL UMBS 6.0 CB7862 01-01-54                  | CUSIP: 3140QTWY1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |   3700299 | PA      | $3803978.05    | 0.03%             | 2054-01-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                             | FNCL UMBS 6.5 RJ0856 02-01-54                  | CUSIP: 3142GQ5S7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |   7212531 | PA      | $7498378.14    | 0.06%             | 2054-02-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                       | FNCL UMBS 6.0 CB7932 02-01-54                  | CUSIP: 3140QTY60<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |  48270148 | PA      | $49636530.89   | 0.41%             | 2054-02-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                       | FNCL UMBS 6.5 CB7933 02-01-54                  | CUSIP: 3140QTY78<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |  17988855 | PA      | $18656979.11   | 0.15%             | 2054-02-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                       | FNCL UMBS 6.0 CB7617 12-01-53                  | CUSIP: 3140QTPB9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |  26969318 | PA      | $27724404.83   | 0.23%             | 2053-12-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                       | FNCL UMBS 4.0 CB5118 11-01-52                  | CUSIP: 3140QQVL6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |    473363 | PA      | $453735.11     | 0.00%             | 2052-11-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                             | FNCL UMBS 5.0 SD4977 11-01-53                  | CUSIP: 3132DSQ62<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |  40078534 | PA      | $40181495.67   | 0.33%             | 2053-11-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                       | FNCL UMBS 6.5 FS6873 01-01-54                  | CUSIP: 3140XNT79<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |  21995831 | PA      | $22831782.74   | 0.19%             | 2054-01-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                             | FNCL UMBS 5.5 RJ1066 03-01-54                  | CUSIP: 3142GRFG0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |  11164014 | PA      | $11375818.11   | 0.09%             | 2054-03-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                       | FNCL UMBS 6.0 FS6880 01-01-54                  | CUSIP: 3140XNUE2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |   9332655 | PA      | $9589685.92    | 0.08%             | 2054-01-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                             | FNCL UMBS 6.0 RJ1076 03-01-54                  | CUSIP: 3142GRFS4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |   1842064 | PA      | $1891319.40    | 0.02%             | 2054-03-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                             | FNCL UMBS 6.0 SD4964 02-01-54                  | CUSIP: 3132DSQR6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |  15601430 | PA      | $16172910.32   | 0.13%             | 2054-02-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                       | FNCL UMBS 5.5 MA5296 03-01-54                  | CUSIP: 31418E3E8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |   7188948 | PA      | $7294143.59    | 0.06%             | 2054-03-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                             | FNCL UMBS 5.5 SD8408 03-01-54                  | CUSIP: 3132DWKV4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |  17376388 | PA      | $17630657.09   | 0.14%             | 2054-03-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                       | FNCL UMBS 6.0 CB8163 03-01-54                  | CUSIP: 3140QUB96<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |  12556439 | PA      | $12932969.06   | 0.11%             | 2054-03-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                             | FNCL UMBS 6.0 SD2861 05-01-53                  | CUSIP: 3132DQFA9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |   4329498 | PA      | $4456006.34    | 0.04%             | 2053-05-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                             | FNCL UMBS 5.5 RJ1216 04-01-54                  | CUSIP: 3142GRK66<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |   5458719 | PA      | $5571714.36    | 0.05%             | 2054-04-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                             | FNCL UMBS 5.5 RJ1215 04-01-54                  | CUSIP: 3142GRK58<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |   1031614 | PA      | $1047144.81    | 0.01%             | 2054-04-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FARM 2024-1                                                 | FARM 2024-1 A 144A FRN 10-01-53                | CUSIP: 30335JAC5<br>LEI: N/A                  | Long             | ABS-CBDO         | USGA              | US        |  14182494 | PA      | $13873457.55   | 0.11%             | 2053-10-01      | Variable      | 4.68%                 | Yes           |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                       | FNCL UMBS 6.0 FS5343 07-01-53                  | CUSIP: 3140XL5D6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |  36353265 | PA      | $37398857.42   | 0.31%             | 2053-07-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                       | FNCL UMBS 5.5 FS6809 02-01-54                  | CUSIP: 3140XNR71<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |    156431 | PA      | $158720.03     | 0.00%             | 2054-02-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                       | FNCL UMBS 5.5 MA5215 12-01-53                  | CUSIP: 31418EYM6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |   5585594 | PA      | $5675231.81    | 0.05%             | 2053-12-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                             | FNCL UMBS 6.0 SD4842 12-01-53                  | CUSIP: 3132DSLX8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |   2551714 | PA      | $2622347.87    | 0.02%             | 2053-12-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                       | FNCL UMBS 6.0 FS5769 09-01-53                  | CUSIP: 3140XMMT0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |  13350243 | PA      | $13798156.77   | 0.11%             | 2053-09-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                       | FNCL UMBS 5.5 CB8328 04-01-54                  | CUSIP: 3140QUHE9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |  22799507 | PA      | $23271456.85   | 0.19%             | 2054-04-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                       | FNCL UMBS 5.5 CB8337 04-01-54                  | CUSIP: 3140QUHP4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |  27577521 | PA      | $28014927.79   | 0.23%             | 2054-04-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                             | FNCL UMBS 6.0 RJ1348 04-01-54                  | CUSIP: 3142GRQA1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |   1707722 | PA      | $1762845.25    | 0.01%             | 2054-04-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                       | FNCL UMBS 6.5 CB8387 04-01-54                  | CUSIP: 3140QUJ98<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |   1293419 | PA      | $1351797.00    | 0.01%             | 2054-04-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                             | FNCL UMBS 5.5 SD3386 07-01-53                  | CUSIP: 3132DQXP6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |   3958772 | PA      | $4030829.27    | 0.03%             | 2053-07-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                             | FNCL UMBS 6.0 QI0006 02-01-54                  | CUSIP: 3133W6AF4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |   4533463 | PA      | $4653069.82    | 0.04%             | 2054-02-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                             | FNCL UMBS 6.0 RJ1429 05-01-54                  | CUSIP: 3142GRST8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |  17627385 | PA      | $18150618.68   | 0.15%             | 2054-05-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                             | FNCL UMBS 5.5 RJ1419 05-01-54                  | CUSIP: 3142GRSH4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |   5506722 | PA      | $5589279.15    | 0.05%             | 2054-05-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                       | FNCL UMBS 4.0 MA5341 04-01-54                  | CUSIP: 31418E5B2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |   3732983 | PA      | $3558510.87    | 0.03%             | 2054-04-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                             | FNCL UMBS 4.0 QI0001 02-01-54                  | CUSIP: 3133W6AA5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |   4861598 | PA      | $4636409.04    | 0.04%             | 2054-02-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                             | FNCL UMBS 4.0 QI1723 03-01-54                  | CUSIP: 3133W74G7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |    722872 | PA      | $689089.31     | 0.01%             | 2054-03-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                       | FNCL UMBS 5.5 MA5331 04-01-54                  | CUSIP: 31418E4R8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |    758096 | PA      | $769188.78     | 0.01%             | 2054-04-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                       | FNCL UMBS 6.0 CB8153 03-01-54                  | CUSIP: 3140QUBX3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |   3147381 | PA      | $3267361.95    | 0.03%             | 2054-03-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                       | FNCL UMBS 5.5 CB8143 03-01-54                  | CUSIP: 3140QUBM7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |  23868866 | PA      | $24362951.25   | 0.20%             | 2054-03-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                       | FNCL UMBS 5.5 CB8148 03-01-54                  | CUSIP: 3140QUBS4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |  10776446 | PA      | $10971780.05   | 0.09%             | 2054-03-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                       | FNCL UMBS 6.0 CB8168 03-01-54                  | CUSIP: 3140QUCE4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |   8486015 | PA      | $8719736.41    | 0.07%             | 2054-03-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                       | FNCL UMBS 5.5 FS4191 03-01-53                  | CUSIP: 3140XKUR9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |   1635356 | PA      | $1669274.87    | 0.01%             | 2053-03-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                             | FNCL UMBS 6.0 SD3553 07-01-53                  | CUSIP: 3132DQ5N2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |   3950344 | PA      | $4063963.78    | 0.03%             | 2053-07-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                             | FNCL UMBS 6.0 RA9854 09-01-53                  | CUSIP: 3133KR5P5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |  10230008 | PA      | $10623556.85   | 0.09%             | 2053-09-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                             | FNCL UMBS 4.0 QI3594 04-01-54                  | CUSIP: 3133W97F2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |   1172575 | PA      | $1117775.44    | 0.01%             | 2054-04-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                       | FNCL UMBS 4.0 BX9358 04-01-53                  | CUSIP: 3140NEMG7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |    914968 | PA      | $875987.12     | 0.01%             | 2053-04-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                             | FNCL UMBS 5.5 SD8438 06-01-54                  | CUSIP: 3132DWLT8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |    369164 | PA      | $374346.79     | 0.00%             | 2054-06-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                             | FNCL UMBS 6.5 SD5404 05-01-54                  | CUSIP: 3132DTAD2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |  40469582 | PA      | $42241988.21   | 0.35%             | 2054-05-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                             | FNCL UMBS 6.5 RJ1726 06-01-54                  | CUSIP: 3142GR4L1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |  17934675 | PA      | $18676453.56   | 0.15%             | 2054-06-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                             | FNCL UMBS 6.5 SD4966 02-01-54                  | CUSIP: 3132DSQT2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |  42428328 | PA      | $44300095.86   | 0.36%             | 2054-02-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                       | FNCL UMBS 6.5 FS8607 07-01-54                  | CUSIP: 3140XQR58<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |  10163349 | PA      | $10662633.95   | 0.09%             | 2054-07-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                             | FNCL UMBS 6.5 SD5905 07-01-54                  | CUSIP: 3132DTR28<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |   5963938 | PA      | $6256922.93    | 0.05%             | 2054-07-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                             | FNCL UMBS 6.5 RJ1986 07-01-54                  | CUSIP: 3142GSF45<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |  16049219 | PA      | $16663101.93   | 0.14%             | 2054-07-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                             | FNCL UMBS 6.5 SD8448 07-01-54                  | CUSIP: 3132DWL50<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |  40746673 | PA      | $42233355.67   | 0.35%             | 2054-07-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                             | FNCL UMBS 6.5 RJ0854 01-01-54                  | CUSIP: 3142GQ5Q1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |    922982 | PA      | $960101.10     | 0.01%             | 2054-01-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                             | FNCL UMBS 6.5 RJ1725 06-01-54                  | CUSIP: 3142GR4K3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |   1458922 | PA      | $1535588.72    | 0.01%             | 2054-06-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                       | FNCL UMBS 6.0 FS8591 07-01-54                  | CUSIP: 3140XQRM1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |   4675504 | PA      | $4842840.15    | 0.04%             | 2054-07-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                       | FNCL UMBS 6.0 DC0299 08-01-54                  | CUSIP: 3140AMKM2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |   2880690 | PA      | $2956362.70    | 0.02%             | 2054-08-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                       | FNCL UMBS 6.0 DB7692 08-01-54                  | CUSIP: 3140AHRN4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |   2793111 | PA      | $2870591.54    | 0.02%             | 2054-08-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                       | FNCL UMBS 6.0 DC0296 08-01-54                  | CUSIP: 3140AMKJ9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |    521700 | PA      | $541588.79     | 0.00%             | 2054-08-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                       | FNCL UMBS 6.5 MA5446 08-01-54                  | CUSIP: 31418FBQ9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |   1396029 | PA      | $1446965.93    | 0.01%             | 2054-08-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                             | FNCL UMBS 6.5 SD8455 08-01-54                  | CUSIP: 3132DWMC4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |  35189737 | PA      | $36473704.44   | 0.30%             | 2054-08-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                       | FNCL UMBS 6.0 DB7687 08-01-54                  | CUSIP: 3140AHRH7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |    675309 | PA      | $697726.67     | 0.01%             | 2054-08-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                       | FNCL UMBS 6.0 DB7039 07-01-54                  | CUSIP: 3140AGZD9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |   1365083 | PA      | $1406229.30    | 0.01%             | 2054-07-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                       | FNCL UMBS 6.0 DB7690 08-01-54                  | CUSIP: 3140AHRL8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |    573061 | PA      | $592563.11     | 0.00%             | 2054-08-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                             | FNCL UMBS 6.0 QI3333 04-01-54                  | CUSIP: 3133W9V24<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |    734653 | PA      | $762156.02     | 0.01%             | 2054-04-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                             | FNCL UMBS 6.0 SD5692 05-01-54                  | CUSIP: 3132DTKD1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |   1065611 | PA      | $1106116.54    | 0.01%             | 2054-05-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                       | FNCL UMBS 6.0 FS8223 06-01-54                  | CUSIP: 3140XQD53<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |   1861457 | PA      | $1912727.01    | 0.02%             | 2054-06-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                             | FNCL UMBS 5.0 RJ2193 08-01-54                  | CUSIP: 3142GSNK0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |   3582606 | PA      | $3597119.32    | 0.03%             | 2054-08-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                             | FNCL UMBS 5.5 RJ2206 08-01-54                  | CUSIP: 3142GSNY0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |   3693795 | PA      | $3752385.88    | 0.03%             | 2054-08-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                             | FNCL UMBS 6.0 RJ2210 08-01-54                  | CUSIP: 3142GSN46<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |  22186262 | PA      | $22803017.52   | 0.19%             | 2054-08-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                             | FNCL UMBS 6.5 RJ2247 08-01-54                  | CUSIP: 3142GSP93<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |   8448398 | PA      | $8805942.22    | 0.07%             | 2054-08-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                             | FNCL UMBS 5.0 RJ2241 08-01-54                  | CUSIP: 3142GSP36<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |   2443272 | PA      | $2451940.71    | 0.02%             | 2054-08-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                             | FNCL UMBS 5.0 RJ2195 08-01-54                  | CUSIP: 3142GSNM6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |   2292827 | PA      | $2294580.63    | 0.02%             | 2054-08-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                             | FNCL UMBS 5.5 RJ2200 08-01-54                  | CUSIP: 3142GSNS3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |   5828141 | PA      | $5923273.50    | 0.05%             | 2054-08-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                             | FNCL UMBS 5.5 RJ2243 08-01-54                  | CUSIP: 3142GSP51<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |   3390416 | PA      | $3444195.04    | 0.03%             | 2054-08-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                             | FNCL UMBS 5.5 RJ2203 08-01-54                  | CUSIP: 3142GSNV6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |    610640 | PA      | $621709.74     | 0.01%             | 2054-08-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                             | FNCL UMBS 6.0 RJ2216 08-01-54                  | CUSIP: 3142GSPA0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |  12272971 | PA      | $12611017.63   | 0.10%             | 2054-08-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                             | FNCL UMBS 6.5 RJ2228 08-01-54                  | CUSIP: 3142GSPN2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |   4473488 | PA      | $4653398.67    | 0.04%             | 2054-08-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                             | FNCL UMBS 6.5 RJ2222 08-01-54                  | CUSIP: 3142GSPG7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |  21817552 | PA      | $22719947.49   | 0.19%             | 2054-08-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                       | FNCL UMBS 6.5 CB9071 08-01-54                  | CUSIP: 3140QVCH5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |  13999149 | PA      | $14604611.85   | 0.12%             | 2054-08-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                             | FNCL UMBS 6.0 RJ2212 08-01-54                  | CUSIP: 3142GSN61<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |   4554106 | PA      | $4727721.93    | 0.04%             | 2054-08-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                       | FNCL UMBS 5.0 CB8977 08-01-54                  | CUSIP: 3140QU6P6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |    245178 | PA      | $245577.95     | 0.00%             | 2054-08-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                             | FNCL UMBS 6.5 SD4693 01-01-54                  | CUSIP: 3132DSGA4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |   4233762 | PA      | $4404014.68    | 0.04%             | 2054-01-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                             | FNCL UMBS 6.0 SD6045 08-01-54                  | CUSIP: 3132DTWE6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |   3798755 | PA      | $3943570.73    | 0.03%             | 2054-08-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                       | FNCL UMBS 6.0 DB5214 07-01-54                  | CUSIP: 3140AEYL7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |   2533502 | PA      | $2595539.65    | 0.02%             | 2054-07-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                       | FNCL UMBS 6.0 DB2495 05-01-54                  | CUSIP: 3140ABXZ3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |   1084564 | PA      | $1112393.89    | 0.01%             | 2054-05-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                             | FNCL UMBS 6.5 SD6034 08-01-54                  | CUSIP: 3132DTV31<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |   8865267 | PA      | $9231934.76    | 0.08%             | 2054-08-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                             | FNCL UMBS 6.5 SD6047 08-01-54                  | CUSIP: 3132DTWG1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |   3302813 | PA      | $3458546.97    | 0.03%             | 2054-08-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                       | FNCL UMBS 6.0 DB7792 08-01-54                  | CUSIP: 3140AHUS9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |    623184 | PA      | $639412.88     | 0.01%             | 2054-08-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                       | FNCL UMBS 6.0 BU4707 07-01-54                  | CUSIP: 3140M6GR8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |   1029534 | PA      | $1055307.72    | 0.01%             | 2054-07-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                             | FNCL UMBS 6.5 SD6035 08-01-54                  | CUSIP: 3132DTV49<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |   2303305 | PA      | $2416448.07    | 0.02%             | 2054-08-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                             | FNCL UMBS 6.5 SD5701 06-01-54                  | CUSIP: 3132DTKN9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |   4407889 | PA      | $4624426.63    | 0.04%             | 2054-06-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                             | FNCL UMBS 6.0 RJ2314 09-01-54                  | CUSIP: 3142GSSC3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |  10765525 | PA      | $11061501.17   | 0.09%             | 2054-09-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                             | FNCL UMBS 6.5 RJ2325 09-01-54                  | CUSIP: 3142GSSP4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |   1617434 | PA      | $1682936.53    | 0.01%             | 2054-09-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                             | FNCL UMBS 6.5 RJ2320 09-01-54                  | CUSIP: 3142GSSJ8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |   3196685 | PA      | $3333525.81    | 0.03%             | 2054-09-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                             | FNCL UMBS 6.0 RJ2309 09-01-54                  | CUSIP: 3142GSR75<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |   3179319 | PA      | $3266887.24    | 0.03%             | 2054-09-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                             | FNCL UMBS 6.0 RJ2306 09-01-54                  | CUSIP: 3142GSR42<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |   5219417 | PA      | $5422780.91    | 0.04%             | 2054-09-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                             | FNCL UMBS 6.0 RJ2308 09-01-54                  | CUSIP: 3142GSR67<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |   5426457 | PA      | $5633330.24    | 0.05%             | 2054-09-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                             | FNCL UMBS 6.0 RJ2312 09-01-54                  | CUSIP: 3142GSSA7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |   5821854 | PA      | $6003560.37    | 0.05%             | 2054-09-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                             | FNCL UMBS 6.5 SD5221 04-01-54                  | CUSIP: 3132DSYS5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |   4519320 | PA      | $4738566.19    | 0.04%             | 2054-04-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                       | FNCL UMBS 6.5 FS7653 03-01-54                  | CUSIP: 3140XPQF9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |   3035368 | PA      | $3182626.28    | 0.03%             | 2054-03-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                       | FNCL UMBS 6.5 FS8229 06-01-54                  | CUSIP: 3140XQEB9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |   8338045 | PA      | $8749252.28    | 0.07%             | 2054-06-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                       | FNCL UMBS 2.0 FS3056 10-01-52                  | CUSIP: 3140XJME0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |   4545309 | PA      | $3720130.79    | 0.03%             | 2052-10-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                       | FNCL UMBS 2.5 FM6965 04-01-51                  | CUSIP: 3140XAW32<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |   1748742 | PA      | $1490370.92    | 0.01%             | 2051-04-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                       | FNCL UMBS 2.5 BP5576 06-01-50                  | CUSIP: 3140KDFS4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |    381823 | PA      | $325836.25     | 0.00%             | 2050-06-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                       | FNCL UMBS 6.0 MA5498 10-01-54                  | CUSIP: 31418FDC8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |   7584255 | PA      | $7775157.84    | 0.06%             | 2054-10-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                       | FNCL UMBS 2.5 FP0015 09-01-50                  | CUSIP: 3140XTAR2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |      4464 | PA      | $3808.51       | 0.00%             | 2050-09-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                       | FNCL UMBS 2.5 FS7879 07-01-52                  | CUSIP: 3140XPXH7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        | 101342585 | PA      | $86332531.86   | 0.71%             | 2052-07-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                             | FNCL UMBS 6.0 SD8463 09-01-54                  | CUSIP: 3132DWML4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |   1446656 | PA      | $1482083.65    | 0.01%             | 2054-09-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP - GOLD                      | FGLMC 3.5 Q54781 03-01-48                      | CUSIP: 3132XXJ34<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |    156882 | PA      | $148508.74     | 0.00%             | 2048-03-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP - GOLD                      | FGLMC 3.5 Q54699 03-01-48                      | CUSIP: 3132XXGH6<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |     94947 | PA      | $89428.90      | 0.00%             | 2048-03-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP - GOLD                      | FGLMC 3.5 Q54831 03-01-48                      | CUSIP: 3132XXLM9<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |     65837 | PA      | $62487.91      | 0.00%             | 2048-03-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                       | FNCL UMBS 4.0 BK6840 06-01-48                  | CUSIP: 3140HLS64<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |    496193 | PA      | $482700.72     | 0.00%             | 2048-06-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                       | FNCL UMBS 5.0 AC0794 10-01-39                  | CUSIP: 31417J3C2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |     55816 | PA      | $57536.02      | 0.00%             | 2039-10-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                       | FNCL UMBS 3.5 AX8521 12-01-44                  | CUSIP: 3138YAPF6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |     68215 | PA      | $64921.22      | 0.00%             | 2044-12-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                             | FNCL UMBS 3.5 QA2748 09-01-49                  | CUSIP: 31339SBR5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |    209968 | PA      | $198372.10     | 0.00%             | 2049-09-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP - GOLD                      | FGLMC 3.5 Q28558 09-01-44                      | CUSIP: 3132M9E75<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |   1242831 | PA      | $1186001.13    | 0.01%             | 2044-09-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP - GOLD                      | FGLMC 4.0 Q55971 05-01-48                      | CUSIP: 3132XYT56<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |    132341 | PA      | $127861.31     | 0.00%             | 2048-05-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                       | FNCL UMBS 3.5 AR1512 01-01-43                  | CUSIP: 3138NXVE4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |    117687 | PA      | $112544.07     | 0.00%             | 2043-01-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP - GOLD                      | FGLMC 3.5 Q54709 03-01-48                      | CUSIP: 3132XXGT0<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |    227349 | PA      | $214639.58     | 0.00%             | 2048-03-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP - GOLD                      | FGLMC 3.5 Q56590 06-01-48                      | CUSIP: 3132Y0KC3<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |    120503 | PA      | $114094.72     | 0.00%             | 2048-06-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                       | FNCL UMBS 5.0 AE1248 06-01-41                  | CUSIP: 31419BL60<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |    103018 | PA      | $105941.58     | 0.00%             | 2041-06-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP - GOLD                      | FGLMC 3.5 Q56589 06-01-48                      | CUSIP: 3132Y0KB5<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |     71626 | PA      | $67898.10      | 0.00%             | 2048-06-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                       | FNCL UMBS 3.5 CA4151 09-01-49                  | CUSIP: 3140QBTH1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |   4841272 | PA      | $4592949.05    | 0.04%             | 2049-09-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP - GOLD                      | FGLMC 4.0 Q15874 02-01-43                      | CUSIP: 3132J66L3<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |      7489 | PA      | $7328.50       | 0.00%             | 2043-02-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                       | FNCL UMBS 3.5 BE5017 02-01-45                  | CUSIP: 3140FQSF5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |    581069 | PA      | $552660.71     | 0.00%             | 2045-02-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP - GOLD                      | FGLMC 4.5 Q58378 09-01-48                      | CUSIP: 3132Y2JY3<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |    293579 | PA      | $292331.48     | 0.00%             | 2048-09-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                       | FNCL UMBS 3.5 AY1829 12-01-44                  | CUSIP: 3138YFA79<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |     26080 | PA      | $24910.43      | 0.00%             | 2044-12-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                       | FNCL UMBS 3.5 AT0412 03-01-43                  | CUSIP: 3138WMN64<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |     54748 | PA      | $52184.74      | 0.00%             | 2043-03-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                       | FNCL UMBS 2.5 FS6479 01-01-52                  | CUSIP: 3140XNFV1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |    167841 | PA      | $143191.98     | 0.00%             | 2052-01-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                             | FNCL UMBS 2.5 QD3619 12-01-51                  | CUSIP: 3133B1AU5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |   3367547 | PA      | $2872898.47    | 0.02%             | 2051-12-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                             | FNCL UMBS 2.5 SD3632 07-01-52                  | CUSIP: 3132E0A93<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |     94985 | PA      | $81280.84      | 0.00%             | 2052-07-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                       | FNCL UMBS 2.5 FS5387 05-01-52                  | CUSIP: 3140XL6Z6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |    170641 | PA      | $145365.56     | 0.00%             | 2052-05-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                       | FNCL UMBS 2.5 CB2644 01-01-52                  | CUSIP: 3140QM5E0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |   2244273 | PA      | $1911869.52    | 0.02%             | 2052-01-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                             | FNCL UMBS 2.5 SD2601 02-01-53                  | CUSIP: 3132DP3J5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |    284889 | PA      | $243865.48     | 0.00%             | 2053-02-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                             | FNCL UMBS 2.5 SD2629 01-01-52                  | CUSIP: 3132DP4N5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |    706031 | PA      | $602418.00     | 0.00%             | 2052-01-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                       | FNCL UMBS 2.5 FS9167 07-01-53                  | CUSIP: 3140XRFH3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |     68597 | PA      | $58520.65      | 0.00%             | 2053-07-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                       | FNMDI4 3.0 BF0762 09-01-63                     | CUSIP: 3140FXZ47<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |  17690820 | PA      | $15371412.22   | 0.13%             | 2063-09-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                       | FNCL UMBS 6.5 FS8934 08-01-54                  | CUSIP: 3140XQ4U8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |  10917580 | PA      | $11444505.86   | 0.09%             | 2054-08-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                             | FNCL UMBS 2.0 QC2537 06-01-51                  | CUSIP: 3133ALZA9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |   2988601 | PA      | $2435022.22    | 0.02%             | 2051-06-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                       | FNCL UMBS 2.0 FM6556 03-01-51                  | CUSIP: 3140XAJA1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |    695566 | PA      | $566724.41     | 0.00%             | 2051-03-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                       | FNCL UMBS 3.0 CB2095 11-01-51                  | CUSIP: 3140QMKH6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |   8690945 | PA      | $7747064.50    | 0.06%             | 2051-11-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                       | FNCL UMBS 2.5 CB3260 04-01-52                  | CUSIP: 3140QNTS1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |    793192 | PA      | $678478.16     | 0.01%             | 2052-04-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                             | FNCL UMBS 6.0 RQ0041 08-01-55                  | CUSIP: 3142J6BK8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |   3107879 | PA      | $3184646.87    | 0.03%             | 2055-08-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                       | FNCL UMBS 2.5 CB0455 05-01-51                  | CUSIP: 3140QKQH4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |    705023 | PA      | $604459.10     | 0.00%             | 2051-05-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                       | FNCL UMBS 2.5 CA9558 10-01-51                  | CUSIP: 3140QHTQ8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |     57640 | PA      | $49175.66      | 0.00%             | 2051-10-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                             | FNCL UMBS 2.5 QB9836 03-01-51                  | CUSIP: 3133AG4V8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |    872603 | PA      | $748601.65     | 0.01%             | 2051-03-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                             | FNCL UMBS 6.0 QY7743 07-01-55                  | CUSIP: 31426SS91<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |    429440 | PA      | $440356.87     | 0.00%             | 2055-07-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                       | FNCL UMBS 6.0 DC3867 11-01-54                  | CUSIP: 3140ARJM3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |    122949 | PA      | $126047.44     | 0.00%             | 2054-11-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                       | FNCL UMBS 5.5 MA5792 08-01-55                  | CUSIP: 31418FNJ2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |  29821511 | PA      | $30214320.20   | 0.25%             | 2055-08-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                             | FNCL UMBS 6.0 QJ3296 08-01-54                  | CUSIP: 3133CTUV9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |    216465 | PA      | $222096.73     | 0.00%             | 2054-08-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                       | FNCL UMBS 6.0 DC3459 09-01-54                  | CUSIP: 3140AQZZ8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |    191121 | PA      | $195872.51     | 0.00%             | 2054-09-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                       | FNCL UMBS 6.0 DC3262 09-01-54                  | CUSIP: 3140AQTU6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |    377030 | PA      | $386425.97     | 0.00%             | 2054-09-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                             | FNCL UMBS 3.0 SL1562 10-01-53                  | CUSIP: 31427NWY1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |   8307970 | PA      | $7401943.97    | 0.06%             | 2053-10-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                       | FNCL UMBS 5.5 CC0859 08-01-55                  | CUSIP: 3140Y65V8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |   4700010 | PA      | $4809026.91    | 0.04%             | 2055-08-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                       | FNCL UMBS 6.0 CC0879 08-01-55                  | CUSIP: 3140Y66R6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |   1350212 | PA      | $1401374.42    | 0.01%             | 2055-08-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                       | FNCL UMBS 3.0 BT1267 06-01-51                  | CUSIP: 3140LPMR0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |     24129 | PA      | $21542.93      | 0.00%             | 2051-06-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                       | FNCL UMBS 3.0 FM7071 04-01-51                  | CUSIP: 3140XA2D3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |    924379 | PA      | $823402.52     | 0.01%             | 2051-04-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                             | FNCL UMBS 3.0 QD5042 01-01-52                  | CUSIP: 3133B2S75<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |    929399 | PA      | $827868.99     | 0.01%             | 2052-01-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                             | FNCL UMBS 3.0 QC7486 09-01-51                  | CUSIP: 3133ASJ79<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |    947351 | PA      | $842399.55     | 0.01%             | 2051-09-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                       | FNCL UMBS 3.0 CB0535 05-01-51                  | CUSIP: 3140QKSZ2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |     31649 | PA      | $28142.92      | 0.00%             | 2051-05-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                             | FNCL UMBS 3.0 RA8517 01-01-53                  | CUSIP: 3133KQPA8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |     10358 | PA      | $9211.64       | 0.00%             | 2053-01-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                       | FNCL UMBS 3.0 CB3516 05-01-52                  | CUSIP: 3140QN4A7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |     31516 | PA      | $28084.63      | 0.00%             | 2052-05-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                       | FNCL UMBS 3.0 BQ7487 04-01-52                  | CUSIP: 3140KTJ97<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |    967054 | PA      | $861495.88     | 0.01%             | 2052-04-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                             | FNCL UMBS 3.0 QG7176 07-01-53                  | CUSIP: 3133C76M4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |   1178757 | PA      | $1048217.52    | 0.01%             | 2053-07-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                             | FNCL UMBS 3.0 QA7102 02-01-50                  | CUSIP: 3133A13K6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |    943253 | PA      | $840318.72     | 0.01%             | 2050-02-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                       | FNCL UMBS 3.0 BP3259 05-01-50                  | CUSIP: 3140KATR7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |     17710 | PA      | $15777.44      | 0.00%             | 2050-05-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                             | FNCL UMBS 3.0 QD6604 02-01-52                  | CUSIP: 3133B4KR5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |    957631 | PA      | $853017.50     | 0.01%             | 2052-02-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                       | FNCL UMBS 3.0 FA1161 03-01-52                  | CUSIP: 3140W1JF1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |    773316 | PA      | $687640.36     | 0.01%             | 2052-03-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                       | FNCL UMBS 3.0 BV0273 01-01-52                  | CUSIP: 3140MDJT6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |    917936 | PA      | $816230.70     | 0.01%             | 2052-01-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                             | FNCL UMBS 3.0 QD5490 01-01-52                  | CUSIP: 3133B3C39<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |    920842 | PA      | $818996.19     | 0.01%             | 2052-01-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| GINNIE MAE II POOL                                          | G2MHD 3.25 AH5912 110K MAX 08-20-40            | CUSIP: 36182NR96<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |    425083 | PA      | $390608.20     | 0.00%             | 2040-08-20      | Fixed         | 3.25%                 | No            |                  2 | On Loan: No      |
| GINNIE MAE II POOL                                          | G2RF 4.886 AQ8290 02-20-66                     | CUSIP: 36190VF75<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |      1262 | PA      | $1269.12       | 0.00%             | 2066-02-20      | Fixed         | 4.89%                 | No            |                  2 | On Loan: No      |
| GINNIE MAE II POOL                                          | G2RF 5.197 AQ8292 02-20-66                     | CUSIP: 36190VF91<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |       674 | PA      | $675.11        | 0.00%             | 2066-02-20      | Fixed         | 5.20%                 | No            |                  2 | On Loan: No      |
| GINNIE MAE II POOL                                          | G2RF 5.2 773441 04-20-62                       | CUSIP: 36176RBJ0<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |       512 | PA      | $514.98        | 0.00%             | 2062-04-20      | Fixed         | 5.20%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                       | FNCL UMBS 3.0 MA5130 07-01-53                  | CUSIP: 31418EVY3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |   3733223 | PA      | $3319619.62    | 0.03%             | 2053-07-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                             | FNCL UMBS 3.0 QD2481 12-01-51                  | CUSIP: 3133AYXJ4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |    437937 | PA      | $389414.94     | 0.00%             | 2051-12-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| GINNIE MAE II POOL                                          | G2RF 5.2 AG8235 12-20-64                       | CUSIP: 36182DEG6<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |       601 | PA      | $598.89        | 0.00%             | 2064-12-20      | Fixed         | 5.20%                 | No            |                  2 | On Loan: No      |
| GINNIE MAE II POOL                                          | G2SF 4.5 MA6041 07-20-49                       | CUSIP: 36179UWA6<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |    219011 | PA      | $217487.08     | 0.00%             | 2049-07-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                       | FNCL UMBS 3.0 BV7243 05-01-52                  | CUSIP: 3140MMBM9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |   3504145 | PA      | $3122645.23    | 0.03%             | 2052-05-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                       | FNCL UMBS 3.0 CB4357 08-01-52                  | CUSIP: 3140QPZX8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |    993716 | PA      | $883606.34     | 0.01%             | 2052-08-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| GINNIE MAE II POOL                                          | G2SF 5.0 MA6042 07-20-49                       | CUSIP: 36179UWB4<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |      6227 | PA      | $6350.51       | 0.00%             | 2049-07-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| GINNIE MAE II POOL                                          | G2SF 6.5 773549 12-20-38                       | CUSIP: 36176REW8<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |    115815 | PA      | $118838.74     | 0.00%             | 2038-12-20      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                       | FNCL UMBS 3.0 CB0998 07-01-51                  | CUSIP: 3140QLDC7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |   4932283 | PA      | $4385860.45    | 0.04%             | 2051-07-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                             | FNCL UMBS 3.0 QD7059 02-01-52                  | CUSIP: 3133B4ZY4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |   1979640 | PA      | $1760303.55    | 0.01%             | 2052-02-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| GINNIE MAE II POOL                                          | G2 5.0 005158 08-20-41                         | CUSIP: 36202FWT9<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |    371104 | PA      | $376603.01     | 0.00%             | 2041-08-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| GINNIE MAE II POOL                                          | G2 6.5 005165 08-20-41                         | CUSIP: 36202FW28<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |     40544 | PA      | $41032.04      | 0.00%             | 2041-08-20      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| GINNIE MAE II POOL                                          | G2MHD 4.0 778205 03-20-32                      | CUSIP: 36176WKS9<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |    172526 | PA      | $171518.12     | 0.00%             | 2032-03-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| GINNIE MAE II POOL                                          | G2 4.0 MA0273 09-20-41                         | CUSIP: 36179MJS0<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |    397110 | PA      | $375233.05     | 0.00%             | 2041-09-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                       | FNCL UMBS 3.0 FM9921 12-01-51                  | CUSIP: 3140XEAX2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |   3970062 | PA      | $3532564.84    | 0.03%             | 2051-12-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                       | FNCL UMBS 3.0 CB2096 11-01-51                  | CUSIP: 3140QMKJ2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |   1013262 | PA      | $902460.48     | 0.01%             | 2051-11-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| GINNIE MAE II POOL                                          | G2SF 4.0 770241 05-20-42                       | CUSIP: 36176MP23<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |    270405 | PA      | $262492.50     | 0.00%             | 2042-05-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| GINNIE MAE II POOL                                          | G2MHD 4.0 778208 05-20-32                      | CUSIP: 36176WKV2<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |    207026 | PA      | $205727.36     | 0.00%             | 2032-05-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| GINNIE MAE II POOL                                          | G2 4.5 MA0274 07-20-41                         | CUSIP: 36179MJT8<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |    182855 | PA      | $180226.70     | 0.00%             | 2041-07-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| GINNIE MAE II POOL                                          | G2SF 4.0 770242 06-20-42                       | CUSIP: 36176MP31<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |    416091 | PA      | $403915.96     | 0.00%             | 2042-06-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| GINNIE MAE II POOL                                          | G2MHD 3.75 AA7288 06-20-37                     | CUSIP: 36178FCZ7<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |    229263 | PA      | $219420.84     | 0.00%             | 2037-06-20      | Fixed         | 3.75%                 | No            |                  2 | On Loan: No      |
| GINNIE MAE I POOL                                           | GNSF 792276 06-15-42                           | CUSIP: 36177LQ64<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    139316 | PA      | $131096.96     | 0.00%             | 2042-06-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                       | FNCL UMBS 3.0 FS5083 03-01-52                  | CUSIP: 3140XLUH9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |   1304524 | PA      | $1167562.45    | 0.01%             | 2052-03-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                       | FNCL UMBS 3.0 FS4198 04-01-52                  | CUSIP: 3140XKUY4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |    453132 | PA      | $403514.30     | 0.00%             | 2052-04-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| GINNIE MAE II POOL                                          | G2SF 5.5 MB0205 02-20-55                       | CUSIP: 3618N5GP8<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |   1752778 | PA      | $1772363.56    | 0.01%             | 2055-02-20      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| GINNIE MAE II POOL                                          | G2SF 5.5 MB0424 06-20-55                       | CUSIP: 3618N5PJ2<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |   9913554 | PA      | $10022979.68   | 0.08%             | 2055-06-20      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| GINNIE MAE II POOL                                          | G2SF 3.5 TBA 12-01-55                          | CUSIP: 21H0326C9<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |  26590209 | PA      | $24380934.90   | 0.20%             | 2055-12-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| GINNIE MAE II POOL                                          | G2SF 4.5 TBA 12-01-55                          | CUSIP: 21H0426C8<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |   9000000 | PA      | $8804007.00    | 0.07%             | 2055-12-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                             | FNCL UMBS 3.0 QG9049 07-01-53                  | CUSIP: 3133CABS8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |    777742 | PA      | $692057.83     | 0.01%             | 2053-07-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                             | FNCL UMBS 6.0 RQ0050 09-01-55                  | CUSIP: 3142J6BU6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |   1378834 | PA      | $1413262.49    | 0.01%             | 2055-09-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                             | FNCL UMBS 5.5 RQ0027 07-01-55                  | CUSIP: 3142J6A52<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |  44591959 | PA      | $45179279.53   | 0.37%             | 2055-07-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                             | FNCL UMBS 5.5 RQ0056 10-01-55                  | CUSIP: 3142J6B28<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |    976007 | PA      | $988862.64     | 0.01%             | 2055-10-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| LEGACY MORTGAGE ASSET TRUST LMAT_21-GS2                     | LMAT 2021-GS2 A1 144A 5.75% 04-25-61           | CUSIP: 52476DAA5<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |   2975746 | PA      | $2978124.10    | 0.02%             | 2061-04-25      | Variable      | 5.75%                 | Yes           |                  2 | On Loan: No      |
| MORGAN STANLEY RESIDENTIAL MORTGAGE LOAN TRUST MSRM_24-INV2 | MSRM 2024-INV2 A1 144A FRN 02-25-54            | CUSIP: 617939AA1<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |  14623163 | PA      | $14919676.69   | 0.12%             | 2054-02-25      | Variable      | 6.50%                 | Yes           |                  2 | On Loan: No      |
| PMTLT 2024-INV1                                             | PMTLT 2024-INV1 A2 144A FRN 10-25-59           | CUSIP: 73015BAB1<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |   8388154 | PA      | $8547847.37    | 0.07%             | 2059-10-25      | Variable      | 6.00%                 | Yes           |                  2 | On Loan: No      |
| SEASONED CREDIT RISK TRANSFER SCRT_17-1                     | SCRT 2017-1 HA 3.0% 01-25-56                   | CUSIP: 35563PAP4<br>LEI: N/A                  | Long             | ABS-CBDO         | USGA              | US        |   2021900 | PA      | $1931551.75    | 0.02%             | 2056-01-25      | Variable      | 3.00%                 | No            |                  2 | On Loan: No      |
| SEASONED CREDIT RISK TRANSFER SCRT_17-2                     | SCRT 2017-2 HA FRN 08-25-56                    | CUSIP: 35563PBF5<br>LEI: N/A                  | Long             | ABS-CBDO         | USGA              | US        |   2328910 | PA      | $2222485.53    | 0.02%             | 2056-08-25      | Variable      | 3.00%                 | No            |                  2 | On Loan: No      |
| SEASONED CREDIT RISK TRANSFER SCRT_17-2                     | SCRT 2017-2 MA 3.0% 08-25-56                   | CUSIP: 35563PBC2<br>LEI: N/A                  | Long             | ABS-CBDO         | USGA              | US        |   2420302 | PA      | $2299042.73    | 0.02%             | 2056-08-25      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| UNIFORM MBS                                                 | FNCL 5.5 UMBS TBA 12-01-55                     | CUSIP: 01F0526C1<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |  69097804 | PA      | $69979630.17   | 0.57%             | 2055-12-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| UNIFORM MBS                                                 | FNCL 4.5 UMBS TBA 12-01-55                     | CUSIP: 01F0426C2<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |  25008000 | PA      | $24484932.67   | 0.20%             | 2055-12-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| UNIFORM MBS                                                 | FNCL 6.5 UMBS TBA 12-01-55                     | CUSIP: 01F0626C0<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        | 391278138 | PA      | $405388410.21  | 3.32%             | 2055-12-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| UNIFORM MBS                                                 | FNCL 5.0 UMBS TBA 12-01-55                     | CUSIP: 01F0506C5<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |  50000000 | PA      | $49905500.00   | 0.41%             | 2055-12-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| UNIFORM MBS                                                 | FNCL 4.0 UMBS TBA 12-01-55                     | CUSIP: 01F0406C6<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |  53248534 | PA      | $50722956.03   | 0.42%             | 2055-12-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| UNIFORM MBS                                                 | FNCI 2.5 UMBS TBA 12-01-40                     | CUSIP: 01F0224C6<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |  12149901 | PA      | $11490574.47   | 0.09%             | 2040-12-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| UNIFORM MBS                                                 | FNCI 4.0 UMBS TBA 12-01-40                     | CUSIP: 01F0404C8<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |  11000000 | PA      | $10851203.00   | 0.09%             | 2040-12-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| UNIFORM MBS                                                 | FNCL 7.0 UMBS TBA 01-01-56                     | CUSIP: 01F070617<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |   6369088 | PA      | $6685618.94    | 0.05%             | 2056-01-01      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                             | FNCL UMBS 2.5 SL2621 07-01-52                  | CUSIP: 31427P4F8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        | 106248444 | PA      | $90511880.69   | 0.74%             | 2052-07-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                       | FNCL UMBS 2.5 FA2839 07-01-52                  | CUSIP: 3140W3EM7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |  78209512 | PA      | $66665396.89   | 0.55%             | 2052-07-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| UNIFORM MBS                                                 | FNCL 3.5 UMBS TBA 01-01-56                     | CUSIP: 01F032617<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        | 129349043 | PA      | $119617855.80  | 0.98%             | 2056-01-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| UNIFORM MBS                                                 | FNCL 5.5 UMBS TBA 01-01-56                     | CUSIP: 01F052615<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |  42335106 | PA      | $42839020.77   | 0.35%             | 2056-01-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| UNIFORM MBS                                                 | FNCL 2.0 UMBS TBA 01-01-56                     | CUSIP: 01F020612<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        | 132912468 | PA      | $108202578.16  | 0.89%             | 2056-01-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| CAPITAL GROUP CENTRAL CASH FUND                             | CAPITAL GROUP CENTRAL CASH FUND                | CUSIP: 14020B102<br>LEI: 549300YD0SRETB6WWP29 | Long             | STIV             | RF                | US        |  13058332 | NS      | $1305702610.68 | 10.68%            |  |  |  | No            |                  1 | On Loan: No      |
| RISKLESS ISSUER                                             | OIS PAYFIX USD 3.41% 03-09-23/07-28-45 LCH     | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              | CORP              | US        |         1 | NC      | $8916525.00    | 0.07%             |  |  |  | No            |                  2 | On Loan: No      |
| RISKLESS ISSUER                                             | OIS PAYFIX USD 3.6038% 01-08-24/01-08-34 LCH   | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              | CORP              | US        |         1 | NC      | $-346499.58    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| RISKLESS ISSUER                                             | OIS PAYFIX USD 3.8215% 04-23-25/04-23-35 LCH   | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              | CORP              | US        |         1 | NC      | $-186728.89    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| RISKLESS ISSUER                                             | OIS PAYFIX USD 3.802% 07-11-25/07-11-35 LCH    | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              | CORP              | US        |         1 | NC      | $-119354.63    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| RISKLESS ISSUER                                             | OIS PAYFIX USD 3.6965% 11-05-25/11-05-35 LCH   | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              | CORP              | US        |         1 | NC      | $-158128.06    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| RISKLESS ISSUER                                             | OIS PAYFIX USD 3.3615% 11-20-25/05-31-30 LCH   | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              | CORP              | US        |         1 | NC      | $-158345.99    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| CME CHICAGO MERCANTILE EXCHANGE                             | SOFR 90DAY FUT OPT SFRZ5P P @ 95.6875 12-12-25 | CUSIP: N/A<br>LEI: SNZ2OJLFK8MNNCLQOF39       | N/A              | DIR              |  | US        |     11750 | NC      | $73437.50      | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                       | FNCL UMBS 6.5 FP0128 06-01-54                  | CUSIP: 3140XTEA5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |  14718946 | PA      | $15260190.71   | 0.12%             | 2054-06-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| GINNIE MAE I POOL                                           | GNSF 3.5 799343 85K MAX 07-15-42               | CUSIP: 36177ULZ5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    288811 | PA      | $272671.78     | 0.00%             | 2042-07-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| GINNIE MAE II POOL                                          | G2SF 2.0 MA6994 11-20-50                       | CUSIP: 36179VXX3<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |   7197062 | PA      | $5998348.42    | 0.05%             | 2050-11-20      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| GINNIE MAE II POOL                                          | G2SF 6.5 796771 10-20-32                       | CUSIP: 36177RQZ7<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |    137482 | PA      | $140798.64     | 0.00%             | 2032-10-20      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| GINNIE MAE II POOL                                          | G2 4.5 MA0310 10-20-41                         | CUSIP: 36179MKX7<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |    393125 | PA      | $387500.12     | 0.00%             | 2041-10-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| GINNIE MAE II POOL                                          | G2SF 5.5 783689 02-20-40                       | CUSIP: 3622A2C26<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |    743999 | PA      | $770772.90     | 0.01%             | 2040-02-20      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| GINNIE MAE II POOL                                          | G2SF 6.0 783690 09-20-39                       | CUSIP: 3622A2C34<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |    741065 | PA      | $784916.27     | 0.01%             | 2039-09-20      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| GINNIE MAE II POOL                                          | G2SF 5.0 783688 06-20-41                       | CUSIP: 3622A2CZ3<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |    567355 | PA      | $580137.07     | 0.00%             | 2041-06-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| GINNIE MAE II POOL                                          | G2SF 4.5 783687 12-20-41                       | CUSIP: 3622A2CY6<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |    420173 | PA      | $417312.96     | 0.00%             | 2041-12-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| GINNIE MAE II POOL                                          | G2SF 4.5 AB3621 09-20-41                       | CUSIP: 36178QAW2<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |     95506 | PA      | $94648.38      | 0.00%             | 2041-09-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| GINNIE MAE II POOL                                          | G2SF 4.0 AC2872 06-20-42                       | CUSIP: 36179CFM9<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |    105672 | PA      | $101811.68     | 0.00%             | 2042-06-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| GINNIE MAE II POOL                                          | G2SF 5.0 AC2887 07-20-35                       | CUSIP: 36179CF49<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |     74911 | PA      | $74782.97      | 0.00%             | 2035-07-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| GINNIE MAE II POOL                                          | G2SF 4.5 AC2904 05-20-41                       | CUSIP: 36179CGM8<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |    314583 | PA      | $311761.37     | 0.00%             | 2041-05-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| GINNIE MAE II POOL                                          | G2SF 4.5 AB2159 03-20-42                       | CUSIP: 36178MMG3<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |    470370 | PA      | $467149.97     | 0.00%             | 2042-03-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| GINNIE MAE II POOL                                          | G2SF 2.0 MA7051 12-20-50                       | CUSIP: 36179VZQ6<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |   9114275 | PA      | $7596228.30    | 0.06%             | 2050-12-20      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| GINNIE MAE II POOL                                          | G2SF 3.5 AG5105 09-20-43                       | CUSIP: 36181YU65<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |    248922 | PA      | $229459.84     | 0.00%             | 2043-09-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| GINNIE MAE II POOL                                          | G2SF 4.0 AG5106 09-20-43                       | CUSIP: 36181YU73<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |    344380 | PA      | $330660.86     | 0.00%             | 2043-09-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| GINNIE MAE I POOL                                           | GNSF 2.75 793043 150K MAX 01-15-42             | CUSIP: 36177MLZ3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    189830 | PA      | $172222.93     | 0.00%             | 2042-01-15      | Fixed         | 2.75%                 | No            |                  2 | On Loan: No      |
| GINNIE MAE I POOL                                           | GNSF 2.75 799829 110K MAX 02-15-42             | CUSIP: 36177U4P6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    152097 | PA      | $137069.25     | 0.00%             | 2042-02-15      | Fixed         | 2.75%                 | No            |                  2 | On Loan: No      |
| GINNIE MAE I POOL                                           | GNSF 2.75 AB1330 175K MAX 08-15-42             | CUSIP: 36178LPP2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    205726 | PA      | $185430.89     | 0.00%             | 2042-08-15      | Fixed         | 2.75%                 | No            |                  2 | On Loan: No      |
| GINNIE MAE I POOL                                           | GNSF 2.75 AB1591 175K MAX 09-15-42             | CUSIP: 36178LXU2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    176200 | PA      | $159822.29     | 0.00%             | 2042-09-15      | Fixed         | 2.75%                 | No            |                  2 | On Loan: No      |
| GINNIE MAE II POOL                                          | G2SF 3.5 AA7306 11-20-43                       | CUSIP: 36178FDK9<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |    619093 | PA      | $570305.67     | 0.00%             | 2043-11-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| GINNIE MAE II POOL                                          | G2SF 2.5 MA7827 01-20-52                       | CUSIP: 36179WVU9<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |   2576316 | PA      | $2238442.72    | 0.02%             | 2052-01-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| GINNIE MAE II POOL                                          | G2SF 2.5 MA6709 06-20-50                       | CUSIP: 36179VN22<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |     43931 | PA      | $38226.85      | 0.00%             | 2050-06-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                             | FNCL UMBS 6.5 SD6733 10-01-54                  | CUSIP: 3132DUPS0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |   3808207 | PA      | $3956826.20    | 0.03%             | 2054-10-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                             | FNCL UMBS 6.5 SD6531 09-01-54                  | CUSIP: 3132DUHG5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |   2697677 | PA      | $2835501.72    | 0.02%             | 2054-09-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                       | FNCL UMBS 5.5 BU5165 11-01-54                  | CUSIP: 3140M6W33<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |   5886666 | PA      | $5984560.86    | 0.05%             | 2054-11-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                       | FNCL UMBS 6.0 BU5166 10-01-54                  | CUSIP: 3140M6W41<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |   7531104 | PA      | $7746885.25    | 0.06%             | 2054-10-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                       | FNCL UMBS 5.0 MA5530 11-01-54                  | CUSIP: 31418FEC7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |  11635160 | PA      | $11627446.09   | 0.10%             | 2054-11-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                       | FNCL UMBS 6.0 CB9432 11-01-54                  | CUSIP: 3140QVPS7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |  18295644 | PA      | $18846873.50   | 0.15%             | 2054-11-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                             | FNCL UMBS 4.5 RJ2851 11-01-54                  | CUSIP: 3142GTEZ5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |   4668045 | PA      | $4574805.06    | 0.04%             | 2054-11-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                             | FNCL UMBS 5.0 RJ2860 11-01-54                  | CUSIP: 3142GTFA9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |  14067601 | PA      | $14064210.63   | 0.12%             | 2054-11-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| NELNET STUDENT LOAN TRUST NSLT_21-C                         | NSLT 2021-CA AFX 144A 1.32% 04-20-62           | CUSIP: 64035GAB5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   3522887 | PA      | $3304943.14    | 0.03%             | 2062-04-20      | Fixed         | 1.32%                 | Yes           |                  2 | On Loan: No      |
| NELNET STUDENT LOAN TRUST NSLT_21-C                         | NSLT 2021-CA AFL 144A FRN 04-20-62             | CUSIP: 64035GAA7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   6405248 | PA      | $6392572.21    | 0.05%             | 2062-04-20      | Variable      | 4.81%                 | Yes           |                  2 | On Loan: No      |
| NAVIENT STUDENT LOAN TRUST NAVSL_21-A                       | NAVSL 2021-A A 144A 0.84% 05-15-69             | CUSIP: 63942BAA2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1472562 | PA      | $1353418.58    | 0.01%             | 2069-05-15      | Fixed         | 0.84%                 | Yes           |                  2 | On Loan: No      |
| GINNIE MAE II POOL                                          | G2SF 3.0 MA7937 03-20-52                       | CUSIP: 36179WZA9<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |   4637761 | PA      | $4188598.23    | 0.03%             | 2052-03-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| GINNIE MAE II POOL                                          | G2SF 2.5 MA7881 02-20-52                       | CUSIP: 36179WXJ2<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |  12640565 | PA      | $10982779.78   | 0.09%             | 2052-02-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| SYNCHRONY CARD ISSUANCE TRUST SYNIT_23-A1                   | SYNIT 2023-A1 A 5.54% 07-15-29                 | CUSIP: 87166PAK7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   7488000 | PA      | $7558387.20    | 0.06%             | 2029-07-15      | Fixed         | 5.54%                 | No            |                  2 | On Loan: No      |
| SDART 2023-4                                                | SDART 2023-4 A3 5.73% 04-17-28                 | CUSIP: 802927AD5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    174957 | PA      | $175254.64     | 0.00%             | 2028-04-17      | Fixed         | 5.73%                 | No            |                  2 | On Loan: No      |
| SDART 2024-5                                                | SDART 2024-5 A2 4.88% 09-15-27                 | CUSIP: 802920AC2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    206060 | PA      | $206146.19     | 0.00%             | 2027-09-15      | Fixed         | 4.88%                 | No            |                  2 | On Loan: No      |
| CF HIPPOLYTA ISSUER LLC SORT_20-1                           | SORT 2020-1 A1 144A 1.69% 07-15-60             | CUSIP: 12530MAA3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   4981613 | PA      | $4281491.81    | 0.04%             | 2060-07-15      | Fixed         | 1.69%                 | Yes           |                  2 | On Loan: No      |
| CF HIPPOLYTA ISSUER LLC SORT_20-1                           | SORT 2020-1 A2 144A 1.99% 07-15-60             | CUSIP: 12530MAB1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   2202715 | PA      | $1860931.10    | 0.02%             | 2060-07-15      | Fixed         | 1.99%                 | Yes           |                  2 | On Loan: No      |
| SMB PRIVATE EDUCATION LOAN TRUST SMB_21-A                   | SMB 2021-A APT2 144A 1.07% 01-15-53            | CUSIP: 78448YAJ0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1036685 | PA      | $950521.84     | 0.01%             | 2053-01-15      | Fixed         | 1.07%                 | Yes           |                  2 | On Loan: No      |
| CF HIPPOLYTA ISSUER LLC SORT_21-1                           | SORT 2021-1A A1 144A 1.53% 03-15-61            | CUSIP: 12530MAE5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   9417015 | PA      | $7736840.34    | 0.06%             | 2061-03-15      | Fixed         | 1.53%                 | Yes           |                  2 | On Loan: No      |
| NEW ECONOMY ASSETS - PHASE I ISSUER LLC USRE_21-1           | USRE 2021-1 A1 144A 1.91% 10-20-61             | CUSIP: 643821AA9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |  12130000 | PA      | $10314939.58   | 0.08%             | 2061-10-20      | Fixed         | 1.91%                 | Yes           |                  2 | On Loan: No      |
| WOSAT 2024-A                                                | WOSAT 2024-A A2A 5.37% 02-15-28                | CUSIP: 98164LAB5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    414920 | PA      | $415351.91     | 0.00%             | 2028-02-15      | Fixed         | 5.37%                 | No            |                  2 | On Loan: No      |
| ACAR 2024-4                                                 | ACAR 2024-4 A 144A 4.81% 03-13-28              | CUSIP: 024945AA5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    213171 | PA      | $213269.33     | 0.00%             | 2028-03-13      | Fixed         | 4.81%                 | Yes           |                  2 | On Loan: No      |
| FEDERAL HOME LOAN BANKS                                     | FED HM LN BK BD 12/4/2025                      | CUSIP: 313385QB5<br>LEI: 2549001DPIFGXC1TOL40 | Long             | DBT              | USGA              | US        | 150000000 | PA      | $149952120.00  | 1.23%             | 2025-12-04      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN BANKS                                     | FED HM LN BK BD 1/7/2026                       | CUSIP: 313385RM0<br>LEI: 2549001DPIFGXC1TOL40 | Long             | DBT              | USGA              | US        | 100000000 | PA      | $99605310.00   | 0.82%             | 2026-01-07      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN BANKS                                     | FED HM LN BK BD 1/23/2026                      | CUSIP: 313385SD9<br>LEI: 2549001DPIFGXC1TOL40 | Long             | DBT              | USGA              | US        | 135000000 | PA      | $134260591.50  | 1.10%             | 2026-01-23      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN BANKS                                     | FED HM LN BK BD 1/16/2026                      | CUSIP: 313385RW8<br>LEI: 2549001DPIFGXC1TOL40 | Long             | DBT              | USGA              | US        |  50000000 | PA      | $49758485.00   | 0.41%             | 2026-01-16      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN BANKS                                     | FED HM LN BK BD 1/26/2026                      | CUSIP: 313385SG2<br>LEI: 2549001DPIFGXC1TOL40 | Long             | DBT              | USGA              | US        | 100000000 | PA      | $99421300.00   | 0.81%             | 2026-01-26      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN BANKS                                     | FED HM LN BK BD 1/21/2026                      | CUSIP: 313385SB3<br>LEI: 2549001DPIFGXC1TOL40 | Long             | DBT              | USGA              | US        |  52099000 | PA      | $51822203.22   | 0.42%             | 2026-01-21      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN BANKS                                     | FED HM LN BK BD 12/30/2025                     | CUSIP: 313385RD0<br>LEI: 2549001DPIFGXC1TOL40 | Long             | DBT              | USGA              | US        | 500000000 | PA      | $498441150.00  | 4.08%             | 2025-12-30      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN BANKS                                     | FED HM LN BK BD 1/6/2026                       | CUSIP: 313385RL2<br>LEI: 2549001DPIFGXC1TOL40 | Long             | DBT              | USGA              | US        | 400000000 | PA      | $398463920.00  | 3.26%             | 2026-01-06      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                             | FNCL UMBS 5.5 RJ2917 11-01-54                  | CUSIP: 3142GTG34<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |  21063156 | PA      | $21385106.65   | 0.17%             | 2054-11-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                             | FNCL UMBS 6.0 RJ2922 11-01-54                  | CUSIP: 3142GTG83<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |   1346663 | PA      | $1381492.87    | 0.01%             | 2054-11-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN BANKS                                     | FED HM LN BK BD 2/11/2026                      | CUSIP: 313385SY3<br>LEI: 2549001DPIFGXC1TOL40 | Long             | DBT              | USGA              | US        |  31000000 | PA      | $30772683.20   | 0.25%             | 2026-02-11      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN BANKS                                     | FED HM LN BK BD 12/15/2025                     | CUSIP: 313385QN9<br>LEI: 2549001DPIFGXC1TOL40 | Long             | DBT              | USGA              | US        | 150000000 | PA      | $149780070.00  | 1.23%             | 2025-12-15      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN BANKS                                     | FED HM LN BK BD 1/28/2026                      | CUSIP: 313385SJ6<br>LEI: 2549001DPIFGXC1TOL40 | Long             | DBT              | USGA              | US        | 150000000 | PA      | $149119065.00  | 1.22%             | 2026-01-28      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN BANKS                                     | FED HM LN BK BD 3/13/2026                      | CUSIP: 313385UE4<br>LEI: 2549001DPIFGXC1TOL40 | Long             | DBT              | USGA              | US        | 150000000 | PA      | $148419120.00  | 1.21%             | 2026-03-13      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| GINNIE MAE II POOL                                          | G2SF 2.5 MA7987 04-20-52                       | CUSIP: 36179W2U1<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |   3756179 | PA      | $3263560.24    | 0.03%             | 2052-04-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| GINNIE MAE II POOL                                          | G2SF 3.0 MA7988 04-20-52                       | CUSIP: 36179W2V9<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |   3520907 | PA      | $3179900.21    | 0.03%             | 2052-04-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| GINNIE MAE II POOL                                          | G2SF 4.0 MA8346 10-20-52                       | CUSIP: 36179XHX7<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |   7754983 | PA      | $7419766.46    | 0.06%             | 2052-10-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION GNMA_21-2          | GNR 2021-2 AH 1.5% 06-16-63                    | CUSIP: 38380RNG1<br>LEI: N/A                  | Long             | ABS-CBDO         | USGA              | US        |   7696480 | PA      | $5771744.18    | 0.05%             | 2063-06-16      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| GINNIE MAE II POOL                                          | G2SF 2.5 786647 03-20-52                       | CUSIP: 3622ACHY9<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |   7472610 | PA      | $6501962.80    | 0.05%             | 2052-03-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| GINNIE MAE II POOL                                          | G2SF 2.5 BZ3978 11-20-50                       | CUSIP: 3617QYM36<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |   4951262 | PA      | $4289669.64    | 0.04%             | 2050-11-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| GINNIE MAE II POOL                                          | G2SF 2.5 786706 12-20-51                       | CUSIP: 3622ACKT6<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |   5631306 | PA      | $4840642.75    | 0.04%             | 2051-12-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| GINNIE MAE II POOL                                          | G2SF 2.5 786701 03-20-52                       | CUSIP: 3622ACKN9<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |   4821451 | PA      | $4189522.30    | 0.03%             | 2052-03-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| GINNIE MAE II POOL                                          | G2SF 2.5 785575 08-20-51                       | CUSIP: 3622ABCL4<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |  54337534 | PA      | $46690939.30   | 0.38%             | 2051-08-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| GINNIE MAE II POOL                                          | G2SF 2.5 785659 10-20-51                       | CUSIP: 3622ABE81<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |   5969772 | PA      | $5142564.19    | 0.04%             | 2051-10-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| GINNIE MAE II POOL                                          | G2SF 2.5 785792 12-20-51                       | CUSIP: 3622ABKD3<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |  72654060 | PA      | $62361595.22   | 0.51%             | 2051-12-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| GINNIE MAE II POOL                                          | G2SF 2.5 785847 01-20-52                       | CUSIP: 3622ABL42<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |   1991484 | PA      | $1715537.87    | 0.01%             | 2052-01-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| GINNIE MAE II POOL                                          | G2SF 2.5 MA7936 03-20-52                       | CUSIP: 36179WY93<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |   8220231 | PA      | $7142163.99    | 0.06%             | 2052-03-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| GINNIE MAE II POOL                                          | G2SF 4.0 MA8567 01-20-53                       | CUSIP: 36179XQU3<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |   5649914 | PA      | $5403883.17    | 0.04%             | 2053-01-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| GINNIE MAE II POOL                                          | G2SF 3.5 MA8266 09-20-52                       | CUSIP: 36179XFF8<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |  20175749 | PA      | $18777569.18   | 0.15%             | 2052-09-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| GINNIE MAE II POOL                                          | G2SF 4.5 MA9015 07-20-53                       | CUSIP: 36179YAQ7<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |  16588499 | PA      | $16320826.83   | 0.13%             | 2053-07-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| GINNIE MAE II POOL                                          | G2MHD 4.25 AD0867 85K MAX 04-20-34             | CUSIP: 36180B6C0<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |    438302 | PA      | $437800.30     | 0.00%             | 2034-04-20      | Fixed         | 4.25%                 | No            |                  2 | On Loan: No      |
| GINNIE MAE II POOL                                          | G2SF 4.0 MA8723 03-20-53                       | CUSIP: 36179XVQ6<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |   3614823 | PA      | $3458723.93    | 0.03%             | 2053-03-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| GINNIE MAE II POOL                                          | G2SF 4.25 AH5881 05-20-44                      | CUSIP: 36182NRA3<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |    407572 | PA      | $396180.50     | 0.00%             | 2044-05-20      | Fixed         | 4.25%                 | No            |                  2 | On Loan: No      |
| GINNIE MAE II POOL                                          | G2SF 3.75 AH5880 05-20-44                      | CUSIP: 36182NQ97<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |    859578 | PA      | $805279.47     | 0.01%             | 2044-05-20      | Fixed         | 3.75%                 | No            |                  2 | On Loan: No      |
| GINNIE MAE II POOL                                          | G2MHD 3.75 AH5896 85K MAX 07-20-34             | CUSIP: 36182NRR6<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |    423179 | PA      | $415950.84     | 0.00%             | 2034-07-20      | Fixed         | 3.75%                 | No            |                  2 | On Loan: No      |
| GINNIE MAE II POOL                                          | G2SF 5.0 AE5743 09-20-41                       | CUSIP: 36180YLY5<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |    748370 | PA      | $753535.72     | 0.01%             | 2041-09-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| GINNIE MAE II POOL                                          | G2SF 3.25 AH5905 01-20-40                      | CUSIP: 36182NR21<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |    503489 | PA      | $462674.41     | 0.00%             | 2040-01-20      | Fixed         | 3.25%                 | No            |                  2 | On Loan: No      |
| GINNIE MAE II POOL                                          | G2SF 3.25 AH5904 02-20-35                      | CUSIP: 36182NRZ8<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |    698414 | PA      | $676012.55     | 0.01%             | 2035-02-20      | Fixed         | 3.25%                 | No            |                  2 | On Loan: No      |
| GINNIE MAE II POOL                                          | G2SF 4.0 MA9776 07-20-54                       | CUSIP: 36179Y2H6<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |   1689839 | PA      | $1612067.74    | 0.01%             | 2054-07-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| GINNIE MAE II POOL                                          | G2SF 4.5 MB0024 11-20-54                       | CUSIP: 3618N5A25<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |  25037949 | PA      | $24517659.99   | 0.20%             | 2054-11-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| GINNIE MAE II POOL                                          | G2MHD 3.25 AH5907 85K MAX 04-20-35             | CUSIP: 36182NR47<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |    647510 | PA      | $625857.69     | 0.01%             | 2035-04-20      | Fixed         | 3.25%                 | No            |                  2 | On Loan: No      |
| GINNIE MAE II POOL                                          | G2MHD 3.25 AH5909 150K MAX 05-20-40            | CUSIP: 36182NR62<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |    283189 | PA      | $260583.29     | 0.00%             | 2040-05-20      | Fixed         | 3.25%                 | No            |                  2 | On Loan: No      |
| GINNIE MAE II POOL                                          | G2MHD 3.25 AH5908 110K MAX 05-20-35            | CUSIP: 36182NR54<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |    965562 | PA      | $933046.83     | 0.01%             | 2035-05-20      | Fixed         | 3.25%                 | No            |                  2 | On Loan: No      |
| GINNIE MAE II POOL                                          | G2SF 5.5 MB0485 07-20-55                       | CUSIP: 3618N5RF8<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |   8445141 | PA      | $8542512.98    | 0.07%             | 2055-07-20      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| GINNIE MAE II POOL                                          | G2SF 5.5 MB0147 01-20-55                       | CUSIP: 3618N5EV7<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |   2693014 | PA      | $2724016.27    | 0.02%             | 2055-01-20      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                             | FNCL UMBS 5.5 SD8493 12-01-54                  | CUSIP: 3132DWNJ8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |    283183 | PA      | $286993.15     | 0.00%             | 2054-12-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                             | FNCL UMBS 6.0 SD8432 05-01-54                  | CUSIP: 3132DWLM3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |    272557 | PA      | $279148.48     | 0.00%             | 2054-05-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FARM 2024-2                                                 | FARM 2024-2 A1 144A FRN 08-01-54               | CUSIP: 307910AA7<br>LEI: N/A                  | Long             | ABS-CBDO         | USGA              | US        |   8245387 | PA      | $8418209.90    | 0.07%             | 2054-08-01      | Variable      | 5.19%                 | Yes           |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                       | FNCL UMBS 2.5 FM4591 10-01-50                  | CUSIP: 3140X8C54<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |  15206944 | PA      | $12976952.11   | 0.11%             | 2050-10-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                       | FNCL UMBS 4.0 FS6793 06-01-53                  | CUSIP: 3140XNRP1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |   2847340 | PA      | $2725154.89    | 0.02%             | 2053-06-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                       | FNCL UMBS 4.0 CB6012 04-01-53                  | CUSIP: 3140QRVE0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |   5952010 | PA      | $5695365.36    | 0.05%             | 2053-04-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                       | FNCL UMBS 2.5 CB0844 06-01-51                  | CUSIP: 3140QK5E4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |    771122 | PA      | $656919.55     | 0.01%             | 2051-06-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                       | FNCL UMBS 4.0 CB6985 05-01-53                  | CUSIP: 3140QSXP1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |   2023464 | PA      | $1939486.17    | 0.02%             | 2053-05-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                       | FNCL UMBS 4.0 MA5550 12-01-54                  | CUSIP: 31418FEY9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |  16354700 | PA      | $15590248.81   | 0.13%             | 2054-12-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                       | FNCL UMBS 4.0 FS7990 02-01-54                  | CUSIP: 3140XP2Y4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |   6613475 | PA      | $6333817.75    | 0.05%             | 2054-02-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                       | FNCL UMBS 3.5 FM1443 09-01-49                  | CUSIP: 3140X4S98<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |   2725097 | PA      | $2579487.24    | 0.02%             | 2049-09-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                       | FNCL UMBS 3.5 FM1062 06-01-49                  | CUSIP: 3140X4FC5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |   3628116 | PA      | $3442019.47    | 0.03%             | 2049-06-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                       | FNCL UMBS 5.0 931768 08-01-39                  | CUSIP: 31412QFH7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |     13502 | PA      | $13918.27      | 0.00%             | 2039-08-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                       | FNCL UMBS AT0300 03-01-43                      | CUSIP: 3138WMKN0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |     15440 | PA      | $14974.60      | 0.00%             | 2043-03-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                       | FNCL UMBS 3.5 BH2847 05-01-47                  | CUSIP: 3140GREV2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |      9308 | PA      | $8810.59       | 0.00%             | 2047-05-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                       | FNCL UMBS 5.0 AD3566 10-01-35                  | CUSIP: 31418Q6C2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |      8853 | PA      | $9116.20       | 0.00%             | 2035-10-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                       | FNCL UMBS 3.5 BH2846 05-01-47                  | CUSIP: 3140GREU4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |     35395 | PA      | $33596.22      | 0.00%             | 2047-05-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP - GOLD                      | FGLMC 3.5 Q56591 06-01-48                      | CUSIP: 3132Y0KD1<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |     53026 | PA      | $49943.56      | 0.00%             | 2048-06-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                       | FNCL UMBS 5.0 695412 06-01-33                  | CUSIP: 31400RR94<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |      1170 | PA      | $1199.19       | 0.00%             | 2033-06-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP - GOLD                      | FGLMC 3.5 Q54700 03-01-48                      | CUSIP: 3132XXGJ2<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |    186141 | PA      | $175148.87     | 0.00%             | 2048-03-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP - GOLD                      | FGLMC 3.5 Q19133 06-01-43                      | CUSIP: 3132JASX4<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |    125849 | PA      | $120175.33     | 0.00%             | 2043-06-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                       | FNCL UMBS 4.0 BK5232 05-01-48                  | CUSIP: 3140HJY62<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |    146775 | PA      | $142784.61     | 0.00%             | 2048-05-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP - GOLD                      | FGLMC 4.0 Q56175 05-01-48                      | CUSIP: 3132XY2H9<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |    105055 | PA      | $102317.85     | 0.00%             | 2048-05-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                             | FNCL UMBS 4.0 RA8666 03-01-53                  | CUSIP: 3133KQTX4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |    950025 | PA      | $910149.48     | 0.01%             | 2053-03-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                       | FNCL UMBS 6.5 CB7242 10-01-53                  | CUSIP: 3140QTBL2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |   3381709 | PA      | $3515384.81    | 0.03%             | 2053-10-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                             | FNCL UMBS 5.0 RJ3017 12-01-54                  | CUSIP: 3142GTK70<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |  13354119 | PA      | $13367219.20   | 0.11%             | 2054-12-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                             | FNCL UMBS 5.0 RJ3012 12-01-54                  | CUSIP: 3142GTK21<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |  27988235 | PA      | $28100775.79   | 0.23%             | 2054-12-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN BANKS                                     | FED HM LN BK BD 3/11/2026                      | CUSIP: 313385UC8<br>LEI: 2549001DPIFGXC1TOL40 | Long             | DBT              | USGA              | US        |  67000000 | PA      | $66307722.50   | 0.54%             | 2026-03-11      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| UNITED STATES TREASURY                                      | UNITED STATES TREASURY NOTE 1.375% 11-15-40    | CUSIP: 912810ST6<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   3168400 | PA      | $2098570.10    | 0.02%             | 2040-11-15      | Fixed         | 1.38%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                             | FNCL UMBS 6.5 SD6911 10-01-54                  | CUSIP: 3132DUVC8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |  47049003 | PA      | $49466522.31   | 0.40%             | 2054-10-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                       | FNCL UMBS 5.5 FS9025 09-01-54                  | CUSIP: 3140XRA39<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |   8427569 | PA      | $8610641.04    | 0.07%             | 2054-09-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| UNITED STATES TREASURY                                      | UNITED STATES TREASURY NOTE 1.875% 02-15-51    | CUSIP: 912810SU3<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  11600000 | PA      | $6702625.00    | 0.05%             | 2051-02-15      | Fixed         | 1.88%                 | No            |                  2 | On Loan: No      |
| UNITED STATES TREASURY                                      | UNITED STATES TREASURY NOTE 1.875% 02-15-41    | CUSIP: 912810SW9<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  18332900 | PA      | $13065054.85   | 0.11%             | 2041-02-15      | Fixed         | 1.88%                 | No            |                  2 | On Loan: No      |
| UNITED STATES TREASURY                                      | UNITED STATES TREASURY NOTE 0.875% 09-30-26    | CUSIP: 91282CCZ2<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    400000 | PA      | $390937.52     | 0.00%             | 2026-09-30      | Fixed         | 0.88%                 | No            |                  2 | On Loan: No      |
| UNITED STATES TREASURY                                      | UNITED STATES TREASURY NOTE 1.75% 01-31-29     | CUSIP: 91282CDW8<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  10000000 | PA      | $9476172.00    | 0.08%             | 2029-01-31      | Fixed         | 1.75%                 | No            |                  2 | On Loan: No      |
| UNITED STATES TREASURY                                      | UNITED STATES TREASURY NOTE 1.875% 02-15-32    | CUSIP: 91282CDY4<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  10000000 | PA      | $8978906.00    | 0.07%             | 2032-02-15      | Fixed         | 1.88%                 | No            |                  2 | On Loan: No      |
| UNITED STATES TREASURY                                      | UNITED STATES TREASURY NOTE 3.25% 05-15-42     | CUSIP: 912810TH1<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   8193400 | PA      | $6969510.88    | 0.06%             | 2042-05-15      | Fixed         | 3.25%                 | No            |                  2 | On Loan: No      |
| UNITED STATES TREASURY                                      | UNITED STATES TREASURY NOTE 4.125% 07-31-28    | CUSIP: 91282CHQ7<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        | 118000000 | PA      | $119899068.40  | 0.98%             | 2028-07-31      | Fixed         | 4.12%                 | No            |                  2 | On Loan: No      |
| UNITED STATES TREASURY                                      | UNITED STATES TREASURY NOTE 4.5% 03-31-26      | CUSIP: 91282CKH3<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  20000000 | PA      | $20045312.00   | 0.16%             | 2026-03-31      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                       | FNCL UMBS 5.0 MA5552 12-01-54                  | CUSIP: 31418FE29<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |     98078 | PA      | $98010.92      | 0.00%             | 2054-12-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                       | FNCL UMBS 5.5 MA5531 11-01-54                  | CUSIP: 31418FED5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |   2577475 | PA      | $2612605.99    | 0.02%             | 2054-11-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| UNITED STATES TREASURY                                      | UNITED STATES TREASURY NOTE 4.5% 05-31-29      | CUSIP: 91282CKT7<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        | 136000000 | PA      | $140335000.00  | 1.15%             | 2029-05-31      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| UNITED STATES TREASURY                                      | UNITED STATES TREASURY NOTE 4.375% 07-31-26    | CUSIP: 91282CLB5<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  37000000 | PA      | $37156095.60   | 0.30%             | 2026-07-31      | Fixed         | 4.38%                 | No            |                  2 | On Loan: No      |
| UNITED STATES TREASURY                                      | UNITED STATES TREASURY NOTE 3.5% 09-30-26      | CUSIP: 91282CLP4<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  44000000 | PA      | $43940701.20   | 0.36%             | 2026-09-30      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| UNITED STATES TREASURY                                      | UNITED STATES TREASURY NOTE 4.125% 10-31-31    | CUSIP: 91282CLU3<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   5183900 | PA      | $5301347.48    | 0.04%             | 2031-10-31      | Fixed         | 4.12%                 | No            |                  2 | On Loan: No      |
| UNITED STATES TREASURY                                      | UNITED STATES TREASURY NOTE 4.125% 01-31-27    | CUSIP: 91282CMH1<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  27000000 | PA      | $27160312.50   | 0.22%             | 2027-01-31      | Fixed         | 4.12%                 | No            |                  2 | On Loan: No      |
| UNITED STATES TREASURY                                      | UNITED STATES TREASURY NOTE 4.375% 01-31-32    | CUSIP: 91282CMK4<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  11000000 | PA      | $11393593.20   | 0.09%             | 2032-01-31      | Fixed         | 4.38%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                             | FNCL UMBS 5.0 RJ3163 12-01-54                  | CUSIP: 3142GTQR0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |  24061901 | PA      | $24149149.85   | 0.20%             | 2054-12-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                       | FNCL UMBS 5.5 CB9616 12-01-54                  | CUSIP: 3140QVVJ0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |   7086025 | PA      | $7202781.54    | 0.06%             | 2054-12-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                       | FNMDI4 3.5 BF0379 04-01-59                     | CUSIP: 3140FXM58<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |   2763962 | PA      | $2541191.91    | 0.02%             | 2059-04-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                       | FNCL UMBS 3.0 CB0041 04-01-51                  | CUSIP: 3140QKBK3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |   4836524 | PA      | $4404104.65    | 0.04%             | 2051-04-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                       | FNMDI4 3.5 BF0480 06-01-60                     | CUSIP: 3140FXRA2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |   1148964 | PA      | $1056211.48    | 0.01%             | 2060-06-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                       | FNCL UMBS 2.0 MA4208 12-01-50                  | CUSIP: 31418DVA7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |    852769 | PA      | $699876.28     | 0.01%             | 2050-12-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                       | FNCT UMBS 2.0 MA4387 07-01-41                  | CUSIP: 31418D2V3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |    288499 | PA      | $254994.76     | 0.00%             | 2041-07-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP - GOLD                      | FGLMC 3.5 Q45650 01-01-47                      | CUSIP: 3132WKH43<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |   5496619 | PA      | $5253965.18    | 0.04%             | 2047-01-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                       | FNMDI3 5.5 BF0320 01-01-49                     | CUSIP: 3140FXLA8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |   1552938 | PA      | $1621090.72    | 0.01%             | 2049-01-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP - GOLD                      | FGLMC 3.5 G67700 08-01-46                      | CUSIP: 3132XCRV9<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |   1398609 | PA      | $1327553.08    | 0.01%             | 2046-08-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                       | FNCL UMBS 4.0 MA5583 01-01-55                  | CUSIP: 31418FFZ5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |    319427 | PA      | $304496.39     | 0.00%             | 2055-01-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                       | FNCL UMBS 5.5 BU5234 12-01-54                  | CUSIP: 3140M6Y80<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |   4908764 | PA      | $4989645.67    | 0.04%             | 2054-12-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP - GOLD                      | FGLMC 3.5 G60238 10-01-45                      | CUSIP: 31335AHP6<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |   3737799 | PA      | $3559921.25    | 0.03%             | 2045-10-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                       | FNMDI4 3.5 BM6693 08-01-59                     | CUSIP: 3140JBNK8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |  45938537 | PA      | $42230332.69   | 0.35%             | 2059-08-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                             | FNCL UMBS 6.0 QX0384 12-01-54                  | CUSIP: 31425UNA9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |   2046549 | PA      | $2104924.94    | 0.02%             | 2054-12-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                       | FNCI UMBS 2.5 CB3701 05-01-37                  | CUSIP: 3140QPDF1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |     22977 | PA      | $21736.25      | 0.00%             | 2037-05-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                             | FNCL UMBS 2.5 SD7545 09-01-51                  | CUSIP: 3132DVL29<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |   3888391 | PA      | $3390765.96    | 0.03%             | 2051-09-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                       | FNCL UMBS 2.5 FM9492 11-01-51                  | CUSIP: 3140XDRN8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |  10036520 | PA      | $8731070.17    | 0.07%             | 2051-11-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                       | FNCL UMBS 2.5 FM9804 12-01-51                  | CUSIP: 3140XD3N4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |   5183725 | PA      | $4519010.73    | 0.04%             | 2051-12-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                       | FNCL UMBS 2.5 FM9694 11-01-51                  | CUSIP: 3140XDXY7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |   4720136 | PA      | $4121835.25    | 0.03%             | 2051-11-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                             | FNCI UMBS 2.5 SB1388 01-01-38                  | CUSIP: 3132CXRH7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |    157685 | PA      | $149188.78     | 0.00%             | 2038-01-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                       | FNCI UMBS 2.5 CB2247 11-01-36                  | CUSIP: 3140QMP99<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |   2863922 | PA      | $2710868.55    | 0.02%             | 2036-11-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                       | FNCL UMBS 3.0 BM1179 04-01-47                  | CUSIP: 3140J5JZ3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |    759798 | PA      | $699711.99     | 0.01%             | 2047-04-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                       | FNCL UMBS 5.5 BX7779 03-01-53                  | CUSIP: 3140NCUD9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |    724786 | PA      | $738535.25     | 0.01%             | 2053-03-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                             | FNCL UMBS 5.5 QG3365 05-01-53                  | CUSIP: 3133C3W28<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |    642877 | PA      | $655790.63     | 0.01%             | 2053-05-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                       | FNCL UMBS 5.5 BY0849 05-01-53                  | CUSIP: 3140NG5K2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |     24432 | PA      | $24957.94      | 0.00%             | 2053-05-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                       | FNCI UMBS 2.5 MA4773 10-01-37                  | CUSIP: 31418EJT8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |    178722 | PA      | $169071.69     | 0.00%             | 2037-10-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                       | FNCI UMBS 2.5 MA4665 07-01-37                  | CUSIP: 31418EFF2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |    657231 | PA      | $621894.04     | 0.01%             | 2037-07-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                       | FNCL UMBS 5.5 BX4108 02-01-53                  | CUSIP: 3140N8R67<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |    731095 | PA      | $743029.51     | 0.01%             | 2053-02-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                             | FNCL UMBS 5.5 QF8686 02-01-53                  | CUSIP: 3133BWUK7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |    383137 | PA      | $391082.80     | 0.00%             | 2053-02-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                             | FNCI UMBS 2.5 QO0557 07-01-37                  | CUSIP: 3133WJTN9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |   2054321 | PA      | $1943391.76    | 0.02%             | 2037-07-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                       | FNCL UMBS 4.0 CB4021 06-01-52                  | CUSIP: 3140QPPF8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |   9419221 | PA      | $9033551.04    | 0.07%             | 2052-06-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                       | FNCL UMBS 5.5 BY2795 04-01-53                  | CUSIP: 3140NKC90<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |    556690 | PA      | $566694.39     | 0.00%             | 2053-04-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                             | FNCL UMBS 5.5 QF5680 01-01-53                  | CUSIP: 3133BTJZ4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |    628796 | PA      | $639622.30     | 0.01%             | 2053-01-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                       | FNCL UMBS 4.0 CB3379 04-01-52                  | CUSIP: 3140QNXH0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |   4551787 | PA      | $4366816.42    | 0.04%             | 2052-04-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                       | FNCL UMBS 5.5 FA0608 02-01-55                  | CUSIP: 3140W0VA0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |  70786105 | PA      | $71734993.03   | 0.59%             | 2055-02-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                       | FNCL UMBS 6.0 FS8792 08-01-54                  | CUSIP: 3140XQXW2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |   2652719 | PA      | $2728721.81    | 0.02%             | 2054-08-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                       | FNCL UMBS 5.0 MA5699 05-01-55                  | CUSIP: 31418FKM8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |   7222246 | PA      | $7211550.05    | 0.06%             | 2055-05-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                       | FNCL UMBS 5.5 BX5097 02-01-53                  | CUSIP: 3140N9UX2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |    579216 | PA      | $588575.30     | 0.00%             | 2053-02-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                       | FNCL UMBS 5.5 BX8835 03-01-53                  | CUSIP: 3140NDY92<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |    699051 | PA      | $710102.55     | 0.01%             | 2053-03-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                             | FNCL UMBS 5.0 SD8532 05-01-55                  | CUSIP: 3132DWPR8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |   6656838 | PA      | $6647498.23    | 0.05%             | 2055-05-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                       | FNCL UMBS 6.0 MA5701 05-01-55                  | CUSIP: 31418FKP1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        | 101437212 | PA      | $103921409.26  | 0.85%             | 2055-05-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                       | FNCL UMBS 5.5 BX8389 03-01-53                  | CUSIP: 3140NDKB2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |    556847 | PA      | $567082.48     | 0.00%             | 2053-03-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                       | FNCL UMBS 5.5 BX9427 03-01-53                  | CUSIP: 3140NEPM1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |    198287 | PA      | $202270.00     | 0.00%             | 2053-03-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                       | FNCL UMBS 5.0 MA5734 06-01-55                  | CUSIP: 31418FLQ8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |   3695839 | PA      | $3690365.28    | 0.03%             | 2055-06-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                             | FNCL UMBS 5.0 RQ0012 06-01-55                  | CUSIP: 3142J6AN3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |   3929407 | PA      | $3924196.66    | 0.03%             | 2055-06-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                             | FNCL UMBS 5.0 SL1094 04-01-55                  | CUSIP: 31427NGC7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |   3173311 | PA      | $3176941.34    | 0.03%             | 2055-04-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                             | FNCL UMBS 6.0 SL0797 02-01-55                  | CUSIP: 31427M3F6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |   5778523 | PA      | $5959275.40    | 0.05%             | 2055-02-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                             | FNCL UMBS 4.0 RQ0010 06-01-55                  | CUSIP: 3142J6AL7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |   1070001 | PA      | $1019733.16    | 0.01%             | 2055-06-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                       | FNCL UMBS 4.0 MB0309 05-01-55                  | CUSIP: 3138MTKX4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |  21886089 | PA      | $20857923.91   | 0.17%             | 2055-05-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                       | FNCL UMBS 5.5 BY3521 06-01-53                  | CUSIP: 3140NK4F5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |    790383 | PA      | $803308.43     | 0.01%             | 2053-06-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                       | FNCL UMBS 6.0 FS3256 11-01-52                  | CUSIP: 3140XJTN3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |     63379 | PA      | $65201.65      | 0.00%             | 2052-11-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                       | FNCL UMBS 4.0 DD9323 04-01-55                  | CUSIP: 3140BALD6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |     76850 | PA      | $73240.14      | 0.00%             | 2055-04-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                       | FNCL UMBS 4.0 CA5575 04-01-50                  | CUSIP: 3140QDFR0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |     18575 | PA      | $17833.50      | 0.00%             | 2050-04-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                       | FNCL UMBS 6.0 FS4775 06-01-53                  | CUSIP: 3140XLJV1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |     78888 | PA      | $81051.51      | 0.00%             | 2053-06-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                             | FNCL UMBS 6.0 SD3240 06-01-53                  | CUSIP: 3132DQS56<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |   1653902 | PA      | $1700628.29    | 0.01%             | 2053-06-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                             | FNCL UMBS 4.0 QY0231 04-01-55                  | CUSIP: 31426JHH5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |    653125 | PA      | $622442.04     | 0.01%             | 2055-04-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                             | FNCL UMBS 5.0 SD8505 02-01-55                  | CUSIP: 3132DWNW9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |     29111 | PA      | $29074.99      | 0.00%             | 2055-02-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                             | FNCL UMBS 6.0 SD3356 07-01-53                  | CUSIP: 3132DQWR3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |   1116986 | PA      | $1147720.19    | 0.01%             | 2053-07-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                       | FNCL UMBS 2.0 CA8820 02-01-51                  | CUSIP: 3140QGYS0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |  26452144 | PA      | $21814369.06   | 0.18%             | 2051-02-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                             | FNCL UMBS 5.5 SD8515 03-01-55                  | CUSIP: 3132DWN82<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |     39844 | PA      | $40377.90      | 0.00%             | 2055-03-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                             | FNCL UMBS 5.0 QJ4825 09-01-54                  | CUSIP: 3133CVLE2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |   3273896 | PA      | $3269816.33    | 0.03%             | 2054-09-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                             | FNCL UMBS 5.0 QJ7708 11-01-54                  | CUSIP: 3133CYR59<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |    912344 | PA      | $912236.77     | 0.01%             | 2054-11-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                             | FNCL UMBS 5.0 SL0799 03-01-55                  | CUSIP: 31427M3H2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |    630615 | PA      | $630414.82     | 0.01%             | 2055-03-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                       | FNCL UMBS 2.0 CA8108 12-01-50                  | CUSIP: 3140QGAJ6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |  12646021 | PA      | $10428894.98   | 0.09%             | 2050-12-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                       | FNCL UMBS 6.0 MA5247 01-01-54                  | CUSIP: 31418EZM5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |   2312009 | PA      | $2371749.12    | 0.02%             | 2054-01-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                             | FNCL UMBS 6.0 SL0796 04-01-55                  | CUSIP: 31427M3E9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |   2536611 | PA      | $2598527.31    | 0.02%             | 2055-04-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                       | FNCL UMBS 6.0 DC7035 12-01-54                  | CUSIP: 3140AUY98<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |   1456410 | PA      | $1492075.78    | 0.01%             | 2054-12-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                             | FNCL UMBS 6.0 SD8402 02-01-54                  | CUSIP: 3132DWKP7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |   3198614 | PA      | $3279881.33    | 0.03%             | 2054-02-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                       | FNCL UMBS 6.0 FS8219 06-01-54                  | CUSIP: 3140XQDZ7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |   1597183 | PA      | $1650934.49    | 0.01%             | 2054-06-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                             | FNCL UMBS 6.0 QX4065 01-01-55                  | CUSIP: 31425YQT7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |  72034995 | PA      | $73828450.37   | 0.60%             | 2055-01-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                       | FNCL UMBS 6.0 DD0835 01-01-55                  | CUSIP: 3140B04V7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |   1351256 | PA      | $1384348.19    | 0.01%             | 2055-01-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                             | FNCL UMBS 6.0 SD3432 07-01-53                  | CUSIP: 3132DQY59<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |   1399725 | PA      | $1456586.40    | 0.01%             | 2053-07-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                             | FNCL UMBS 6.0 SD5896 07-01-54                  | CUSIP: 3132DTRR3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |   1384744 | PA      | $1423755.96    | 0.01%             | 2054-07-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                             | FNCL UMBS 3.0 RA5391 06-01-51                  | CUSIP: 3133KL7C5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |   3574256 | PA      | $3178271.64    | 0.03%             | 2051-06-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                       | FNCL UMBS 4.5 MA5671 04-01-55                  | CUSIP: 31418FJR9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |    453679 | PA      | $444475.95     | 0.00%             | 2055-04-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                       | FNCL UMBS 2.5 FM6128 02-01-51                  | CUSIP: 3140X9Y25<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |    417571 | PA      | $356240.52     | 0.00%             | 2051-02-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                       | FNCL UMBS 2.5 FS2660 02-01-52                  | CUSIP: 3140XH5W3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |     88944 | PA      | $75936.15      | 0.00%             | 2052-02-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                       | FNCL UMBS 4.5 MA5644 03-01-55                  | CUSIP: 31418FHW0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |    428721 | PA      | $420024.32     | 0.00%             | 2055-03-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                             | FNCL UMBS 3.0 SL0419 10-01-53                  | CUSIP: 31427MPD7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |   8722770 | PA      | $7769920.99    | 0.06%             | 2053-10-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                             | FNCL UMBS 6.0 SD8534 05-01-55                  | CUSIP: 3132DWPT4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |  44338946 | PA      | $45433807.94   | 0.37%             | 2055-05-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                       | FNCL UMBS 2.0 BV4246 03-01-52                  | CUSIP: 3140MHWG0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |     31185 | PA      | $25495.35      | 0.00%             | 2052-03-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                       | FNCL UMBS 2.0 BU8930 04-01-52                  | CUSIP: 3140MA4Q4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |   3207297 | PA      | $2625249.70    | 0.02%             | 2052-04-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                             | FNCL UMBS 2.0 QH8513 01-01-54                  | CUSIP: 3133CMN67<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |    322013 | PA      | $262776.52     | 0.00%             | 2054-01-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                       | FNCL UMBS 2.0 BV4651 04-01-52                  | CUSIP: 3140MJEZ4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |     31716 | PA      | $25908.91      | 0.00%             | 2052-04-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                       | FNCL UMBS 2.0 BV4658 04-01-52                  | CUSIP: 3140MJE84<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |    180821 | PA      | $148104.10     | 0.00%             | 2052-04-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                       | FNCL UMBS 2.0 BV9643 05-01-52                  | CUSIP: 3140MPWD9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |   2022925 | PA      | $1652380.16    | 0.01%             | 2052-05-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                             | FNCL UMBS 6.5 QJ5643 09-01-54                  | CUSIP: 3133CWHU9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |   3788404 | PA      | $3926635.17    | 0.03%             | 2054-09-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                       | FNCL UMBS 2.0 FM7751 05-01-51                  | CUSIP: 3140XBTH3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |   1235903 | PA      | $1006950.71    | 0.01%             | 2051-05-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                       | FNCL UMBS 6.5 FS8786 07-01-54                  | CUSIP: 3140XQXQ5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |   1946087 | PA      | $2031567.40    | 0.02%             | 2054-07-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                             | FNCL UMBS 6.5 SD8517 03-01-55                  | CUSIP: 3132DWPA5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |  40952718 | PA      | $42447000.55   | 0.35%             | 2055-03-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                       | FNCL UMBS 2.0 FM6558 03-01-51                  | CUSIP: 3140XAJC7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |   3958407 | PA      | $3225128.21    | 0.03%             | 2051-03-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                             | FNCL UMBS 2.0 RA6771 02-01-52                  | CUSIP: 3133KNQY2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |  11911827 | PA      | $9704851.10    | 0.08%             | 2052-02-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                       | FNCL UMBS 2.0 FM4870 11-01-50                  | CUSIP: 3140X8MU8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |     32931 | PA      | $26832.40      | 0.00%             | 2050-11-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                             | FNCL UMBS 2.0 SD0934 04-01-51                  | CUSIP: 3132DNBB8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |    982969 | PA      | $803813.44     | 0.01%             | 2051-04-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                             | FNCL UMBS 2.0 QB7148 12-01-50                  | CUSIP: 3133AD5H5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |     37799 | PA      | $30830.10      | 0.00%             | 2050-12-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                       | FNCL UMBS 2.0 BR1283 01-01-51                  | CUSIP: 3140KYM92<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |   1451309 | PA      | $1184117.15    | 0.01%             | 2051-01-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                       | FNCL UMBS 6.0 DE1549 07-01-55                  | CUSIP: 3140BDWK2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |    498133 | PA      | $510242.59     | 0.00%             | 2055-07-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                             | FNCL UMBS 2.5 SD0718 08-01-51                  | CUSIP: 3132DMYP4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |    626035 | PA      | $533310.13     | 0.00%             | 2051-08-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                       | FNCL UMBS 6.0 MA5793 08-01-55                  | CUSIP: 31418FNK9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |  12848290 | PA      | $13159938.26   | 0.11%             | 2055-08-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                             | FNCL UMBS 2.0 RA3952 11-01-50                  | CUSIP: 3133KKL98<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |    982517 | PA      | $801377.37     | 0.01%             | 2050-11-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                             | FNCL UMBS 2.0 QB8422 02-01-51                  | CUSIP: 3133AFLB5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |    974759 | PA      | $794189.17     | 0.01%             | 2051-02-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                             | FNCL UMBS 2.0 SD3984 05-01-51                  | CUSIP: 3132E0M90<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |   1840582 | PA      | $1499623.00    | 0.01%             | 2051-05-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                             | FNCL UMBS 6.0 QY7786 07-01-55                  | CUSIP: 31426SUL1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |   6693624 | PA      | $6860757.21    | 0.06%             | 2055-07-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                       | FNCL UMBS 6.0 DD3786 03-01-55                  | CUSIP: 3140B4F47<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |    966765 | PA      | $991873.98     | 0.01%             | 2055-03-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                             | FNCL UMBS 6.0 QX0553 12-01-54                  | CUSIP: 31425UTK1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |   6295678 | PA      | $6449853.20    | 0.05%             | 2054-12-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                             | FNCL UMBS 6.0 QY2990 05-01-55                  | CUSIP: 31426MKC5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |    135236 | PA      | $138559.90     | 0.00%             | 2055-05-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP - GOLD                      | FGLMC 3.5 Q51622 10-01-47                      | CUSIP: 3132XTYU6<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |    238943 | PA      | $223030.52     | 0.00%             | 2047-10-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP - GOLD                      | FGLMC 3.5 Q47615 04-01-47                      | CUSIP: 3132WMN91<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |    237632 | PA      | $222101.25     | 0.00%             | 2047-04-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                       | FNCL UMBS 3.5 AT3954 04-01-43                  | CUSIP: 3138WRMC1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |     22339 | PA      | $21404.55      | 0.00%             | 2043-04-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                       | FNCL UMBS 3.5 AT7161 06-01-43                  | CUSIP: 3138WU5X7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |    321536 | PA      | $307051.75     | 0.00%             | 2043-06-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP - GOLD                      | FGLMC 3.5 Q55056 03-01-48                      | CUSIP: 3132XXTN9<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |    423760 | PA      | $401294.34     | 0.00%             | 2048-03-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                             | FNCL UMBS 3.5 RA1463 10-01-49                  | CUSIP: 3133KGTU2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |   3277053 | PA      | $3107878.61    | 0.03%             | 2049-10-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP - GOLD                      | FGLMC 4.0 Q56599 06-01-48                      | CUSIP: 3132Y0KM1<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |    520071 | PA      | $506010.54     | 0.00%             | 2048-06-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP - GOLD                      | FGLMC 3.5 Q18236 05-01-43                      | CUSIP: 3132J9S25<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |    319170 | PA      | $306166.64     | 0.00%             | 2043-05-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                       | FNCL UMBS 3.5 BE8740 05-01-47                  | CUSIP: 3140FUWA2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |    242509 | PA      | $229345.99     | 0.00%             | 2047-05-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP - GOLD                      | FGLMC 3.5 Q54782 03-01-48                      | CUSIP: 3132XXJ42<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |    111565 | PA      | $105232.48     | 0.00%             | 2048-03-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP - GOLD                      | FGLMC 4.5 Q57242 07-01-48                      | CUSIP: 3132Y1BL1<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |     83673 | PA      | $83234.70      | 0.00%             | 2048-07-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP - GOLD                      | FGLMC 4.5 Q58411 09-01-48                      | CUSIP: 3132Y2KZ8<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |    924273 | PA      | $922059.72     | 0.01%             | 2048-09-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP - GOLD                      | FGLMC 4.0 Q55970 05-01-48                      | CUSIP: 3132XYT49<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |     59852 | PA      | $57965.16      | 0.00%             | 2048-05-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP - GOLD                      | FGLMC 3.5 Q17696 04-01-43                      | CUSIP: 3132J87J3<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |    121910 | PA      | $116868.61     | 0.00%             | 2043-04-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                       | FNCL UMBS 4.0 AJ1873 10-01-41                  | CUSIP: 3138ATCK4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |     47111 | PA      | $46360.41      | 0.00%             | 2041-10-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP - GOLD                      | FGLMC 3.5 Q55060 04-01-48                      | CUSIP: 3132XXTS8<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |     54676 | PA      | $51430.04      | 0.00%             | 2048-04-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP - GOLD                      | FGLMC 3.5 Q54698 03-01-48                      | CUSIP: 3132XXGG8<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |     60896 | PA      | $57296.07      | 0.00%             | 2048-03-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                       | FNCL UMBS 3.5 AL3829 06-01-43                  | CUSIP: 3138ELHF3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |    967636 | PA      | $927198.94     | 0.01%             | 2043-06-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP - GOLD                      | FGLMC 4.5 Q58436 09-01-48                      | CUSIP: 3132Y2LS3<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |    435987 | PA      | $434480.90     | 0.00%             | 2048-09-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC - SCRT SCRT_17-3                                | SCRT 2017-3 HT 3.25% 07-25-56                  | CUSIP: 35563PBX6<br>LEI: N/A                  | Long             | ABS-CBDO         | USGA              | US        |    558170 | PA      | $505119.09     | 0.00%             | 2056-07-25      | Fixed         | 3.25%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC - SCRT SCRT_17-3                                | SCRT 2017-3 MT 3.0% 07-25-56                   | CUSIP: 35563PBS7<br>LEI: N/A                  | Long             | ABS-CBDO         | USGA              | US        |   3695115 | PA      | $3284684.17    | 0.03%             | 2056-07-25      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC FHLMC_18-1SC                                    | SCRT 2018-1 HT 3.0% 05-25-57                   | CUSIP: 35563PDT3<br>LEI: N/A                  | Long             | ABS-CBDO         | USGA              | US        |   3474691 | PA      | $3041778.85    | 0.02%             | 2057-05-25      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| CME CHICAGO MERCANTILE EXCHANGE                             | UST 10YR FUT TYH6 03-20-26                     | CUSIP: N/A<br>LEI: SNZ2OJLFK8MNNCLQOF39       | N/A              | DIR              | CORP              | US        |      1754 | NC      | $84902.08      | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| CME CHICAGO MERCANTILE EXCHANGE                             | UST 30YR FUT ULTRA WNH6 03-20-26               | CUSIP: N/A<br>LEI: SNZ2OJLFK8MNNCLQOF39       | N/A              | DIR              | CORP              | US        |      1844 | NC      | $1733959.78    | 0.01%             |  |  |  | No            |                  1 | On Loan: No      |
| CME CHICAGO MERCANTILE EXCHANGE                             | UST 10YR FUT ULTRA UXYH6 03-20-26              | CUSIP: N/A<br>LEI: SNZ2OJLFK8MNNCLQOF39       | N/A              | DIR              | CORP              | US        |      3373 | NC      | $848063.53     | 0.01%             |  |  |  | No            |                  1 | On Loan: No      |
| CME CHICAGO MERCANTILE EXCHANGE                             | UST 20YR FUT USH6 03-20-26                     | CUSIP: N/A<br>LEI: SNZ2OJLFK8MNNCLQOF39       | N/A              | DIR              | CORP              | US        |      1448 | NC      | $451940.14     | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| CME CHICAGO MERCANTILE EXCHANGE                             | UST 5YR FUT FVH6 03-31-26                      | CUSIP: N/A<br>LEI: SNZ2OJLFK8MNNCLQOF39       | N/A              | DIR              | CORP              | US        |     13818 | NC      | $2289023.70    | 0.02%             |  |  |  | No            |                  1 | On Loan: No      |
| CME CHICAGO MERCANTILE EXCHANGE                             | UST 2YR FUT TUH6 03-31-26                      | CUSIP: N/A<br>LEI: SNZ2OJLFK8MNNCLQOF39       | N/A              | DIR              | CORP              | US        |     33393 | NC      | $800458.48     | 0.01%             |  |  |  | No            |                  1 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                       | FNCL UMBS 4.0 BW7750 10-01-52                  | CUSIP: 3140N0TG0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |    173961 | PA      | $166392.30     | 0.00%             | 2052-10-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                       | FNCL UMBS 6.0 MA4942 03-01-53                  | CUSIP: 31418EP46<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |    369276 | PA      | $380010.26     | 0.00%             | 2053-03-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                       | FNCL UMBS 4.0 BW6230 09-01-52                  | CUSIP: 3140MX4Q4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |    271631 | PA      | $260044.36     | 0.00%             | 2052-09-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                       | FNCL UMBS 4.0 BW5000 03-01-53                  | CUSIP: 3140MWRW8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |   1248408 | PA      | $1196860.30    | 0.01%             | 2053-03-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                       | FNCL UMBS 4.0 BW5132 02-01-53                  | CUSIP: 3140MWV29<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |    556656 | PA      | $533783.25     | 0.00%             | 2053-02-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                             | FNCL UMBS 2.5 QC8196 10-01-51                  | CUSIP: 3133ATC90<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |   2938387 | PA      | $2503215.16    | 0.02%             | 2051-10-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                       | FNCL UMBS 4.0 BW7713 09-01-52                  | CUSIP: 3140N0SB2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |    752434 | PA      | $719602.34     | 0.01%             | 2052-09-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                             | FNCL UMBS 2.5 SD8312 01-01-53                  | CUSIP: 3132DWGV9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |     96782 | PA      | $82765.36      | 0.00%             | 2053-01-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                       | FNCL UMBS 6.5 CB6106 04-01-53                  | CUSIP: 3140QRYC1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |   4612819 | PA      | $4861454.15    | 0.04%             | 2053-04-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                       | FNCL UMBS 6.5 CB6131 04-01-53                  | CUSIP: 3140QRY56<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |  14598683 | PA      | $15383289.25   | 0.13%             | 2053-04-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                       | FNCL UMBS 4.5 MA5008 05-01-53                  | CUSIP: 31418ER69<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |   1810188 | PA      | $1780468.24    | 0.01%             | 2053-05-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                             | FNCL UMBS 5.5 SD8324 05-01-53                  | CUSIP: 3132DWG98<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |  16980561 | PA      | $17272643.41   | 0.14%             | 2053-05-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                             | FNCL UMBS 5.0 SD8323 05-01-53                  | CUSIP: 3132DWG80<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |  90694495 | PA      | $90974197.27   | 0.74%             | 2053-05-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                       | FNCL UMBS 5.0 MA5009 05-01-53                  | CUSIP: 31418ER77<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |   3522052 | PA      | $3532005.76    | 0.03%             | 2053-05-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                       | FNCL UMBS 5.5 MA5010 05-01-53                  | CUSIP: 31418ER85<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |   5283640 | PA      | $5374523.65    | 0.04%             | 2053-05-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC MULTIFAMILY STRUCTURED PASS THROUGH FHMS_K751   | FHMS K751 A2 (MF) 4.412% 03-25-30              | CUSIP: 3137HA4B9<br>LEI: N/A                  | Long             | ABS-CBDO         | USGA              | US        |  24000000 | PA      | $24416928.00   | 0.20%             | 2030-03-25      | Fixed         | 4.41%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                       | FNCT UMBS 1.5 BQ7816 04-01-41                  | CUSIP: 3140KTVJ1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |  17554473 | PA      | $14992836.21   | 0.12%             | 2041-04-01      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                       | FNCT UMBS 2.5 MA4388 07-01-41                  | CUSIP: 31418D2W1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |   5729891 | PA      | $5164608.71    | 0.04%             | 2041-07-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                       | FNCT UMBS 2.5 MA4447 10-01-41                  | CUSIP: 31418D5H1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |  12113546 | PA      | $10937526.95   | 0.09%             | 2041-10-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                       | FNCT UMBS 2.5 MA4502 12-01-41                  | CUSIP: 31418EAC4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |  13629397 | PA      | $12323046.59   | 0.10%             | 2041-12-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                       | FNCL UMBS 6.5 MA5192 11-01-53                  | CUSIP: 31418EXW5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |    216904 | PA      | $225086.40     | 0.00%             | 2053-11-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                       | FNCL UMBS 6.5 MA5167 10-01-53                  | CUSIP: 31418EW55<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |    961383 | PA      | $998116.03     | 0.01%             | 2053-10-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                             | FNCL UMBS 6.5 SD8374 11-01-53                  | CUSIP: 3132DWJT1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |    276315 | PA      | $286438.12     | 0.00%             | 2053-11-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                       | FNCL UMBS 6.0 MA5216 12-01-53                  | CUSIP: 31418EYN4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |   6805757 | PA      | $6987212.40    | 0.06%             | 2053-12-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                       | FNCL UMBS 6.0 MA5166 10-01-53                  | CUSIP: 31418EW48<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |  18727118 | PA      | $19226814.02   | 0.16%             | 2053-10-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                       | FNCL UMBS 5.5 MA5190 11-01-53                  | CUSIP: 31418EXU9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |  16514951 | PA      | $16777835.84   | 0.14%             | 2053-11-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                             | FNCL UMBS 6.0 SD4053 10-01-53                  | CUSIP: 3132E0QE5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |  23340257 | PA      | $23954548.77   | 0.20%             | 2053-10-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                             | FNCL UMBS 5.5 SD3620 08-01-53                  | CUSIP: 3132E0AV4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |  12525266 | PA      | $12883864.62   | 0.11%             | 2053-08-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                             | FNCL UMBS 5.5 SD8362 09-01-53                  | CUSIP: 3132DWJF1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |    113582 | PA      | $115356.24     | 0.00%             | 2053-09-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                             | FNCL UMBS 6.0 SD8396 01-01-54                  | CUSIP: 3132DWKH5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |    687753 | PA      | $705255.22     | 0.01%             | 2054-01-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                       | FNCL UMBS 6.0 MA5139 09-01-53                  | CUSIP: 31418EV98<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |    242017 | PA      | $248574.23     | 0.00%             | 2053-09-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                       | FNCL UMBS 5.5 MA5388 06-01-54                  | CUSIP: 31418E7A2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |  14381537 | PA      | $14590514.70   | 0.12%             | 2054-06-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                       | FNMDI4 3.5 BF0765 09-01-63                     | CUSIP: 3140FXZ70<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        | 109566291 | PA      | $99768106.40   | 0.82%             | 2063-09-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                             | FNCL UMBS 3.0 SD2602 12-01-52                  | CUSIP: 3132DP3K2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |   2551722 | PA      | $2270808.07    | 0.02%             | 2052-12-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                       | FNCL UMBS 2.0 FS7823 07-01-53                  | CUSIP: 3140XPVR7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |   4089871 | PA      | $3346553.19    | 0.03%             | 2053-07-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                             | FNCL UMBS 2.0 SD5343 03-01-52                  | CUSIP: 3132DS5C2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |   1778965 | PA      | $1455040.74    | 0.01%             | 2052-03-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                       | FNCL UMBS 2.0 FS1742 03-01-52                  | CUSIP: 3140XG5C9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |    798938 | PA      | $653974.03     | 0.01%             | 2052-03-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                       | FNCL UMBS 5.5 FS8131 06-01-54                  | CUSIP: 3140XQA98<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |   1050789 | PA      | $1073589.24    | 0.01%             | 2054-06-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                             | FNCL UMBS 5.5 RJ1768 06-01-54                  | CUSIP: 3142GR6E5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |   1250329 | PA      | $1277650.73    | 0.01%             | 2054-06-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                             | FNCL UMBS 6.0 RJ1779 06-01-54                  | CUSIP: 3142GR6R6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |   5260172 | PA      | $5458690.48    | 0.04%             | 2054-06-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                             | FNCL UMBS 5.5 RJ2415 09-01-54                  | CUSIP: 3142GSVH8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |   2774165 | PA      | $2838622.94    | 0.02%             | 2054-09-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                             | FNCL UMBS 5.5 RJ2408 09-01-54                  | CUSIP: 3142GSVA3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |   2538182 | PA      | $2578183.48    | 0.02%             | 2054-09-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                       | FNCL UMBS 5.5 CB9146 09-01-54                  | CUSIP: 3140QVEU4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |   6280216 | PA      | $6393335.18    | 0.05%             | 2054-09-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                       | FNJMCK 4.5 MA3002 04-01-47                     | CUSIP: 31418CKQ6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |    581936 | PA      | $561209.56     | 0.00%             | 2047-04-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                       | FNCT UMBS 4.0 MA3186 11-01-37                  | CUSIP: 31418CRG1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |   2523881 | PA      | $2504063.82    | 0.02%             | 2037-11-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                       | FNCT UMBS 6.5 928689 09-01-27                  | CUSIP: 31412LXS4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |      1367 | PA      | $1414.72       | 0.00%             | 2027-09-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                       | FNCL UMBS 3.5 BD2440 01-01-47                  | CUSIP: 3140F9WA9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |    291237 | PA      | $275520.69     | 0.00%             | 2047-01-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                       | FNCI UMBS 3.0 BJ4876 02-01-33                  | CUSIP: 3140H6M22<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |    229365 | PA      | $222767.58     | 0.00%             | 2033-02-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP - GOLD                      | FGLMC 3.5 Q54701 03-01-48                      | CUSIP: 3132XXGK9<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |    225178 | PA      | $211776.19     | 0.00%             | 2048-03-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP - GOLD                      | FGLMC 3.5 Q52069 11-01-47                      | CUSIP: 3132XUJP1<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |    654689 | PA      | $616790.92     | 0.01%             | 2047-11-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                       | FNCL UMBS 3.5 BJ8411 08-01-49                  | CUSIP: 3140HAKZ2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |    945629 | PA      | $895104.09     | 0.01%             | 2049-08-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                       | FNCL UMBS 2.5 FM8745 09-01-51                  | CUSIP: 3140XCWF1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |    145704 | PA      | $124443.16     | 0.00%             | 2051-09-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                       | FNCL UMBS 2.0 MA4577 04-01-52                  | CUSIP: 31418ECP3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |  23175660 | PA      | $18956763.25   | 0.16%             | 2052-04-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                       | FNCL UMBS 2.0 MA4562 03-01-52                  | CUSIP: 31418EB82<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |    813395 | PA      | $665969.51     | 0.01%             | 2052-03-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                             | FNCL UMBS 2.0 SD8204 04-01-52                  | CUSIP: 3132DWDH3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |   1638386 | PA      | $1341431.55    | 0.01%             | 2052-04-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                             | FNCL UMBS 4.5 RA7556 06-01-52                  | CUSIP: 3133KPMD7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |  11236455 | PA      | $11056132.71   | 0.09%             | 2052-06-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                       | FNCT UMBS 2.5 MA4521 01-01-42                  | CUSIP: 31418EAX8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |  17281811 | PA      | $15625383.86   | 0.13%             | 2042-01-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                             | FNCL UMBS 2.0 RA5288 05-01-51                  | CUSIP: 3133KL2V8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |  24216004 | PA      | $20006899.13   | 0.16%             | 2051-05-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                       | FNCL UMBS 2.0 CB0290 04-01-51                  | CUSIP: 3140QKKC1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |   5722516 | PA      | $4694426.32    | 0.04%             | 2051-04-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                             | FNCL UMBS 3.5 QD7089 02-01-52                  | CUSIP: 3133B42W4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |    312337 | PA      | $291194.60     | 0.00%             | 2052-02-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                             | FNCL UMBS 2.5 SD1385 11-01-51                  | CUSIP: 3132DNRE5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |   5164815 | PA      | $4492031.01    | 0.04%             | 2051-11-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                       | FNCL UMBS 2.5 CB1527 09-01-51                  | CUSIP: 3140QLVV5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |  32468487 | PA      | $27901437.43   | 0.23%             | 2051-09-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                       | FNCL UMBS 2.5 FM7900 07-01-51                  | CUSIP: 3140XBX62<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |   1868230 | PA      | $1626098.13    | 0.01%             | 2051-07-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                       | FNMDI4 4.5 BF0585 12-01-61                     | CUSIP: 3140FXUK6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |   3560084 | PA      | $3490139.22    | 0.03%             | 2061-12-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                       | FNCL UMBS 2.5 CB2286 12-01-51                  | CUSIP: 3140QMRG1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |   5116893 | PA      | $4425298.88    | 0.04%             | 2051-12-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                       | FNCL UMBS 2.5 CA6593 08-01-50                  | CUSIP: 3140QEKF8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |   3641300 | PA      | $3168801.44    | 0.03%             | 2050-08-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                       | FNCL UMBS 2.0 FS0965 11-01-51                  | CUSIP: 3140XGCB3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |    183783 | PA      | $150393.79     | 0.00%             | 2051-11-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                       | FNCL UMBS 2.0 BR1035 05-01-51                  | CUSIP: 3140KYEH3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |     23907 | PA      | $19607.91      | 0.00%             | 2051-05-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                       | FNCL UMBS 2.0 BP6715 09-01-50                  | CUSIP: 3140KEN95<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |      1328 | PA      | $1090.17       | 0.00%             | 2050-09-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                       | FNCL UMBS 4.5 MA4805 11-01-52                  | CUSIP: 31418EKT6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |   1156682 | PA      | $1137881.38    | 0.01%             | 2052-11-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                             | FNCL UMBS 2.5 QC6921 09-01-51                  | CUSIP: 3133ARVN2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |    811808 | PA      | $691573.89     | 0.01%             | 2051-09-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                       | FNCL UMBS 2.5 FM9067 10-01-51                  | CUSIP: 3140XDCD6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |    561298 | PA      | $478850.22     | 0.00%             | 2051-10-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                       | FNCL UMBS 2.5 BV8126 04-01-52                  | CUSIP: 3140MNA48<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |    147466 | PA      | $126198.92     | 0.00%             | 2052-04-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                             | FNCL UMBS 2.5 QE2352 05-01-52                  | CUSIP: 3133BBTH2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |     84886 | PA      | $72574.34      | 0.00%             | 2052-05-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                             | FNCL UMBS 2.5 RA5759 09-01-51                  | CUSIP: 3133KMMG7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |  11525757 | PA      | $9818722.91    | 0.08%             | 2051-09-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                             | FNCL UMBS 2.5 RA6231 11-01-51                  | CUSIP: 3133KM4Q5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |    874694 | PA      | $745144.74     | 0.01%             | 2051-11-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                       | FNCL UMBS 2.5 CB1134 07-01-51                  | CUSIP: 3140QLHL3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |   1094322 | PA      | $932251.03     | 0.01%             | 2051-07-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                             | FNCL UMBS 2.5 QC8778 10-01-51                  | CUSIP: 3133ATXF3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |    244604 | PA      | $208377.16     | 0.00%             | 2051-10-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                             | FNCL UMBS 2.5 RA5559 07-01-51                  | CUSIP: 3133KME84<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |   3089391 | PA      | $2631858.01    | 0.02%             | 2051-07-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                             | FNCL UMBS 5.0 SD8276 12-01-52                  | CUSIP: 3132DWFR9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |  36924257 | PA      | $37045737.44   | 0.30%             | 2052-12-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                       | FNCL UMBS 2.5 BQ7564 11-01-50                  | CUSIP: 3140KTMN2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |     59574 | PA      | $50837.89      | 0.00%             | 2050-11-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                             | FNCL UMBS 5.0 SD8288 01-01-53                  | CUSIP: 3132DWF57<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |    529170 | PA      | $530883.60     | 0.00%             | 2053-01-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                       | FNCL UMBS 3.0 BV5578 05-01-52                  | CUSIP: 3140MKFU1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |   8884333 | PA      | $7917104.86    | 0.06%             | 2052-05-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                       | FNCL UMBS 3.0 BT8220 05-01-52                  | CUSIP: 3140LXD28<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |   1296455 | PA      | $1152799.73    | 0.01%             | 2052-05-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                             | FNCL UMBS 4.5 SD1895 11-01-52                  | CUSIP: 3132DPC89<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |  33347985 | PA      | $33466937.09   | 0.27%             | 2052-11-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                       | FNCL UMBS 3.0 BW1392 12-01-52                  | CUSIP: 3140MSRN7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |    915761 | PA      | $814897.27     | 0.01%             | 2052-12-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                       | FNCL UMBS 2.5 CB2870 02-01-52                  | CUSIP: 3140QNFL1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |    414253 | PA      | $354772.47     | 0.00%             | 2052-02-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                             | FNCL UMBS 2.5 QD3226 12-01-51                  | CUSIP: 3133B0SP9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |    333422 | PA      | $284037.62     | 0.00%             | 2051-12-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                       | FNCT UMBS 6.5 AL9724 02-01-28                  | CUSIP: 3138ERYW4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |       695 | PA      | $718.59        | 0.00%             | 2028-02-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                       | FNCT UMBS 6.5 745316 02-01-26                  | CUSIP: 31403DAR0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |        83 | PA      | $86.04         | 0.00%             | 2026-02-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                       | FNCL UMBS 3.0 BW3384 07-01-52                  | CUSIP: 3140MUXN5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |     23364 | PA      | $20795.22      | 0.00%             | 2052-07-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                       | FNCL UMBS 5.0 MA4785 10-01-52                  | CUSIP: 31418EJ76<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |   3235531 | PA      | $3251511.26    | 0.03%             | 2052-10-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                       | FNCL UMBS 5.5 MA4941 03-01-53                  | CUSIP: 31418EP38<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |     37248 | PA      | $37905.40      | 0.00%             | 2053-03-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                       | FNCL UMBS 5.5 MA4919 02-01-53                  | CUSIP: 31418EPD6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |   8239480 | PA      | $8360286.87    | 0.07%             | 2053-02-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                       | FNCL UMBS 4.0 BU8882 03-01-52                  | CUSIP: 3140MA2Q6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |   4169852 | PA      | $3998646.21    | 0.03%             | 2052-03-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                             | FNCL UMBS 4.0 QD2929 12-01-51                  | CUSIP: 3133B0HE6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |    575607 | PA      | $550778.35     | 0.00%             | 2051-12-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                       | FNCL UMBS 4.0 CB5378 09-01-52                  | CUSIP: 3140QQ6Q3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |    462888 | PA      | $443886.60     | 0.00%             | 2052-09-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                       | FNCT UMBS 1.5 BR0986 05-01-41                  | CUSIP: 3140KYCY8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |  23012809 | PA      | $19649717.43   | 0.16%             | 2041-05-01      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                       | FNCT UMBS 2.5 FM9117 10-01-41                  | CUSIP: 3140XDDX1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |   6819125 | PA      | $6174029.12    | 0.05%             | 2041-10-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                             | FNCL UMBS 3.0 QC7626 09-01-51                  | CUSIP: 3133ASPK3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |   9901207 | PA      | $8877808.43    | 0.07%             | 2051-09-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                       | FNCL UMBS 2.5 CA8044 12-01-50                  | CUSIP: 3140QF5E5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |  26018561 | PA      | $22380177.43   | 0.18%             | 2050-12-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                             | FNCL UMBS 3.0 SD2880 10-01-51                  | CUSIP: 3132DQFV3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |  13828353 | PA      | $12395071.93   | 0.10%             | 2051-10-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                       | FNCL UMBS 3.0 FS4628 10-01-51                  | CUSIP: 3140XLEA2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |   6668384 | PA      | $5979079.94    | 0.05%             | 2051-10-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                       | FNCL UMBS 6.0 MA4980 04-01-53                  | CUSIP: 31418ERA0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |  18223753 | PA      | $18766930.08   | 0.15%             | 2053-04-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                       | FNCL UMBS 6.0 MA5011 05-01-53                  | CUSIP: 31418ER93<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |  27053026 | PA      | $27867619.67   | 0.23%             | 2053-05-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                             | FNCL UMBS 6.0 SD8325 05-01-53                  | CUSIP: 3132DWHA4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |  18180751 | PA      | $18676630.75   | 0.15%             | 2053-05-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                       | FNCL UMBS 6.0 MA5040 06-01-53                  | CUSIP: 31418ES68<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |  53226542 | PA      | $54667863.17   | 0.45%             | 2053-06-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                       | FNCL UMBS 5.0 MA5038 06-01-53                  | CUSIP: 31418ES43<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |  39850286 | PA      | $39997851.83   | 0.33%             | 2053-06-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                             | FNCL UMBS 6.0 SD8332 06-01-53                  | CUSIP: 3132DWHH9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |  27692335 | PA      | $28404221.43   | 0.23%             | 2053-06-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                       | FNCL UMBS 5.5 MA5039 06-01-53                  | CUSIP: 31418ES50<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |  38631480 | PA      | $39276973.86   | 0.32%             | 2053-06-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                       | FNCL UMBS 2.5 CA7737 11-01-50                  | CUSIP: 3140QFS34<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |  36036612 | PA      | $31109001.33   | 0.25%             | 2050-11-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                       | FNCL UMBS 2.5 CA8862 01-01-51                  | CUSIP: 3140QGZ42<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |  29170137 | PA      | $25253608.83   | 0.21%             | 2051-01-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                       | FNCL UMBS 6.5 CB6491 06-01-53                  | CUSIP: 3140QSF97<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |   4321173 | PA      | $4516982.19    | 0.04%             | 2053-06-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                       | FNCL UMBS 6.5 CB6468 06-01-53                  | CUSIP: 3140QSFJ5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |   1200161 | PA      | $1253813.50    | 0.01%             | 2053-06-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                       | FNCL UMBS 6.5 CB6490 06-01-53                  | CUSIP: 3140QSF89<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |   1568685 | PA      | $1630891.40    | 0.01%             | 2053-06-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                       | FNCL UMBS 6.0 CB6486 06-01-53                  | CUSIP: 3140QSF48<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |   7308330 | PA      | $7516953.30    | 0.06%             | 2053-06-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                       | FNCL UMBS 6.0 CB6465 06-01-53                  | CUSIP: 3140QSFF3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |   5433525 | PA      | $5616363.44    | 0.05%             | 2053-06-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                       | FNCL UMBS 6.0 CB6485 06-01-53                  | CUSIP: 3140QSF30<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |  11753091 | PA      | $12078721.78   | 0.10%             | 2053-06-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                             | FNCL UMBS 6.5 RA9287 06-01-53                  | CUSIP: 3133KRJ88<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |    496110 | PA      | $524180.76     | 0.00%             | 2053-06-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                             | FNCL UMBS 6.0 RA9279 06-01-53                  | CUSIP: 3133KRJY1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |   4424353 | PA      | $4586916.49    | 0.04%             | 2053-06-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                             | FNCL UMBS 6.5 RA9288 06-01-53                  | CUSIP: 3133KRJ96<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |    711617 | PA      | $750927.75     | 0.01%             | 2053-06-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                             | FNCL UMBS 6.5 RA9289 06-01-53                  | CUSIP: 3133KRKA1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |    712365 | PA      | $750763.29     | 0.01%             | 2053-06-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                             | FNCL UMBS 6.5 RA9290 06-01-53                  | CUSIP: 3133KRKB9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |    390307 | PA      | $410822.81     | 0.00%             | 2053-06-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                       | FNCL UMBS 5.5 FS5192 06-01-53                  | CUSIP: 3140XLXW3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |   4683535 | PA      | $4752204.60    | 0.04%             | 2053-06-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                             | FNCL UMBS 5.5 RA8059 10-01-52                  | CUSIP: 3133KP5U8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |   8877578 | PA      | $9061858.70    | 0.07%             | 2052-10-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                             | FNCL UMBS 5.5 SD3369 05-01-53                  | CUSIP: 3132DQW69<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |   1285447 | PA      | $1302712.13    | 0.01%             | 2053-05-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                       | FNCL UMBS 2.5 FM6112 02-01-51                  | CUSIP: 3140X9YJ8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |  26491783 | PA      | $22732387.16   | 0.19%             | 2051-02-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                       | FNCL UMBS 3.0 CB0850 06-01-51                  | CUSIP: 3140QK5L8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |   4437797 | PA      | $3992650.72    | 0.03%             | 2051-06-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                       | FNCL UMBS 3.0 FM8981 10-01-51                  | CUSIP: 3140XC6T0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |  26116480 | PA      | $23436328.87   | 0.19%             | 2051-10-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                       | FNCL UMBS 3.0 FM9330 07-01-51                  | CUSIP: 3140XDLL8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |  27948701 | PA      | $25102852.33   | 0.21%             | 2051-07-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                       | FNCL UMBS 3.0 CB0737 06-01-51                  | CUSIP: 3140QKZB7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |   6909866 | PA      | $6200796.35    | 0.05%             | 2051-06-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                       | FNCL UMBS 2.0 FS3767 04-01-47                  | CUSIP: 3140XKFH8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |   6456288 | PA      | $5382426.18    | 0.04%             | 2047-04-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                             | FNCL UMBS 2.0 SI2080 10-01-50                  | CUSIP: 3133USJZ5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |  43963468 | PA      | $36449979.40   | 0.30%             | 2050-10-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                             | FNCL UMBS 2.0 SI2062 09-01-50                  | CUSIP: 3133USJF9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |  42489856 | PA      | $35149393.25   | 0.29%             | 2050-09-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                       | FNCL UMBS 5.0 MA4978 04-01-53                  | CUSIP: 31418EQ86<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |  23286549 | PA      | $23358364.30   | 0.19%             | 2053-04-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                       | FNCL UMBS 2.0 FS3744 07-01-51                  | CUSIP: 3140XKES5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |  23898829 | PA      | $19612717.31   | 0.16%             | 2051-07-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                       | FNCL UMBS 2.0 FS3745 08-01-50                  | CUSIP: 3140XKET3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |   8046200 | PA      | $6604417.36    | 0.05%             | 2050-08-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                       | FNCL UMBS 4.5 MA5136 09-01-53                  | CUSIP: 31418EV64<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |   6519316 | PA      | $6399204.42    | 0.05%             | 2053-09-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                       | FNCL UMBS 4.5 MA5070 07-01-53                  | CUSIP: 31418ET42<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |   2916265 | PA      | $2866152.05    | 0.02%             | 2053-07-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                             | FNCL UMBS 2.0 RA6114 02-01-52                  | CUSIP: 3133KMYK5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |   1441034 | PA      | $1177693.62    | 0.01%             | 2052-02-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                             | FNCL UMBS 6.0 SD8363 09-01-53                  | CUSIP: 3132DWJG9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |    896180 | PA      | $920374.48     | 0.01%             | 2053-09-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                             | FNCL UMBS 5.0 QG4719 06-01-53                  | CUSIP: 3133C5G47<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |  34341357 | PA      | $34411859.88   | 0.28%             | 2053-06-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                             | FNCL UMBS 5.0 QG8909 08-01-53                  | CUSIP: 3133C93S0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |    622373 | PA      | $622688.17     | 0.01%             | 2053-08-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                       | FNCL UMBS 5.0 BY6763 07-01-53                  | CUSIP: 3140NPQR4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |    559018 | PA      | $560770.54     | 0.00%             | 2053-07-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                       | FNCL UMBS 5.0 BX9041 04-01-53                  | CUSIP: 3140NEBK0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |     82996 | PA      | $83197.12      | 0.00%             | 2053-04-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                       | FNCL UMBS 5.0 BU4112 07-01-53                  | CUSIP: 3140M5SA4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |     92724 | PA      | $93009.76      | 0.00%             | 2053-07-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                             | FNCL UMBS 4.0 QG0719 04-01-53                  | CUSIP: 3133C0YQ9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |    413651 | PA      | $394831.05     | 0.00%             | 2053-04-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                       | FNCL UMBS 6.0 MA5191 11-01-53                  | CUSIP: 31418EXV7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |   8572377 | PA      | $8803797.33    | 0.07%             | 2053-11-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                             | FNCL UMBS 6.0 RA9857 09-01-53                  | CUSIP: 3133KR5S9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |  34705894 | PA      | $35646944.44   | 0.29%             | 2053-09-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                             | FNCL UMBS 6.0 RA9636 08-01-53                  | CUSIP: 3133KRV50<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |   5707235 | PA      | $5863470.56    | 0.05%             | 2053-08-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                             | FNCL UMBS 6.0 SD8373 11-01-53                  | CUSIP: 3132DWJS3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |  47313462 | PA      | $48551796.83   | 0.40%             | 2053-11-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                             | FNCL UMBS 6.0 QG7363 07-01-53                  | CUSIP: 3133C8FC4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |  12485137 | PA      | $12848042.04   | 0.11%             | 2053-07-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                       | FNCL UMBS 6.0 BY8293 08-01-53                  | CUSIP: 3140NRGB6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |   3168602 | PA      | $3253321.33    | 0.03%             | 2053-08-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                             | FNCL UMBS 5.5 SD8367 10-01-53                  | CUSIP: 3132DWJL8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |  25943488 | PA      | $26315907.24   | 0.22%             | 2053-10-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                       | FNCL UMBS 4.5 CB4852 10-01-52                  | CUSIP: 3140QQMA0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |   1810354 | PA      | $1781115.18    | 0.01%             | 2052-10-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                             | FNCL UMBS 3.0 QC5631 08-01-51                  | CUSIP: 3133AQHG5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |   3544605 | PA      | $3157388.55    | 0.03%             | 2051-08-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                       | FNCL UMBS 3.0 BT5004 07-01-51                  | CUSIP: 3140LTR22<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |    287932 | PA      | $256477.44     | 0.00%             | 2051-07-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                       | FNCL UMBS 2.0 BV3101 03-01-52                  | CUSIP: 3140MGNT4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |   1633918 | PA      | $1335224.36    | 0.01%             | 2052-03-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                       | FNCL UMBS 2.0 CB0381 05-01-51                  | CUSIP: 3140QKM70<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |   5943172 | PA      | $4842276.66    | 0.04%             | 2051-05-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                       | FNCL UMBS 2.5 CB1394 08-01-51                  | CUSIP: 3140QLRQ1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |    390493 | PA      | $332659.15     | 0.00%             | 2051-08-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                       | FNCL UMBS 6.0 CB5912 03-01-53                  | CUSIP: 3140QRSA2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |   6870803 | PA      | $7102012.38    | 0.06%             | 2053-03-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                       | FNCL UMBS 4.5 CB6471 06-01-53                  | CUSIP: 3140QSFM8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |   2938284 | PA      | $2887789.93    | 0.02%             | 2053-06-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                       | FNCL UMBS 6.0 FS4932 06-01-53                  | CUSIP: 3140XLPS1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |   7636305 | PA      | $7872374.16    | 0.06%             | 2053-06-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                       | FNCL UMBS 2.5 FS4203 01-01-52                  | CUSIP: 3140XKU57<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |   9700940 | PA      | $8264172.44    | 0.07%             | 2052-01-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                       | FNCL UMBS 2.5 FS4712 04-01-52                  | CUSIP: 3140XLGW2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |    497561 | PA      | $423863.37     | 0.00%             | 2052-04-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                             | FNCL UMBS 6.0 SD8368 10-01-53                  | CUSIP: 3132DWJM6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |  23319075 | PA      | $23941298.07   | 0.20%             | 2053-10-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                             | FNCL UMBS 6.0 RJ1785 06-01-54                  | CUSIP: 3142GR6X3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |   7416780 | PA      | $7651884.16    | 0.06%             | 2054-06-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                       | FNCL UMBS 6.0 CB8755 06-01-54                  | CUSIP: 3140QUWR3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |   6330405 | PA      | $6513790.51    | 0.05%             | 2054-06-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                             | FNCL UMBS 5.0 RJ1855 06-01-54                  | CUSIP: 3142GSBZ0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |   3430871 | PA      | $3439156.13    | 0.03%             | 2054-06-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                             | FNCL UMBS 6.0 RJ1859 06-01-54                  | CUSIP: 3142GSB56<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |  23539791 | PA      | $24288850.86   | 0.20%             | 2054-06-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                             | FNCL UMBS 5.5 RJ1857 06-01-54                  | CUSIP: 3142GSB31<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |   6090593 | PA      | $6208402.88    | 0.05%             | 2054-06-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                       | FNCL UMBS 6.0 FS8153 06-01-54                  | CUSIP: 3140XQBX4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |  22233154 | PA      | $23049822.57   | 0.19%             | 2054-06-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                       | FNCL UMBS 6.0 FS7031 02-01-54                  | CUSIP: 3140XNY57<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |   6556917 | PA      | $6777570.59    | 0.06%             | 2054-02-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                             | FNCL UMBS 6.0 SD8447 07-01-54                  | CUSIP: 3132DWL43<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |   6379461 | PA      | $6535681.60    | 0.05%             | 2054-07-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                       | FNCL UMBS 6.0 MA5421 07-01-54                  | CUSIP: 31418FAX5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |  33982206 | PA      | $34793599.45   | 0.28%             | 2054-07-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                       | FNCL UMBS 5.5 MA5420 07-01-54                  | CUSIP: 31418FAW7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |     94982 | PA      | $96287.70      | 0.00%             | 2054-07-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                             | FNCL UMBS 6.0 SD5303 04-01-54                  | CUSIP: 3132DS3L4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |  11931694 | PA      | $12313413.27   | 0.10%             | 2054-04-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                       | FNCL UMBS 5.5 BU4699 07-01-54                  | CUSIP: 3140M6GH0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |   4327516 | PA      | $4405909.08    | 0.04%             | 2054-07-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                       | FNCL UMBS 6.0 BU4700 07-01-54                  | CUSIP: 3140M6GJ6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |  11059645 | PA      | $11380739.98   | 0.09%             | 2054-07-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                             | FNCL UMBS 5.5 QI8872 07-01-54                  | CUSIP: 3133WF2D8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |   2144524 | PA      | $2183371.57    | 0.02%             | 2054-07-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                             | FNCL UMBS 6.0 QI8874 07-01-54                  | CUSIP: 3133WF2F3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |   4595279 | PA      | $4722783.96    | 0.04%             | 2054-07-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                       | FNCL UMBS 6.5 CB8872 07-01-54                  | CUSIP: 3140QU2E5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |  36937709 | PA      | $38465452.43   | 0.31%             | 2054-07-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                       | FNCL UMBS 6.5 CB8725 06-01-54                  | CUSIP: 3140QUVT0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |  24702151 | PA      | $25633545.27   | 0.21%             | 2054-06-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                             | FNCL UMBS 6.0 RJ1964 07-01-54                  | CUSIP: 3142GSFE3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |  16488805 | PA      | $17167038.89   | 0.14%             | 2054-07-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                       | FNCL UMBS 6.5 CB8876 07-01-54                  | CUSIP: 3140QU2J4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |  11003989 | PA      | $11456307.98   | 0.09%             | 2054-07-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                       | FNCL UMBS 5.5 CB8842 07-01-54                  | CUSIP: 3140QUZG4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |   1037822 | PA      | $1056674.97    | 0.01%             | 2054-07-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                             | FNCL UMBS 5.5 RJ1963 07-01-54                  | CUSIP: 3142GSFD5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |    275911 | PA      | $280843.67     | 0.00%             | 2054-07-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                       | FNCL UMBS 6.0 FS8318 07-01-54                  | CUSIP: 3140XQG43<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |   5344778 | PA      | $5548531.49    | 0.05%             | 2054-07-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                             | FNCL UMBS 6.0 RJ1975 07-01-54                  | CUSIP: 3142GSFR4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |  18280630 | PA      | $18863653.81   | 0.15%             | 2054-07-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                       | FNCL UMBS 6.0 CB8858 07-01-54                  | CUSIP: 3140QUZY5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |  11855351 | PA      | $12226613.03   | 0.10%             | 2054-07-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                       | FNCL UMBS 6.5 FS8317 07-01-54                  | CUSIP: 3140XQG35<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |   5501294 | PA      | $5771539.13    | 0.05%             | 2054-07-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                             | FNCL UMBS 6.0 SD8454 08-01-54                  | CUSIP: 3132DWMB6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |   5984419 | PA      | $6130929.79    | 0.05%             | 2054-08-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                       | FNCL UMBS 6.0 MA5445 08-01-54                  | CUSIP: 31418FBP1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |  17123058 | PA      | $17542384.07   | 0.14%             | 2054-08-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                       | FNCL UMBS 2.5 FM8658 09-01-51                  | CUSIP: 3140XCTQ1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |    879365 | PA      | $750194.45     | 0.01%             | 2051-09-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                       | FNCL UMBS 6.0 DB6878 06-01-54                  | CUSIP: 3140AGUC6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |   1218589 | PA      | $1249179.42    | 0.01%             | 2054-06-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                       | FNCL UMBS 6.0 DB6901 07-01-54                  | CUSIP: 3140AGU36<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |    756254 | PA      | $775234.59     | 0.01%             | 2054-07-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                             | FNCL UMBS 6.5 SD5706 06-01-54                  | CUSIP: 3132DTKT6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |  45369577 | PA      | $47288800.61   | 0.39%             | 2054-06-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                             | FNCL UMBS 6.5 SD4614 01-01-54                  | CUSIP: 3132DSDT6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |    512840 | PA      | $537716.40     | 0.00%             | 2054-01-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                       | FNCL UMBS 6.5 FS7162 02-01-54                  | CUSIP: 3140XN5Y6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |    454214 | PA      | $476247.80     | 0.00%             | 2054-02-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                       | FNCL UMBS 6.5 FS6763 01-01-54                  | CUSIP: 3140XNQR8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |    960936 | PA      | $1008137.93    | 0.01%             | 2054-01-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                       | FNCL UMBS 6.5 CB7510 11-01-53                  | CUSIP: 3140QTKY4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |   2586179 | PA      | $2711626.37    | 0.02%             | 2053-11-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                       | FNCL UMBS 6.5 CB5545 01-01-53                  | CUSIP: 3140QRET6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |   3598340 | PA      | $3771531.92    | 0.03%             | 2053-01-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                       | FNCL UMBS 5.5 DB5213 07-01-54                  | CUSIP: 3140AEYK9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |    640148 | PA      | $649412.82     | 0.01%             | 2054-07-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                       | FNCL UMBS 5.5 FS4840 05-01-53                  | CUSIP: 3140XLLW6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |    103979 | PA      | $105463.48     | 0.00%             | 2053-05-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                       | FNCL UMBS 5.5 FS6838 11-01-53                  | CUSIP: 3140XNS47<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |    297079 | PA      | $301895.16     | 0.00%             | 2053-11-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                             | FNCL UMBS 6.0 SD3512 08-01-53                  | CUSIP: 3132DQ3V6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |    460188 | PA      | $472864.44     | 0.00%             | 2053-08-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                             | FNCL UMBS 6.5 RJ1797 06-01-54                  | CUSIP: 3142GR7K0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |   1502498 | PA      | $1559987.60    | 0.01%             | 2054-06-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                             | FNCL UMBS 6.0 SD5873 07-01-54                  | CUSIP: 3132DTQ29<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |   1626079 | PA      | $1670370.58    | 0.01%             | 2054-07-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                       | FNCL UMBS 6.5 FS4736 05-01-53                  | CUSIP: 3140XLHN1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |    210129 | PA      | $218579.21     | 0.00%             | 2053-05-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                             | FNCL UMBS 6.5 RJ1015 03-01-54                  | CUSIP: 3142GRDV9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |    105962 | PA      | $110026.47     | 0.00%             | 2054-03-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                       | FNCL UMBS 6.5 DB5480 06-01-54                  | CUSIP: 3140AFCS3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |     51510 | PA      | $53470.02      | 0.00%             | 2054-06-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                       | FNCL UMBS 6.5 FS8619 07-01-54                  | CUSIP: 3140XQSH1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |  18641945 | PA      | $19557711.98   | 0.16%             | 2054-07-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                             | FNCL UMBS 6.0 SD5949 07-01-54                  | CUSIP: 3132DTTE0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |   8577845 | PA      | $8814104.61    | 0.07%             | 2054-07-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                             | FNCL UMBS 6.5 QI8876 07-01-54                  | CUSIP: 3133WF2H9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |  28262208 | PA      | $29499951.90   | 0.24%             | 2054-07-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                       | FNCL UMBS 6.5 FS6767 01-01-54                  | CUSIP: 3140XNQV9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |  10666671 | PA      | $11166159.37   | 0.09%             | 2054-01-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                             | FNCL UMBS 6.5 RJ0326 11-01-53                  | CUSIP: 3142GQLG5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |   3575367 | PA      | $3719236.18    | 0.03%             | 2053-11-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                       | FNCL UMBS 6.0 FS8756 08-01-54                  | CUSIP: 3140XQWS2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |   2040655 | PA      | $2104345.89    | 0.02%             | 2054-08-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                             | FNCL UMBS 6.0 SD6029 08-01-54                  | CUSIP: 3132DTVW7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |   3053432 | PA      | $3148732.99    | 0.03%             | 2054-08-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                       | FNCL UMBS 6.0 BU4916 08-01-54                  | CUSIP: 3140M6PA5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |   2349276 | PA      | $2413982.13    | 0.02%             | 2054-08-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                             | FNCL UMBS 6.0 SD5813 07-01-54                  | CUSIP: 3132DTN63<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |   5117355 | PA      | $5287072.36    | 0.04%             | 2054-07-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                       | FNCL UMBS 6.0 FS8757 08-01-54                  | CUSIP: 3140XQWT0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |   4938453 | PA      | $5114651.99    | 0.04%             | 2054-08-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                       | FNCL UMBS 6.0 BU4968 08-01-54                  | CUSIP: 3140M6QW6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |    628307 | PA      | $644124.86     | 0.01%             | 2054-08-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                       | FNCL UMBS 6.0 FS8866 09-01-54                  | CUSIP: 3140XQZ83<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |   3173322 | PA      | $3272364.35    | 0.03%             | 2054-09-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                       | FNCL UMBS 6.0 FS8758 08-01-54                  | CUSIP: 3140XQWU7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |   1717893 | PA      | $1765208.84    | 0.01%             | 2054-08-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                       | FNCL UMBS 5.5 MA5470 09-01-54                  | CUSIP: 31418FCG0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |   6438441 | PA      | $6524748.24    | 0.05%             | 2054-09-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                       | FNCL UMBS 5.0 CB4620 09-01-52                  | CUSIP: 3140QQD28<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |   9242811 | PA      | $9319701.94    | 0.08%             | 2052-09-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                       | FNCL UMBS 5.5 BU4946 09-01-54                  | CUSIP: 3140M6P80<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |     36952 | PA      | $37479.28      | 0.00%             | 2054-09-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                             | FNCL UMBS 5.5 QJ3044 09-01-54                  | CUSIP: 3133CTLZ0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |     76091 | PA      | $77204.74      | 0.00%             | 2054-09-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                       | FNMDI4 4.0 BF0133 08-01-56                     | CUSIP: 3140FXEF5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |  16891748 | PA      | $16150183.27   | 0.13%             | 2056-08-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                       | FNMDI4 2.5 BF0546 07-01-61                     | CUSIP: 3140FXTC6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |  22478105 | PA      | $18663637.87   | 0.15%             | 2061-07-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                             | FNCL UMBS 5.5 SD8446 07-01-54                  | CUSIP: 3132DWL35<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |  17517134 | PA      | $17751933.57   | 0.15%             | 2054-07-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                             | FNCL UMBS 6.5 RJ2474 09-01-54                  | CUSIP: 3142GSXC7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |  18828283 | PA      | $19562114.86   | 0.16%             | 2054-09-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                             | FNCL UMBS 6.5 RJ2470 09-01-54                  | CUSIP: 3142GSW87<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |   5616751 | PA      | $5842645.10    | 0.05%             | 2054-09-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                             | FNCL UMBS 6.5 RJ2411 09-01-54                  | CUSIP: 3142GSVD7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |  12384286 | PA      | $12888326.43   | 0.11%             | 2054-09-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                             | FNCL UMBS 5.5 RJ2422 09-01-54                  | CUSIP: 3142GSVQ8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |   6706154 | PA      | $6815618.72    | 0.06%             | 2054-09-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                       | FNCL UMBS 6.5 CB7426 11-01-53                  | CUSIP: 3140QTHC6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |   4800670 | PA      | $4997771.11    | 0.04%             | 2053-11-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                             | FNCL UMBS 5.5 RJ2625 10-01-54                  | CUSIP: 3142GS4K1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |  18312449 | PA      | $18631818.05   | 0.15%             | 2054-10-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                             | FNCL UMBS 5.5 SD6328 09-01-54                  | CUSIP: 3132DUA56<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |    761714 | PA      | $779729.23     | 0.01%             | 2054-09-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                       | FNCL UMBS 5.5 FS9001 09-01-54                  | CUSIP: 3140XRAB1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |   7040793 | PA      | $7214926.19    | 0.06%             | 2054-09-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                             | FNCL UMBS 2.0 SD6496 06-01-52                  | CUSIP: 3132DUGD3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |   1917651 | PA      | $1570008.04    | 0.01%             | 2052-06-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                             | FNCL UMBS 2.0 RA6913 02-01-52                  | CUSIP: 3133KNVE0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |    271508 | PA      | $221959.25     | 0.00%             | 2052-02-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                       | FNCL UMBS 2.0 FS9189 05-01-52                  | CUSIP: 3140XRF75<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |   4527093 | PA      | $3706892.37    | 0.03%             | 2052-05-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                       | FNCL UMBS 6.5 BU5049 10-01-54                  | CUSIP: 3140M6TF0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |   4291498 | PA      | $4494262.49    | 0.04%             | 2054-10-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                             | FNCL UMBS 5.5 SD8469 10-01-54                  | CUSIP: 3132DWMS9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |   5232832 | PA      | $5305720.07    | 0.04%             | 2054-10-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                             | FNCL UMBS 5.5 SD8494 01-01-55                  | CUSIP: 3132DWNK5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |   3081416 | PA      | $3122722.75    | 0.03%             | 2055-01-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                       | FNCL UMBS 4.0 CB3678 05-01-52                  | CUSIP: 3140QPCQ8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |    232583 | PA      | $223036.05     | 0.00%             | 2052-05-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                       | FNCL UMBS 4.0 DC2687 10-01-54                  | CUSIP: 3140AP6Z2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |    398533 | PA      | $379904.81     | 0.00%             | 2054-10-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                       | FNCL UMBS 4.0 FS3526 12-01-52                  | CUSIP: 3140XJ4L4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |    179720 | PA      | $172234.50     | 0.00%             | 2052-12-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                       | FNCL UMBS 6.5 MA5472 09-01-54                  | CUSIP: 31418FCJ4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |   4223946 | PA      | $4378065.05    | 0.04%             | 2054-09-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                       | FNCL UMBS 5.5 DC1777 10-01-54                  | CUSIP: 3140AN6P9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |   2410136 | PA      | $2451699.17    | 0.02%             | 2054-10-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| ACAR 2024-3                                                 | ACAR 2024-3 A 144A 5.76% 11-12-27              | CUSIP: 02490BAA6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     42925 | PA      | $42948.54      | 0.00%             | 2027-11-12      | Fixed         | 5.76%                 | Yes           |                  2 | On Loan: No      |
| BRIDGECREST LENDING AUTO SECURITIZATION TRUST BLAST_24-4    | BLAST 2024-4 A2 4.84% 09-15-27                 | CUSIP: 10806EAB0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    227123 | PA      | $227198.03     | 0.00%             | 2027-09-15      | Fixed         | 4.84%                 | No            |                  2 | On Loan: No      |
| CPS 2024-D                                                  | CPS 2024-D A 144A 4.91% 06-15-28               | CUSIP: 22411JAA3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    378918 | PA      | $379378.19     | 0.00%             | 2028-06-15      | Fixed         | 4.91%                 | Yes           |                  2 | On Loan: No      |
| DRIVE 2024-2                                                | DRIVE 2024-2 A3 4.5% 09-15-28                  | CUSIP: 26207AAD5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   2905000 | PA      | $2909337.17    | 0.02%             | 2028-09-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| DRIVE 2024-2                                                | DRIVE 2024-2 A2 4.94% 12-15-27                 | CUSIP: 26207AAC7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    381011 | PA      | $381165.76     | 0.00%             | 2027-12-15      | Fixed         | 4.94%                 | No            |                  2 | On Loan: No      |
| FORD CREDIT AUTO OWNER TRUST FORDR_23-2                     | FORDR 2023-2 A 144A 5.28% 02-15-36             | CUSIP: 34535CAA4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |  22413000 | PA      | $23182752.07   | 0.19%             | 2036-02-15      | Fixed         | 5.28%                 | Yes           |                  2 | On Loan: No      |
| GCAR 2024-3A                                                | GCAR 2024-3A A2 144A 5.35% 08-16-27            | CUSIP: 37989AAC8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     95118 | PA      | $95162.22      | 0.00%             | 2027-08-16      | Fixed         | 5.35%                 | Yes           |                  2 | On Loan: No      |
| GCAR 2024-3A                                                | GCAR 2024-3A A3 144A 5.02% 04-17-28            | CUSIP: 37989AAE4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   2085000 | PA      | $2089028.22    | 0.02%             | 2028-04-17      | Fixed         | 5.02%                 | Yes           |                  2 | On Loan: No      |
| GCAR 2024-4A                                                | GCAR 2024-4A A2 144A 4.76% 10-15-27            | CUSIP: 36270YAC6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    512019 | PA      | $512267.39     | 0.00%             | 2027-10-15      | Fixed         | 4.76%                 | Yes           |                  2 | On Loan: No      |
| NELNET STUDENT LOAN TRUST NSLT_21-A                         | NSLT 2021-A APT1 144A 1.36% 04-20-62           | CUSIP: 64035DAB2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   4431781 | PA      | $4187204.03    | 0.03%             | 2062-04-20      | Fixed         | 1.36%                 | Yes           |                  2 | On Loan: No      |
| NAVIENT PRIVATE EDUCATION LOAN TRUST NAVSL_21-C             | NAVSL 2021-CA A 144A 1.06% 10-15-69            | CUSIP: 63942JAA5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   2738343 | PA      | $2513714.23    | 0.02%             | 2069-10-15      | Fixed         | 1.06%                 | Yes           |                  2 | On Loan: No      |
| NELNET STUDENT LOAN TRUST NSLT_21-B                         | NSLT 2021-BA AFX 144A 1.42% 04-20-62           | CUSIP: 64034QAB4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |  12205558 | PA      | $11546714.56   | 0.09%             | 2062-04-20      | Fixed         | 1.42%                 | Yes           |                  2 | On Loan: No      |
| BX COMMERCIAL MORTGAGE TRUST 2022-CSMO                      | BX 2022-CSMO A 144A FRN 06-15-27               | CUSIP: 05610MAA0<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |   7875000 | PA      | $7907523.75    | 0.06%             | 2027-06-15      | Variable      | 6.07%                 | Yes           |                  2 | On Loan: No      |
| COLT MORTGAGE LOAN TRUST COLT_21-5                          | COLT 2021-5 A1 144A FRN 11-26-66               | CUSIP: 12598RAA1<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    733505 | PA      | $669402.54     | 0.01%             | 2066-11-26      | Variable      | 1.73%                 | Yes           |                  2 | On Loan: No      |
| CIM TRUST CIM_22-R2                                         | CIM 2022-R2 A1 144A FRN 12-25-61               | CUSIP: 12567NAA7<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |  12898257 | PA      | $12399365.70   | 0.10%             | 2061-12-25      | Variable      | 3.75%                 | Yes           |                  2 | On Loan: No      |
| CITIGROUP COMMERCIAL MORTGAGE TRUST CGCMT_23-SMRT           | CGCMT 23-SMRT A 144A FRN 10-12-40              | CUSIP: 17291NAA9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |  31782000 | PA      | $32754592.76   | 0.27%             | 2040-10-12      | Variable      | 6.01%                 | Yes           |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                       | FNCT UMBS 4.0 AS7224 05-01-36                  | CUSIP: 3138WHA28<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |    992447 | PA      | $981295.31     | 0.01%             | 2036-05-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                       | FNCI UMBS 4.0 MA2630 05-01-36                  | CUSIP: 31418B4Q6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |    190978 | PA      | $190205.12     | 0.00%             | 2036-05-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP - GOLD                      | FGTW 4.0 C91877 05-01-36                       | CUSIP: 3128P8CN9<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |    235720 | PA      | $234940.44     | 0.00%             | 2036-05-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP - GOLD                      | FGTW 4.0 K93558 05-01-36                       | CUSIP: 3132LPZX0<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |    341722 | PA      | $337367.64     | 0.00%             | 2036-05-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                       | FNCI UMBS 4.0 MA2717 08-01-36                  | CUSIP: 31418CAT1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |    903771 | PA      | $899203.38     | 0.01%             | 2036-08-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                       | FNCI UMBS 4.0 MA2746 09-01-36                  | CUSIP: 31418CBQ6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |   1701893 | PA      | $1692716.30    | 0.01%             | 2036-09-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                       | FNCT UMBS 4.0 MA2787 10-01-36                  | CUSIP: 31418CCZ5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |    422699 | PA      | $420502.55     | 0.00%             | 2036-10-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP - GOLD                      | FGLMC 3.5 T65389 09-01-46                      | CUSIP: 31322Y7A3<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |     39095 | PA      | $36611.54      | 0.00%             | 2046-09-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP - GOLD                      | FGTW 4.0 C91899 09-01-36                       | CUSIP: 3128P8DC2<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |    398504 | PA      | $396757.33     | 0.00%             | 2036-09-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                       | FNCT UMBS 4.0 MA2819 11-01-36                  | CUSIP: 31418CDZ4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |    820450 | PA      | $816036.85     | 0.01%             | 2036-11-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP - GOLD                      | FGTW 2.5 C91720 08-01-33                       | CUSIP: 3128P74D2<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |     37052 | PA      | $35526.09      | 0.00%             | 2033-08-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP - GOLD                      | FGTW 2.5 C91593 12-01-32                       | CUSIP: 3128P7XW8<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |     19249 | PA      | $18474.33      | 0.00%             | 2032-12-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                             | FHARM FRN 760014 08-01-45                      | CUSIP: 31342WAP6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |    778016 | PA      | $780001.54     | 0.01%             | 2045-08-01      | Variable      | 4.64%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP - GOLD                      | FGLMC 4.0 T65448 09-01-47                      | CUSIP: 31323ABR2<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |    589275 | PA      | $560112.94     | 0.00%             | 2047-09-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                       | FNCI UMBS 3.5 CA2106 07-01-33                  | CUSIP: 3140Q9KU6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |      6481 | PA      | $6420.32       | 0.00%             | 2033-07-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                       | FNCI UMBS 3.5 BJ9000 11-01-33                  | CUSIP: 3140HBAA6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |     63888 | PA      | $62750.03      | 0.00%             | 2033-11-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                             | FNCT UMBS 6.5 ZA2045 01-01-28                  | CUSIP: 31329KHW7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |      1996 | PA      | $2065.14       | 0.00%             | 2028-01-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                       | FNCI UMBS 3.0 BJ4856 02-01-33                  | CUSIP: 3140H6ME6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |     59980 | PA      | $58345.41      | 0.00%             | 2033-02-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                       | FNCI UMBS 3.0 BM3919 02-01-33                  | CUSIP: 3140J8K93<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |      4911 | PA      | $4806.49       | 0.00%             | 2033-02-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                             | FNCI UMBS 3.0 ZS8710 08-01-33                  | CUSIP: 3132A9VB0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |       704 | PA      | $688.15        | 0.00%             | 2033-08-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| SEASONED CREDIT RISK TRANSFER SCRT_18-3                     | SCRT 2018-3 MA FRN 08-25-57                    | CUSIP: 35563PGG8<br>LEI: N/A                  | Long             | ABS-CBDO         | USGA              | US        |    752754 | PA      | $733487.03     | 0.01%             | 2057-08-25      | Variable      | 3.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                             | FNCL UMBS 3.5 SD7503 08-01-49                  | CUSIP: 3132DVKQ7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |   6711624 | PA      | $6329128.78    | 0.05%             | 2049-08-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                       | FNCI UMBS 2.5 BO6247 12-01-34                  | CUSIP: 3140K15H5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |   3114879 | PA      | $2974276.65    | 0.02%             | 2034-12-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                             | FNCI UMBS 2.5 ZS8087 04-01-33                  | CUSIP: 3132A86Y0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |     13670 | PA      | $13158.87      | 0.00%             | 2033-04-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                             | FNCI UMBS 2.5 ZS8675 11-01-32                  | CUSIP: 3132A9T80<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |      4469 | PA      | $4310.06       | 0.00%             | 2032-11-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                             | FNCI UMBS 3.0 SB8041 04-01-35                  | CUSIP: 3132D55A6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |       416 | PA      | $403.86        | 0.00%             | 2035-04-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP - GOLD                      | FGLMC 4.0 G67711 03-01-48                      | CUSIP: 3132XCR80<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |  10590900 | PA      | $10314911.95   | 0.08%             | 2048-03-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                             | FNCL UMBS 3.5 RA1580 10-01-49                  | CUSIP: 3133KGXH6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |   3436272 | PA      | $3260018.52    | 0.03%             | 2049-10-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                             | FNCL UMBS 3.5 QA0284 06-01-49                  | CUSIP: 31334WJ51<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |   1393306 | PA      | $1318858.44    | 0.01%             | 2049-06-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                       | FNCL UMBS 932606 02-01-40                      | CUSIP: 31412RDK0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |     23041 | PA      | $23751.19      | 0.00%             | 2040-02-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                       | FNCL UMBS 3.5 BE5009 01-01-45                  | CUSIP: 3140FQR74<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |    293259 | PA      | $279590.93     | 0.00%             | 2045-01-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                       | FNCL UMBS 4.0 BH3122 06-01-47                  | CUSIP: 3140GRPG3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |     11956 | PA      | $11631.02      | 0.00%             | 2047-06-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                       | FNCL UMBS AE1283 12-01-41                      | CUSIP: 31419BM93<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |     20773 | PA      | $21412.46      | 0.00%             | 2041-12-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                       | FNCL UMBS 4.5 BK9761 08-01-48                  | CUSIP: 3140HPZ34<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |     76300 | PA      | $76829.83      | 0.00%             | 2048-08-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                       | FNCL UMBS 5.0 AE1277 11-01-41                  | CUSIP: 31419BM36<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |     43442 | PA      | $44728.05      | 0.00%             | 2041-11-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                       | FNCL UMBS 4.0 BJ5015 12-01-47                  | CUSIP: 3140H6SD2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |    621596 | PA      | $604696.03     | 0.00%             | 2047-12-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                       | FNCL UMBS 3.5 BJ4901 03-01-48                  | CUSIP: 3140H6NT2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |    177421 | PA      | $167938.38     | 0.00%             | 2048-03-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                       | FNCL UMBS 4.0 BK9743 08-01-48                  | CUSIP: 3140HPZH3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |     60331 | PA      | $58631.31      | 0.00%             | 2048-08-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                       | FNCL UMBS 5.0 AE1290 02-01-42                  | CUSIP: 31419BNG6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |     59948 | PA      | $61464.05      | 0.00%             | 2042-02-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                       | FNCL UMBS 3.5 BH2848 05-01-47                  | CUSIP: 3140GREW0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |     32120 | PA      | $30372.17      | 0.00%             | 2047-05-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                       | FNCL UMBS 4.0 CA2850 12-01-48                  | CUSIP: 3140QAEY2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |    894319 | PA      | $874648.50     | 0.01%             | 2048-12-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                       | FNCL UMBS 3.5 BE8742 05-01-47                  | CUSIP: 3140FUWC8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |     62275 | PA      | $59162.11      | 0.00%             | 2047-05-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                             | FNCL UMBS 3.0 SD7544 07-01-51                  | CUSIP: 3132DVLZ6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |  19240138 | PA      | $17472758.07   | 0.14%             | 2051-07-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                             | FNCT UMBS 1.5 RB5113 06-01-41                  | CUSIP: 3133KYVE6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        | 111111621 | PA      | $94872879.41   | 0.78%             | 2041-06-01      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                             | FNCT UMBS 2.5 RB5115 06-01-41                  | CUSIP: 3133KYVG1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |  22215245 | PA      | $20121013.58   | 0.16%             | 2041-06-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                       | FNCL UMBS 2.5 CB0457 05-01-51                  | CUSIP: 3140QKQK7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |   4391978 | PA      | $3776859.68    | 0.03%             | 2051-05-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                             | FNCL UMBS 2.5 RA5259 05-01-51                  | CUSIP: 3133KLZY6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |   4274791 | PA      | $3676068.10    | 0.03%             | 2051-05-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                       | FNCL UMBS 2.5 CA8828 02-01-51                  | CUSIP: 3140QGY27<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |  24560583 | PA      | $21262170.67   | 0.17%             | 2051-02-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                       | FNCL UMBS 3.0 FS0647 02-01-52                  | CUSIP: 3140XFWH0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |   1266044 | PA      | $1149646.28    | 0.01%             | 2052-02-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                             | FNCL UMBS 2.0 RA6406 11-01-51                  | CUSIP: 3133KNDK6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |   5803716 | PA      | $4757253.98    | 0.04%             | 2051-11-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                             | FNCL UMBS 5.0 RA7938 09-01-52                  | CUSIP: 3133KPZB7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |   2454345 | PA      | $2465899.94    | 0.02%             | 2052-09-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                       | FNCL UMBS 3.5 FM9416 07-01-45                  | CUSIP: 3140XDPA8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |    947647 | PA      | $901077.11     | 0.01%             | 2045-07-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                       | FNCL UMBS 3.5 FM3280 05-01-49                  | CUSIP: 3140X6UE9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |    248307 | PA      | $236196.20     | 0.00%             | 2049-05-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                       | FNCL UMBS 2.5 CA5968 06-01-50                  | CUSIP: 3140QDT20<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |   1213051 | PA      | $1054251.52    | 0.01%             | 2050-06-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                       | FNCL UMBS 2.0 CB2765 02-01-52                  | CUSIP: 3140QNCB6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |   7724409 | PA      | $6342342.61    | 0.05%             | 2052-02-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                       | FNCL UMBS 2.5 FM7409 05-01-51                  | CUSIP: 3140XBGT1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |     81094 | PA      | $69184.35      | 0.00%             | 2051-05-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                             | FNCL UMBS 3.0 SD8213 05-01-52                  | CUSIP: 3132DWDS9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |  86638744 | PA      | $77306191.91   | 0.63%             | 2052-05-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |

### Signature

**Date Signed:** 2026-01-28

**Name of Applicant:** American Funds Mortgage Fund

**Signature:** Scott Lewis

**Name of Signer:** Scott Lewis

**Title:** Compliance Specialist Senior