# EDGAR Filing Document

**Accession Number:** 0001551895
**File Stem:** 0000940400-26-020178
**Filing Date:** 2026-5
**Character Count:** 142354
**Document Hash:** 7b77f4ab8da5f922eb21c65863e458e6
**Contains OCR:** False
**Source Format:** 

## Filing Content

## Filing Summary
**0000940400-26-020178.hdr.sgml**: 20260521

**ACCESSION NUMBER**: 0000940400-26-020178

**CONFORMED SUBMISSION TYPE**: NPORT-P

**PUBLIC DOCUMENT COUNT**: 1

**CONFORMED PERIOD OF REPORT**: 20260331

**FILED AS OF DATE**: 20260521

**DATE AS OF CHANGE**: 20260521

**PERIOD START**: 20260331

**FILER**: 

**COMPANY DATA:**
- **COMPANY CONFORMED NAME:** Franklin ETF Trust
- **CENTRAL INDEX KEY:** 0001551895

**ORGANIZATION NAME:**
- **EIN:** 000000000
- **STATE OF INCORPORATION:** FL
- **FISCAL YEAR END:** 0331

**FILING VALUES:**
- **FORM TYPE:** NPORT-P
- **SEC ACT:** 1940 Act
- **SEC FILE NUMBER:** 811-22801
- **FILM NUMBER:** 261007148

**BUSINESS ADDRESS:**
- **STREET 1:** ONE FRANKLIN PARKWAY
- **CITY:** SAN MATEO
- **STATE:** CA
- **ZIP:** 94403-1906
- **BUSINESS PHONE:** 650-312-2000

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

**FORMER COMPANY:**
- **FORMER CONFORMED NAME:** Franklin Templeton ETF Trust
- **DATE OF NAME CHANGE:** 20120608

## Series and Classes Contracts Data

### Franklin Short Duration U.S. Government ETF (Series ID: S000040579)

| Class ID   | Class Name                                  | Ticker Symbol   |
|:---|:---|:---|
| C000125848 | Franklin Short Duration U.S. Government ETF | FTSD            |

## Form NPORT-P: Monthly Portfolio Investments Report

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

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

- **a. Name of Registrant:** Franklin ETF Trust

- **b. Investment Company Act file number:** 811-22801

- **c. CIK number of Registrant:** 0001551895

- **d. LEI of Registrant:** 5493002I0ZV9SI9DX447

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

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

  - **City:** San Mateo

  - **State:** CA

  - **Foreign country:** US

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

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

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

- **a. Name of Series:** Franklin Short Duration U.S. Government ETF

- **b. EDGAR series identifier (if any):** S000040579

- **c. LEI of Series:** 549300SJ8ZYS4H43HY44

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

- **a. Date of fiscal year-end:** 2026-03-31

- **b. Date as of which information is reported:** 2026-03-31

**Item A.4. Final filing**

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

### Fund Information

**Total Assets:** $286446875.00

**Total Liabilities:** $5144827.94

**Net Assets:** $281302047.06

**Stand-by Commitments:** $5067760.41

**Cash Not Reported:** $494242.15

**Currency Risk Metrics (dv01):**

- 

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

- **3-Month:** 56.65759000 | **1-Year:** 14259.52935000 | **5-Year:** 38650.20824000 | **10-Year:** 483.14534000 | **30-Year:** 0.00000000

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

- **3-Month:** 6.62037000 | **1-Year:** 1.19893000 | **5-Year:** 0.00000000 | **10-Year:** 0.00000000 | **30-Year:** 0.00000000

**Monthly Return Information**

| Class               | Month 1 Return (%)   | Month 2 Return (%)   | Month 3 Return (%)   |
|:---|:---|:---|:---|
| Class ID C000125848 | 0.36%                | 0.34%                | -0.22%               |

**Monthly Gains & Losses**

| Period   | Net Realized Gain/Loss   | Net Unrealized Appreciation/Depreciation   |
|:---|:---|:---|
| Month 1  | $13056.69                | $-33614.66                                 |
| Month 2  | $-34493.81               | $258130.34                                 |
| Month 3  | $-58381.66               | $-1319084.26                               |

**Designated Index Information**

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

- **Index Identifier:** BM2542

### Schedule of Portfolio Investments

| Name                                                   | Title                                                  | Identifiers                                   | Payoff Profile   | Asset Category   | Issuer Category   | Country   |   Balance | Units   | Value (USD)   | % of Net Assets   | Maturity Date   | Coupon Type   | Annualized Rate (%)   | Restricted?   |   Fair Value Level | Lending Status   |
|:---|:---|:---|:---|:---|:---|:---|---:|:---|:---|:---|:---|:---|:---|:---|---:|:---|
| Federal National Mortgage Association                  | FN AL8236                                              | CUSIP: 3138ETEJ1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      7170 | PA      | $7141.25      | 0.00%             | 2027-07-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corp.                       | FHMS KF135 AS                                          | CUSIP: 3137H7KA0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-O            | USGSE             | US        |   2065188 | PA      | $2059970.53   | 0.73%             | 2029-05-25      | Variable      | 4.05%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association               | G2 MB0486                                              | CUSIP: 3618N5RG6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   5423768 | PA      | $5519942.64   | 1.96%             | 2055-07-20      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                  | FN 782316                                              | CUSIP: 31404YDV1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      9088 | PA      | $9157.00      | 0.00%             | 2034-11-01      | Variable      | 6.27%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corp.                       | FH 972132                                              | CUSIP: 31336CLM3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     43768 | PA      | $44979.03     | 0.02%             | 2033-11-01      | Variable      | 6.12%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corp.                       | FHMS KF98 AL                                           | CUSIP: 3137F9CM1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-O            | USGSE             | US        |    482747 | PA      | $481603.20    | 0.17%             | 2030-12-26      | Variable      | 3.96%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                  | FN 745401                                              | CUSIP: 31403DDE6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      4892 | PA      | $5030.23      | 0.00%             | 2036-03-01      | Variable      | 6.16%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corp.                       | FH 849426                                              | CUSIP: 31300MPK3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     36681 | PA      | $38115.99     | 0.01%             | 2042-01-01      | Variable      | 6.48%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corp.                       | FHMS KF88 AL                                           | CUSIP: 3137F62A4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-O            | USGSE             | US        |    603580 | PA      | $602477.43    | 0.21%             | 2030-09-25      | Variable      | 4.12%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                  | FN 655202                                              | CUSIP: 31390S3K5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       320 | PA      | $322.54       | 0.00%             | 2032-05-01      | Variable      | 5.48%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corp.                       | FH 1Q0080                                              | CUSIP: 3128S4CR6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      4123 | PA      | $4266.04      | 0.00%             | 2036-01-01      | Variable      | 6.42%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corp.                       | FH 410857                                              | CUSIP: 31337A5S1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       158 | PA      | $159.32       | 0.00%             | 2029-01-01      | Variable      | 6.86%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                  | FNR 2024-103 FB                                        | CUSIP: 3136BUQG8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-O            | USGSE             | US        |    911316 | PA      | $916079.19    | 0.33%             | 2055-01-25      | Floating      | 4.61%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                  | FN 725108                                              | CUSIP: 31402CR53<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       287 | PA      | $291.54       | 0.00%             | 2033-12-01      | Variable      | 6.24%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corp.                       | FHMS KF94 AL                                           | CUSIP: 3137F84A8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-O            | USGSE             | US        |    444579 | PA      | $441916.05    | 0.16%             | 2030-11-25      | Variable      | 4.09%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                  | FN 844789                                              | CUSIP: 31407YRJ0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      8676 | PA      | $8831.98      | 0.00%             | 2035-11-01      | Variable      | 5.77%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corp.                       | FH 1Q0232                                              | CUSIP: 3128S4HH3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     18401 | PA      | $19033.09     | 0.01%             | 2036-12-01      | Variable      | 6.04%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corp.                       | FHMS KF81 AL                                           | CUSIP: 3137FUZR8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-O            | USGSE             | US        |    221135 | PA      | $221097.35    | 0.08%             | 2027-06-25      | Variable      | 4.15%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN BANKS                                | FHMS KF68 A                                            | CUSIP: 3137FPHF5<br>LEI: 2549001DPIFGXC1TOL40 | Long             | ABS-O            | USGSE             | US        |    427144 | PA      | $427159.19    | 0.15%             | 2026-07-27      | Variable      | 4.28%                 | No            |                  2 | On Loan: No      |
| United States Treasury Notes                           | T 4.125 09/30/27                                       | CUSIP: 91282CFM8<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  10000000 | PA      | $10042382.80  | 3.57%             | 2027-09-30      | Fixed         | 4.12%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                  | FN AL7001                                              | CUSIP: 3138EPX74<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    187058 | PA      | $193582.91    | 0.07%             | 2037-09-01      | Variable      | 6.40%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                  | FN 781578                                              | CUSIP: 31404XJX3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      2614 | PA      | $2675.07      | 0.00%             | 2034-12-01      | Variable      | 5.62%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                  | FNR 2011-96 FA                                         | CUSIP: 3136A1NS0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-O            | USGSE             | US        |    845832 | PA      | $842582.27    | 0.30%             | 2041-10-25      | Floating      | 4.23%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                  | FN 735448                                              | CUSIP: 31402RBR9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       734 | PA      | $752.00       | 0.00%             | 2035-03-01      | Variable      | 6.41%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corp.                       | FR RQ0049                                              | CUSIP: 3142J6BT9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   2286529 | PA      | $2299301.92   | 0.82%             | 2055-09-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corp.                       | FH 781052                                              | CUSIP: 31349SEZ2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      5874 | PA      | $6016.88      | 0.00%             | 2033-11-01      | Variable      | 6.12%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                  | FN 745672                                              | CUSIP: 31403DMV8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      1238 | PA      | $1258.82      | 0.00%             | 2036-04-01      | Variable      | 5.60%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                  | FN 555111                                              | CUSIP: 31385WVC0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       167 | PA      | $166.47       | 0.00%             | 2027-09-01      | Variable      | 5.75%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                  | FNR 2024-54 FC                                         | CUSIP: 3136BSSC0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-O            | USGSE             | US        |    729733 | PA      | $733642.77    | 0.26%             | 2054-08-25      | Floating      | 4.63%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                  | FN 594238                                              | CUSIP: 31387UEK3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        35 | PA      | $34.86        | 0.00%             | 2030-12-01      | Variable      | 7.26%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                  | FN MA5531                                              | CUSIP: 31418FED5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1308761 | PA      | $1316145.30   | 0.47%             | 2054-11-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| BOARD OF TRADE OF THE CITY OF CHICAGO, INC.            | U.S. Treasury Bond Futures, Jun-2026,ETH               | CUSIP: 000000000<br>LEI: 549300EX04Q2QBFQTQ27 | N/A              | DIR              | CORP              | US        |       -27 | NC      | $102813.60    | 0.04%             |  |  |  | No            |                  1 | On Loan: No      |
| United States Treasury Notes                           | T 4.5 04/15/27                                         | CUSIP: 91282CKJ9<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  13000000 | PA      | $13100292.27  | 4.66%             | 2027-04-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                  | FN AL2642                                              | CUSIP: 3138EJ5C8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     26732 | PA      | $27618.24     | 0.01%             | 2038-01-01      | Variable      | 6.24%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corp.                       | FR RQ0057                                              | CUSIP: 3142J6B36<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   3530613 | PA      | $3600093.95   | 1.28%             | 2055-10-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corp.                       | FH 1Q1157                                              | CUSIP: 3128S5JA3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     31456 | PA      | $32308.57     | 0.01%             | 2037-06-01      | Variable      | 5.89%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                  | FN 844237                                              | CUSIP: 31407X4W8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      4612 | PA      | $4683.27      | 0.00%             | 2035-11-01      | Variable      | 5.53%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corp.                       | FH 1Q0136                                              | CUSIP: 3128S4EH6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       385 | PA      | $394.60       | 0.00%             | 2036-09-01      | Variable      | 6.31%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                  | FN 563477                                              | CUSIP: 31386G6N8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      1195 | PA      | $1203.52      | 0.00%             | 2040-11-01      | Variable      | 5.31%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association               | GNR 2011-80 FC                                         | CUSIP: 38376LRG6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-O            | USGA              | US        |   1225251 | PA      | $1212951.02   | 0.43%             | 2041-06-20      | Floating      | 4.12%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                  | FN 847787                                              | CUSIP: 31408C2U9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      2546 | PA      | $2597.81      | 0.00%             | 2035-10-01      | Variable      | 6.09%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corp.                       | FHMS KF59 A                                            | CUSIP: 3137FL6K5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-O            | USGSE             | US        |    496510 | PA      | $496679.51    | 0.18%             | 2029-02-25      | Variable      | 4.33%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corp.                       | FHMS KF75 AL                                           | CUSIP: 3137FREN7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-O            | USGSE             | US        |    832573 | PA      | $833610.97    | 0.30%             | 2029-12-26      | Variable      | 4.30%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                  | FN AL1408                                              | CUSIP: 3138EHR61<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       361 | PA      | $358.94       | 0.00%             | 2027-01-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                  | FN 190726                                              | CUSIP: 31368HYX5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     15032 | PA      | $15306.97     | 0.01%             | 2033-03-01      | Variable      | 5.70%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                  | FN 555626                                              | CUSIP: 31385XHB6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       135 | PA      | $134.63       | 0.00%             | 2033-05-01      | Variable      | 6.40%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                  | FNR 2019-47 FB                                         | CUSIP: 3136B5RR8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-O            | USGSE             | US        |    288745 | PA      | $285757.00    | 0.10%             | 2040-05-25      | Floating      | 4.18%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corp.                       | FHMS KF67 A                                            | CUSIP: 3137FNXA3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-O            | USGSE             | US        |    589077 | PA      | $589448.59    | 0.21%             | 2029-08-25      | Variable      | 4.31%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corp.                       | FHMS KF63 A                                            | CUSIP: 3137FMCW0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-O            | USGSE             | US        |    864379 | PA      | $863479.92    | 0.31%             | 2029-05-25      | Variable      | 4.23%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                  | FN 735960                                              | CUSIP: 31402RTR0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     16836 | PA      | $17303.10     | 0.01%             | 2035-09-01      | Variable      | 6.28%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corp.                       | FHMS KF137 AS                                          | CUSIP: 3137H7MK6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-O            | USGSE             | US        |   1365346 | PA      | $1359689.87   | 0.48%             | 2032-04-26      | Variable      | 4.13%                 | No            |                  2 | On Loan: No      |
| U.S. International Development Finance Corporation     | DFC 4.01 05/15/30                                      | CUSIP: 690353TK3<br>LEI: 254900QI8QTIK0FY6E92 | Long             | ABS-O            | USGA              | US        |    860000 | PA      | $852597.90    | 0.30%             | 2030-05-15      | Fixed         | 4.01%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corp.                       | FHMS KF96 AL                                           | CUSIP: 3137F8MQ3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-O            | USGSE             | US        |    601464 | PA      | $597570.81    | 0.21%             | 2030-12-26      | Variable      | 4.05%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corp.                       | FH 1B8709                                              | CUSIP: 3128UHB53<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     50216 | PA      | $51540.94     | 0.02%             | 2034-08-01      | Variable      | 6.24%                 | No            |                  2 | On Loan: No      |
| United States Treasury Notes                           | T 4.125 02/28/27                                       | CUSIP: 91282CMP3<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  10000000 | PA      | $10033548.70  | 3.57%             | 2027-02-28      | Fixed         | 4.12%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                  | FNR 2024-105 FC                                        | CUSIP: 3136BUBH2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-O            | USGSE             | US        |   1054385 | PA      | $1061945.42   | 0.38%             | 2055-01-25      | Floating      | 4.66%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTFS GTD | FHMS KF132 AS                                          | CUSIP: 3137H6LW3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-O            | USGSE             | US        |   1225189 | PA      | $1217773.73   | 0.43%             | 2032-02-25      | Variable      | 4.07%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                  | FN 894530                                              | CUSIP: 31410QY39<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      5092 | PA      | $5272.71      | 0.00%             | 2035-05-01      | Variable      | 6.13%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corp.                       | FH 840334                                              | CUSIP: 31347ALP7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    172156 | PA      | $178651.86    | 0.06%             | 2042-05-01      | Variable      | 6.32%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                  | FHMS KF80 AL                                           | CUSIP: 3137FUN59<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-O            | USGSE             | US        |    859200 | PA      | $857825.57    | 0.30%             | 2030-06-25      | Variable      | 4.23%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corp.                       | FH 781071                                              | CUSIP: 31349SFL2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     13649 | PA      | $14032.42     | 0.00%             | 2033-11-01      | Variable      | 6.28%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corp.                       | FHMS KF87 AL                                           | CUSIP: 3137FX4E5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-O            | USGSE             | US        |    597167 | PA      | $595398.50    | 0.21%             | 2030-08-26      | Variable      | 4.14%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corp.                       | FHR 5009 BH                                            | CUSIP: 3137FWB90<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-O            | USGSE             | US        |   1219510 | PA      | $974387.56    | 0.35%             | 2044-05-25      | Fixed         | 0.75%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                  | FN AL2024                                              | CUSIP: 3138EJHA9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     37273 | PA      | $38211.92     | 0.01%             | 2035-09-01      | Variable      | 6.45%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                  | FN 891326                                              | CUSIP: 31410MHB9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      1329 | PA      | $1379.84      | 0.00%             | 2036-04-01      | Variable      | 6.12%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corp.                       | FH 847309                                              | CUSIP: 3128JRDN3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      8074 | PA      | $8255.45      | 0.00%             | 2034-06-01      | Variable      | 6.17%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corp.                       | FH 1Q0059                                              | CUSIP: 3128S4B48<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      1404 | PA      | $1449.26      | 0.00%             | 2036-03-01      | Variable      | 6.32%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTFS GTD | FHMS KF40 A                                            | CUSIP: 3137FCP81<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-O            | USGSE             | US        |     72319 | PA      | $72184.29     | 0.03%             | 2027-11-25      | Variable      | 4.13%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corp.                       | FH 846759                                              | CUSIP: 3128HDQL6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       914 | PA      | $922.71       | 0.00%             | 2029-10-01      | Variable      | 6.58%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                  | FN 557072                                              | CUSIP: 31385Y2D6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     10815 | PA      | $10967.86     | 0.00%             | 2040-06-01      | Variable      | 5.31%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                  | FN AL4235                                              | CUSIP: 3138ELV59<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       524 | PA      | $521.64       | 0.00%             | 2027-01-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                  | FN 725741                                              | CUSIP: 31402DHS2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      8881 | PA      | $9038.14      | 0.00%             | 2037-02-01      | Variable      | 5.84%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                  | FN 255694                                              | CUSIP: 31371L7F0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      9006 | PA      | $9216.94      | 0.00%             | 2035-03-01      | Variable      | 5.91%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corp.                       | FH 755041                                              | CUSIP: 31349GS67<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      7956 | PA      | $7970.26      | 0.00%             | 2029-07-01      | Variable      | 5.47%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corp.                       | FH 972125                                              | CUSIP: 31336CLE1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      9976 | PA      | $10169.20     | 0.00%             | 2033-07-01      | Variable      | 5.97%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                  | FN 694703                                              | CUSIP: 31400QX81<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      3818 | PA      | $3875.15      | 0.00%             | 2033-04-01      | Variable      | 5.69%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                  | FN 805163                                              | CUSIP: 31406BQQ6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     10975 | PA      | $11305.21     | 0.00%             | 2035-01-01      | Variable      | 5.80%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                  | FN 872502                                              | CUSIP: 31409JKP4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      4685 | PA      | $4832.23      | 0.00%             | 2036-06-01      | Variable      | 6.60%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association               | G2 MB0025                                              | CUSIP: 3618N5A33<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   6390081 | PA      | $6340259.13   | 2.25%             | 2054-11-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                  | FN 555246                                              | CUSIP: 31385WZK8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      5788 | PA      | $5913.02      | 0.00%             | 2033-01-01      | Variable      | 5.78%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                  | FN 843823                                              | CUSIP: 31407XPG0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     17391 | PA      | $17664.63     | 0.01%             | 2035-11-01      | Variable      | 5.82%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corp.                       | FH 1B2073                                              | CUSIP: 3128JMFP7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     43642 | PA      | $44660.85     | 0.02%             | 2035-03-01      | Variable      | 6.67%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corp.                       | FH 781811                                              | CUSIP: 31349TAL5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      3659 | PA      | $3754.57      | 0.00%             | 2034-07-01      | Variable      | 6.25%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                  | FN 995619                                              | CUSIP: 31416CAU0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     51236 | PA      | $53017.67     | 0.02%             | 2037-09-01      | Variable      | 6.10%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corp.                       | FHMS KF61 A                                            | CUSIP: 3137FLYN8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-O            | USGSE             | US        |   1071795 | PA      | $1070737.00   | 0.38%             | 2029-03-25      | Variable      | 4.32%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corp.                       | FR ZK3318                                              | CUSIP: 3131X6VK3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      3373 | PA      | $3362.27      | 0.00%             | 2026-06-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association               | GNR 2007-20 FM                                         | CUSIP: 38375JZS7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-O            | USGA              | US        |    879931 | PA      | $868976.43    | 0.31%             | 2037-04-20      | Floating      | 4.09%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                  | FN 995606                                              | CUSIP: 31416CAF3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      8478 | PA      | $8684.30      | 0.00%             | 2036-11-01      | Variable      | 6.32%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corp.                       | FHMS KF89 AL                                           | CUSIP: 3137F62K2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-O            | USGSE             | US        |   1228913 | PA      | $1223312.66   | 0.43%             | 2030-09-25      | Variable      | 4.11%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                  | FN 665619                                              | CUSIP: 31391FPC6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        22 | PA      | $22.16        | 0.00%             | 2029-08-01      | Variable      | 6.34%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corp.                       | FR RQ0056                                              | CUSIP: 3142J6B28<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   3950117 | PA      | $3971256.76   | 1.41%             | 2055-10-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                  | FN BM1799                                              | CUSIP: 3140J57M5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    320180 | PA      | $333294.95    | 0.12%             | 2042-09-01      | Variable      | 6.47%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corp.                       | FH 1Q1781                                              | CUSIP: 3128S56S8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    413361 | PA      | $432228.21    | 0.15%             | 2036-05-01      | Variable      | 6.23%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corp.                       | FHMS KF82 AL                                           | CUSIP: 3137FV2F8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-O            | USGSE             | US        |    787633 | PA      | $785724.59    | 0.28%             | 2030-06-25      | Variable      | 4.16%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                  | FN 822302                                              | CUSIP: 31406WRX4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     24778 | PA      | $25596.62     | 0.01%             | 2035-05-01      | Variable      | 6.44%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corp.                       | FH 1L1389                                              | CUSIP: 3128Q3RJ2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     70324 | PA      | $73520.76     | 0.03%             | 2035-12-01      | Variable      | 6.46%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                  | FN AD0624                                              | CUSIP: 31418MVS8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     77968 | PA      | $79963.58     | 0.03%             | 2038-08-01      | Variable      | 6.11%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                  | FN 698947                                              | CUSIP: 31400VP89<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       174 | PA      | $173.64       | 0.00%             | 2028-03-01      | Variable      | 5.47%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                  | FN AL5107                                              | CUSIP: 3138EMU90<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    256748 | PA      | $264553.73    | 0.09%             | 2040-12-01      | Variable      | 6.14%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                  | FN 745124                                              | CUSIP: 31403CYV7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      1900 | PA      | $1937.11      | 0.00%             | 2035-11-01      | Variable      | 5.71%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corp.                       | FH 1L0123                                              | CUSIP: 3128Q2D42<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      3466 | PA      | $3611.50      | 0.00%             | 2035-03-01      | Variable      | 6.29%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                  | FN 735150                                              | CUSIP: 31402QWK3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        32 | PA      | $32.36        | 0.00%             | 2033-07-01      | Variable      | 6.30%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                  | FN 794794                                              | CUSIP: 31405N7F6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      9504 | PA      | $9639.29      | 0.00%             | 2034-10-01      | Variable      | 6.07%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                  | FN 735740                                              | CUSIP: 31402RLV9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      1870 | PA      | $1905.77      | 0.00%             | 2034-10-01      | Variable      | 6.59%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTFS GTD | FHR 5537 FC                                            | CUSIP: 3137HLBG6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-O            | USGSE             | US        |   1084027 | PA      | $1092917.83   | 0.39%             | 2055-05-25      | Floating      | 4.81%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corp.                       | FH 1Q0200                                              | CUSIP: 3128S4GH4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     14229 | PA      | $14500.70     | 0.01%             | 2036-02-01      | Variable      | 6.38%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corp.                       | FH 1Q0717                                              | CUSIP: 3128S4YN1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     22323 | PA      | $22899.01     | 0.01%             | 2037-06-01      | Variable      | 5.99%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                  | FN 843997                                              | CUSIP: 31407XUW9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      8193 | PA      | $8346.81      | 0.00%             | 2035-11-01      | Variable      | 5.75%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                  | FN 763134                                              | CUSIP: 31404AY73<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     28384 | PA      | $28995.49     | 0.01%             | 2033-12-01      | Variable      | 5.67%                 | No            |                  2 | On Loan: No      |
| BOARD OF TRADE OF THE CITY OF CHICAGO, INC.            | 2-Year T-Note Futures, Jun-2026,ETH                    | CUSIP: 000000000<br>LEI: 549300EX04Q2QBFQTQ27 | N/A              | DIR              | CORP              | US        |       225 | NC      | $-341222.85   | -0.12%            |  |  |  | No            |                  1 | On Loan: No      |
| Federal Home Loan Mortgage Corp.                       | FH 1Q0407                                              | CUSIP: 3128S4NY9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      6851 | PA      | $7017.25      | 0.00%             | 2036-01-01      | Variable      | 6.54%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corp.                       | FHMS KF84 AL                                           | CUSIP: 3137FWGC8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-O            | USGSE             | US        |    719061 | PA      | $716287.55    | 0.25%             | 2030-07-25      | Variable      | 4.09%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corp.                       | FHS 413 F23                                            | CUSIP: 3133Q3LF6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    516526 | PA      | $518896.29    | 0.18%             | 2054-05-25      | Floating      | 4.72%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association               | G2 MB0557                                              | CUSIP: 3618N5TP4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   5658369 | PA      | $5758705.16   | 2.05%             | 2055-08-20      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                  | FN AC5426                                              | CUSIP: 31417SA42<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     11379 | PA      | $11849.01     | 0.00%             | 2039-12-01      | Variable      | 5.97%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                  | FN AD0954                                              | CUSIP: 31418NBY5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     14302 | PA      | $14643.89     | 0.01%             | 2035-07-01      | Variable      | 6.32%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corp.                       | FH 1J1541                                              | CUSIP: 3128NHWA7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      1259 | PA      | $1290.57      | 0.00%             | 2037-01-01      | Variable      | 6.06%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                  | FN 879153                                              | CUSIP: 31409UWN1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      1550 | PA      | $1574.80      | 0.00%             | 2035-11-01      | Variable      | 6.07%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corp.                       | FH 1Q0830                                              | CUSIP: 3128S44P9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     47128 | PA      | $48123.73     | 0.02%             | 2035-12-01      | Variable      | 6.17%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                  | FNR 2024-8 FA                                          | CUSIP: 3136BQU49<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-O            | USGSE             | US        |    517241 | PA      | $521254.02    | 0.19%             | 2054-03-25      | Floating      | 4.71%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                  | FN 879152                                              | CUSIP: 31409UWM3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    176476 | PA      | $182915.39    | 0.07%             | 2035-11-01      | Variable      | 5.76%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                  | FN AL1651                                              | CUSIP: 3138EHZR6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     10092 | PA      | $10417.12     | 0.00%             | 2036-02-01      | Variable      | 6.18%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corp.                       | FR RQ0040                                              | CUSIP: 3142J6BJ1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   5331388 | PA      | $5361170.54   | 1.91%             | 2055-08-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corp.                       | FHMS KF70 A                                            | CUSIP: 3137FQ2Q5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-O            | USGSE             | US        |    219485 | PA      | $219286.43    | 0.08%             | 2029-09-25      | Floating      | 4.30%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corp.                       | FH 1Q0119                                              | CUSIP: 3128S4DY0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     18206 | PA      | $18822.30     | 0.01%             | 2036-09-01      | Variable      | 6.61%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                  | FN 677025                                              | CUSIP: 31391UD69<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      8462 | PA      | $8601.37      | 0.00%             | 2033-01-01      | Variable      | 5.97%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                  | FN 995639                                              | CUSIP: 31416CBG0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     47007 | PA      | $47454.96     | 0.02%             | 2035-11-01      | Variable      | 5.76%                 | No            |                  2 | On Loan: No      |
| FEDERAL FARM CREDIT BANKS FUNDING CORP                 | FR SD0043                                              | CUSIP: 3132DMBL8<br>LEI: 254900C5LP6DN9OP9V83 | Long             | ABS-MBS          | USGSE             | US        |    634641 | PA      | $608503.47    | 0.22%             | 2049-03-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                  | FNR 2017-20 JA                                         | CUSIP: 3136AV6K0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-O            | USGSE             | US        |    540539 | PA      | $529061.05    | 0.19%             | 2045-10-25      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                  | FN 555830                                              | CUSIP: 31385XPP6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        39 | PA      | $39.03        | 0.00%             | 2033-09-01      | Variable      | 5.36%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                  | FN MA5108                                              | CUSIP: 31418EVA5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1096797 | PA      | $1123875.80   | 0.40%             | 2053-08-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                  | FN AE0763                                              | CUSIP: 31419AZ59<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     84849 | PA      | $88539.73     | 0.03%             | 2041-01-01      | Variable      | 6.21%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                        | FHMS KF129 AS                                          | CUSIP: 3137H5XZ5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-O            | USGSE             | US        |    420648 | PA      | $417857.75    | 0.15%             | 2029-01-25      | Variable      | 3.93%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                  | FN 725054                                              | CUSIP: 31402CQF2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       102 | PA      | $103.87       | 0.00%             | 2039-09-01      | Variable      | 6.12%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corp.                       | FH 1Q0365                                              | CUSIP: 3128S4MN4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       506 | PA      | $521.27       | 0.00%             | 2037-06-01      | Variable      | 6.89%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                  | FNR 2016-62 FH                                         | CUSIP: 3136ATVV3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-O            | USGSE             | US        |    511429 | PA      | $507724.43    | 0.18%             | 2046-09-25      | Floating      | 4.18%                 | No            |                  2 | On Loan: No      |
| United States Treasury Notes                           | T 4.25 01/15/28                                        | CUSIP: 91282CMF5<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  10000000 | PA      | $10071875.00  | 3.58%             | 2028-01-15      | Fixed         | 4.25%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                  | FNA 2020-M42 A1                                        | CUSIP: 3136BBG30<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-O            | USGSE             | US        |    772851 | PA      | $758229.31    | 0.27%             | 2030-07-25      | Fixed         | 0.79%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                  | FN AD0415                                              | CUSIP: 31418MN99<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     26543 | PA      | $27197.67     | 0.01%             | 2037-08-01      | Variable      | 6.36%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                  | FN 888666                                              | CUSIP: 31410GJK0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       434 | PA      | $437.64       | 0.00%             | 2032-01-01      | Variable      | 6.30%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                  | FN 555255                                              | CUSIP: 31385WZU6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     12909 | PA      | $13213.16     | 0.00%             | 2040-04-01      | Variable      | 5.99%                 | No            |                  2 | On Loan: No      |
| BOARD OF TRADE OF THE CITY OF CHICAGO, INC.            | Ultra 10-Year U.S. Treasury Note Futures, Jun-2026,ETH | CUSIP: 000000000<br>LEI: 549300EX04Q2QBFQTQ27 | N/A              | DIR              | CORP              | US        |       -30 | NC      | $76835.70     | 0.03%             |  |  |  | No            |                  1 | On Loan: No      |
| Federal Home Loan Mortgage Corp.                       | FH 848749                                              | CUSIP: 31300LWJ0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     72325 | PA      | $75142.98     | 0.03%             | 2035-05-01      | Variable      | 6.39%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                  | FNR 2024-98 FA                                         | CUSIP: 3136BUCU2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-O            | USGSE             | US        |    309015 | PA      | $311246.19    | 0.11%             | 2053-12-25      | Floating      | 4.81%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                  | FN 725964                                              | CUSIP: 31402DQR4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     28511 | PA      | $29419.72     | 0.01%             | 2034-10-01      | Variable      | 6.24%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                  | FN 726778                                              | CUSIP: 31402EM39<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      2063 | PA      | $2094.79      | 0.00%             | 2033-05-01      | Variable      | 5.80%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                  | FN 821912                                              | CUSIP: 31406WDR2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     25876 | PA      | $26375.26     | 0.01%             | 2035-06-01      | Variable      | 5.99%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                  | FN BM4326                                              | CUSIP: 3140J8YY3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      3637 | PA      | $3599.41      | 0.00%             | 2031-05-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                  | FN AE0576                                              | CUSIP: 31419AUA3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    164859 | PA      | $171607.06    | 0.06%             | 2040-10-01      | Variable      | 6.54%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                  | FN 776488                                              | CUSIP: 31404RUM7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      1566 | PA      | $1605.26      | 0.00%             | 2034-03-01      | Variable      | 5.89%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corp.                       | FH 781095                                              | CUSIP: 31349SGC1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      5693 | PA      | $5836.31      | 0.00%             | 2033-11-01      | Variable      | 6.00%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corp.                       | FH 1Q0001                                              | CUSIP: 3128S4AA5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      1944 | PA      | $2000.64      | 0.00%             | 2036-01-01      | Variable      | 6.44%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                  | FN AJ4093                                              | CUSIP: 3138AVRP2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       100 | PA      | $99.16        | 0.00%             | 2026-10-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                  | FN 886891                                              | CUSIP: 31410EKC1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     12384 | PA      | $12827.24     | 0.00%             | 2036-09-01      | Variable      | 6.18%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                  | FN 995008                                              | CUSIP: 31416BKV9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     16937 | PA      | $17448.60     | 0.01%             | 2036-10-01      | Variable      | 6.15%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                  | FN 544859                                              | CUSIP: 31385HJC7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       264 | PA      | $263.47       | 0.00%             | 2029-08-01      | Variable      | 4.48%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                  | FN 788181                                              | CUSIP: 31405FUE0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      5311 | PA      | $5490.72      | 0.00%             | 2034-10-01      | Variable      | 6.43%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                  | FN AD0547                                              | CUSIP: 31418MTD4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     12079 | PA      | $12528.50     | 0.00%             | 2037-08-01      | Variable      | 6.64%                 | No            |                  2 | On Loan: No      |
| Export-Import Bank of the United States                | EXMIMB 2.628 11/12/26                                  | CUSIP: 302155BA3<br>LEI: 549300NMMHVYCBECJ059 | Long             | DBT              | USGA              | US        |    215624 | PA      | $214227.58    | 0.08%             | 2026-11-12      | Fixed         | 2.63%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corp.                       | FH 847549                                              | CUSIP: 3128JRL61<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     14782 | PA      | $15328.89     | 0.01%             | 2035-03-01      | Variable      | 6.23%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corp.                       | FH 1B3954                                              | CUSIP: 3128JPH86<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      1868 | PA      | $1918.73      | 0.00%             | 2035-07-01      | Variable      | 6.40%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                  | FN 816362                                              | CUSIP: 31406P5X3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     23792 | PA      | $24219.20     | 0.01%             | 2035-01-01      | Variable      | 5.78%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corp.                       | FH 849414                                              | CUSIP: 31300MN74<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    103324 | PA      | $107364.18    | 0.04%             | 2035-07-01      | Variable      | 6.29%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                  | FN AL6808                                              | CUSIP: 3138EPR63<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     86787 | PA      | $88922.99     | 0.03%             | 2040-04-01      | Variable      | 6.07%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                  | FN 822262                                              | CUSIP: 31406WQP2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     28153 | PA      | $28717.17     | 0.01%             | 2035-03-01      | Variable      | 5.70%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corp.                       | FH 1G1471                                              | CUSIP: 3128QJT48<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      2916 | PA      | $3011.28      | 0.00%             | 2037-01-01      | Variable      | 5.91%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                  | FN 823717                                              | CUSIP: 31406YDW7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     34081 | PA      | $35034.24     | 0.01%             | 2035-05-01      | Variable      | 6.89%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corp.                       | FH 972130                                              | CUSIP: 31336CLK7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      5411 | PA      | $5550.31      | 0.00%             | 2033-10-01      | Variable      | 6.30%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                  | FN 830605                                              | CUSIP: 31407GYA0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      4618 | PA      | $4759.02      | 0.00%             | 2035-06-01      | Variable      | 5.85%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corp.                       | FHMS KF30 A                                            | CUSIP: 3137BXR53<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-O            | USGSE             | US        |     15123 | PA      | $15118.00     | 0.01%             | 2027-03-25      | Floating      | 4.15%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                  | FN AL4250                                              | CUSIP: 3138ELWL3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     18027 | PA      | $18559.23     | 0.01%             | 2039-09-01      | Variable      | 6.11%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corp.                       | FH 840785                                              | CUSIP: 31347A2S2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    225576 | PA      | $234181.63    | 0.08%             | 2038-01-01      | Variable      | 6.13%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                  | FN MA4941                                              | CUSIP: 31418EP38<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   5309880 | PA      | $5358495.73   | 1.90%             | 2053-03-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                  | FN AL5552                                              | CUSIP: 3138ENE21<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     80939 | PA      | $84257.07     | 0.03%             | 2040-12-01      | Variable      | 6.24%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTFS GTD | FHMS KF160 AS                                          | CUSIP: 3137HBBP8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-O            | USGSE             | US        |    685664 | PA      | $687156.73    | 0.24%             | 2030-10-25      | Variable      | 4.38%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                  | FN AB3674                                              | CUSIP: 31417ACL1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       306 | PA      | $304.97       | 0.00%             | 2026-10-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                  | FN 695016                                              | CUSIP: 31400RDV0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     23452 | PA      | $23755.56     | 0.01%             | 2033-02-01      | Variable      | 5.67%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                  | FN MA5793                                              | CUSIP: 31418FNK9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   3785882 | PA      | $3861274.48   | 1.37%             | 2055-08-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                  | FN 745769                                              | CUSIP: 31403DQW2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     15146 | PA      | $15526.33     | 0.01%             | 2036-07-01      | Variable      | 6.43%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                  | FN 735825                                              | CUSIP: 31402RPJ2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     12605 | PA      | $12913.27     | 0.00%             | 2035-07-01      | Variable      | 6.23%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                  | FN 898756                                              | CUSIP: 31410VQH6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     36566 | PA      | $37347.62     | 0.01%             | 2034-06-01      | Variable      | 5.84%                 | No            |                  2 | On Loan: No      |
| Institutional Fidu                                     | Institutional Fidu US GOVT MNY MRKT                    | CUSIP: 457756500<br>LEI: 549300DHQLI8W1JIXY85 | Long             | STIV             | RF                | US        |  24236016 | NS      | $24236016.06  | 8.62%             |  |  |  | No            |                  1 | On Loan: No      |
| Federal Home Loan Mortgage Corp.                       | FH 1Q0677                                              | CUSIP: 3128S4XE2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      8086 | PA      | $8285.53      | 0.00%             | 2036-09-01      | Variable      | 6.84%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                  | FN 847988                                              | CUSIP: 31408DCZ5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     10022 | PA      | $10388.00     | 0.00%             | 2035-12-01      | Variable      | 6.07%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corp.                       | FH 1L1252                                              | CUSIP: 3128Q3L90<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     14953 | PA      | $15619.02     | 0.01%             | 2036-02-01      | Variable      | 5.88%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTFS GTD | FHMS KF164 AS                                          | CUSIP: 3137HHUV1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-O            | USGSE             | US        |   1718119 | PA      | $1717725.15   | 0.61%             | 2034-10-25      | Variable      | 4.25%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corp.                       | FHR 3736 FN                                            | CUSIP: 3137GAK55<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-O            | USGSE             | US        |    770781 | PA      | $764334.40    | 0.27%             | 2040-10-15      | Floating      | 4.24%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                  | FN 725320                                              | CUSIP: 31402CYR7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      1164 | PA      | $1191.29      | 0.00%             | 2039-08-01      | Variable      | 6.28%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corp.                       | FH 848601                                              | CUSIP: 31300LRW7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     22857 | PA      | $23396.03     | 0.01%             | 2038-10-01      | Variable      | 5.91%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                  | FN 735202                                              | CUSIP: 31402QX71<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     39919 | PA      | $40694.66     | 0.01%             | 2034-12-01      | Variable      | 6.25%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                  | FN 888519                                              | CUSIP: 31410GDY6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      3673 | PA      | $3756.35      | 0.00%             | 2035-01-01      | Variable      | 5.93%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corp.                       | FHMS KF57 A                                            | CUSIP: 3137FKWZ5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-O            | USGSE             | US        |    542185 | PA      | $541754.39    | 0.19%             | 2028-12-25      | Variable      | 4.33%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                  | FNR 2018-70 HF                                         | CUSIP: 3136B3BB5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-O            | USGSE             | US        |   1026105 | PA      | $1004540.53   | 0.36%             | 2058-10-25      | Floating      | 4.13%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corp.                       | FH 1H2623                                              | CUSIP: 3128QLSL6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     12081 | PA      | $12634.77     | 0.00%             | 2036-07-01      | Variable      | 6.25%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corp.                       | FH 1B1665                                              | CUSIP: 3128JLW39<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      2156 | PA      | $2196.99      | 0.00%             | 2034-04-01      | Variable      | 6.75%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                  | FHMS KF77 AL                                           | CUSIP: 3137FRYZ8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-O            | USGSE             | US        |    584108 | PA      | $584596.83    | 0.21%             | 2027-02-25      | Variable      | 4.49%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                  | FN MA5073                                              | CUSIP: 31418ET75<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1203924 | PA      | $1234695.48   | 0.44%             | 2053-07-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                        | FHMS KF130 AS                                          | CUSIP: 3137H5Y35<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-O            | USGSE             | US        |   2057949 | PA      | $2046686.64   | 0.73%             | 2029-01-25      | Variable      | 3.97%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                  | FN 735440                                              | CUSIP: 31402RBH1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      1198 | PA      | $1229.42      | 0.00%             | 2034-11-01      | Variable      | 6.39%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                  | FN MA5552                                              | CUSIP: 31418FE29<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   4514017 | PA      | $4457746.10   | 1.58%             | 2054-12-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                  | FN 555984                                              | CUSIP: 31385XUH8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      2019 | PA      | $2066.98      | 0.00%             | 2038-03-01      | Variable      | 6.26%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corp.                       | FH 848819                                              | CUSIP: 31300LYQ2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     97971 | PA      | $101471.32    | 0.04%             | 2036-03-01      | Variable      | 6.57%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                  | FN 880366                                              | CUSIP: 31409WCB5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     65929 | PA      | $67059.15     | 0.02%             | 2036-02-01      | Variable      | 5.79%                 | No            |                  2 | On Loan: No      |
| United States Treasury Notes                           | T 4.375 07/15/27                                       | CUSIP: 91282CKZ3<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  10000000 | PA      | $10069531.20  | 3.58%             | 2027-07-15      | Fixed         | 4.38%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corp.                       | FR RQ0050                                              | CUSIP: 3142J6BU6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   2098639 | PA      | $2140915.08   | 0.76%             | 2055-09-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                  | FN 745676                                              | CUSIP: 31403DMZ9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      5392 | PA      | $5525.07      | 0.00%             | 2036-05-01      | Variable      | 5.84%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                  | FN BM6238                                              | CUSIP: 3140JA4Y1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    568777 | PA      | $591060.82    | 0.21%             | 2042-07-01      | Variable      | 6.30%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corp.                       | FHMS KF43 A                                            | CUSIP: 3137FEJN1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-O            | USGSE             | US        |    314323 | PA      | $312857.22    | 0.11%             | 2028-01-25      | Variable      | 4.03%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                  | FN AE2759                                              | CUSIP: 31419DB59<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       391 | PA      | $389.97       | 0.00%             | 2026-08-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                  | FN 804852                                              | CUSIP: 31406BEZ9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      3716 | PA      | $3798.65      | 0.00%             | 2034-12-01      | Variable      | 5.92%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                  | FN AL0846                                              | CUSIP: 3138EG5G5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        56 | PA      | $55.55        | 0.00%             | 2026-10-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                  | FN 895834                                              | CUSIP: 31410SHK6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      2405 | PA      | $2458.14      | 0.00%             | 2036-04-01      | Variable      | 5.82%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corp.                       | FH 1H2581                                              | CUSIP: 3128QLRA1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      4512 | PA      | $4712.48      | 0.00%             | 2036-01-01      | Variable      | 5.93%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corp.                       | FH 782877                                              | CUSIP: 31349UFS2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     11235 | PA      | $11561.33     | 0.00%             | 2034-11-01      | Variable      | 5.88%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corp.                       | FH 847941                                              | CUSIP: 3128JRZE9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     15974 | PA      | $16094.71     | 0.01%             | 2029-09-01      | Variable      | 6.20%                 | No            |                  2 | On Loan: No      |
| United States Treasury Notes                           | T 4.25 12/31/26                                        | CUSIP: 91282CME8<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  10000000 | PA      | $10035813.10  | 3.57%             | 2026-12-31      | Fixed         | 4.25%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                  | FN AL0505                                              | CUSIP: 3138EGR30<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     58346 | PA      | $60130.57     | 0.02%             | 2035-11-01      | Variable      | 6.23%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                  | FN 745761                                              | CUSIP: 31403DQN2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     23419 | PA      | $24115.93     | 0.01%             | 2036-08-01      | Variable      | 6.45%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corp.                       | FHMS KF78 AL                                           | CUSIP: 3137FRZ61<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-O            | USGSE             | US        |    896842 | PA      | $900251.05    | 0.32%             | 2030-03-25      | Variable      | 4.59%                 | No            |                  2 | On Loan: No      |
| BOARD OF TRADE OF THE CITY OF CHICAGO, INC.            | 5-Year T-Note Futures, Jun-2026,ETH                    | CUSIP: 000000000<br>LEI: 549300EX04Q2QBFQTQ27 | N/A              | DIR              | CORP              | US        |        40 | NC      | $-56294.80    | -0.02%            |  |  |  | No            |                  1 | On Loan: No      |
| FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTFS GTD | FHMS KF163 AS                                          | CUSIP: 3137HDPJ3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-O            | USGSE             | US        |    969615 | PA      | $975584.58    | 0.35%             | 2034-04-25      | Variable      | 4.26%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                  | FN 555717                                              | CUSIP: 31385XK63<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      1404 | PA      | $1431.02      | 0.00%             | 2033-08-01      | Variable      | 5.49%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                  | FN AL9540                                              | CUSIP: 3138ERS68<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     64541 | PA      | $66242.74     | 0.02%             | 2038-07-01      | Variable      | 6.06%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corp.                       | FR RQ0027                                              | CUSIP: 3142J6A52<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   6347376 | PA      | $6382833.47   | 2.27%             | 2055-07-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                  | FN 813184                                              | CUSIP: 31406LM96<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      2824 | PA      | $2911.55      | 0.00%             | 2034-11-01      | Variable      | 6.18%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTFS GTD | FHR 5568 FG                                            | CUSIP: 3137HMN89<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-O            | USGSE             | US        |   1078936 | PA      | $1085651.69   | 0.39%             | 2055-08-25      | Floating      | 4.76%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                  | FN 745626                                              | CUSIP: 31403DLF4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     12934 | PA      | $13301.91     | 0.00%             | 2036-05-01      | Variable      | 6.18%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                  | FN 832099                                              | CUSIP: 31407JNQ1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      3415 | PA      | $3494.72      | 0.00%             | 2035-07-01      | Variable      | 6.17%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                  | FN 555995                                              | CUSIP: 31385XUU9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       135 | PA      | $134.76       | 0.00%             | 2033-11-01      | Variable      | 5.22%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                  | FN AE0350                                              | CUSIP: 31419AL88<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     25151 | PA      | $26234.36     | 0.01%             | 2040-09-01      | Variable      | 6.54%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                  | FNR 2025-55 FG                                         | CUSIP: 3136BWSC1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-O            | USGSE             | US        |   1086322 | PA      | $1092955.29   | 0.39%             | 2055-07-25      | Floating      | 4.76%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                  | FNR 2025-59 FD                                         | CUSIP: 3136BWY59<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-O            | USGSE             | US        |   1148222 | PA      | $1155952.58   | 0.41%             | 2055-08-25      | Floating      | 4.76%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                  | FN 872236                                              | CUSIP: 31409JBD1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     23075 | PA      | $23800.68     | 0.01%             | 2036-05-01      | Variable      | 6.19%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                  | FN AL2641                                              | CUSIP: 3138EJ5B0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     17361 | PA      | $17801.33     | 0.01%             | 2040-12-01      | Variable      | 6.05%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                  | FN 844052                                              | CUSIP: 31407XWM9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      4558 | PA      | $4621.59      | 0.00%             | 2035-11-01      | Variable      | 5.75%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corp.                       | FHMS KF85 AL                                           | CUSIP: 3137FWHP8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-O            | USGSE             | US        |     53508 | PA      | $53297.88     | 0.02%             | 2030-08-26      | Variable      | 4.09%                 | No            |                  2 | On Loan: No      |
| United States Treasury Notes                           | T 4.125 07/31/28                                       | CUSIP: 91282CHQ7<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  10000000 | PA      | $10070117.20  | 3.58%             | 2028-07-31      | Fixed         | 4.12%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                  | FN 773281                                              | CUSIP: 31404NCS3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       243 | PA      | $246.45       | 0.00%             | 2035-03-01      | Variable      | 5.88%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corp.                       | FH 848727                                              | CUSIP: 31300LVU6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      6855 | PA      | $7034.00      | 0.00%             | 2037-01-01      | Variable      | 6.38%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                  | FN 851282                                              | CUSIP: 31408GXK8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     62425 | PA      | $64009.75     | 0.02%             | 2035-11-01      | Variable      | 5.84%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corp.                       | FHR 4952 PD                                            | CUSIP: 3137FR4D0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-O            | USGSE             | US        |    741164 | PA      | $621361.69    | 0.22%             | 2050-02-25      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                  | FN 746320                                              | CUSIP: 31403EDZ7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       649 | PA      | $676.34       | 0.00%             | 2033-10-01      | Variable      | 6.38%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corp.                       | FHMS KF56 A                                            | CUSIP: 3137FKQL3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-O            | USGSE             | US        |    425287 | PA      | $425370.30    | 0.15%             | 2028-11-25      | Variable      | 4.35%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                  | FN 888184                                              | CUSIP: 31410FXM2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     16195 | PA      | $16663.35     | 0.01%             | 2037-01-01      | Variable      | 6.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                  | FN 849088                                              | CUSIP: 31408EJ94<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     10955 | PA      | $11132.81     | 0.00%             | 2035-11-01      | Variable      | 5.90%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                  | FN 773209                                              | CUSIP: 31404NAJ5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      1509 | PA      | $1553.90      | 0.00%             | 2034-12-01      | Variable      | 5.91%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                  | FN 809866                                              | CUSIP: 31406GW39<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      4393 | PA      | $4472.02      | 0.00%             | 2035-02-01      | Variable      | 5.88%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                  | FN 810896                                              | CUSIP: 31406H3D7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       957 | PA      | $994.60       | 0.00%             | 2035-01-01      | Variable      | 5.87%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                  | FN AW7396                                              | CUSIP: 3138XXGE0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      7482 | PA      | $7448.15      | 0.00%             | 2027-01-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corp.                       | FR SD8493                                              | CUSIP: 3132DWNJ8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   2149733 | PA      | $2161752.75   | 0.77%             | 2054-12-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corp.                       | FHMS KF64 A                                            | CUSIP: 3137FMUT7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-O            | USGSE             | US        |    296045 | PA      | $296011.38    | 0.11%             | 2026-06-25      | Variable      | 4.23%                 | No            |                  2 | On Loan: No      |
| United States Treasury Notes                           | T 4.875 04/30/26                                       | CUSIP: 91282CKK6<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  17700000 | PA      | $17715651.23  | 6.30%             | 2026-04-30      | Fixed         | 4.88%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corp.                       | FHMS KF139 AS                                          | CUSIP: 3137H8AR2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-O            | USGSE             | US        |   1928099 | PA      | $1927158.51   | 0.69%             | 2032-06-25      | Variable      | 4.22%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corp.                       | FHMS KF86 AL                                           | CUSIP: 3137FXLS5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-O            | USGSE             | US        |    622627 | PA      | $621833.56    | 0.22%             | 2027-08-25      | Variable      | 4.08%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association               | G2 MB0426                                              | CUSIP: 3618N5PL7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   4123268 | PA      | $4287893.48   | 1.52%             | 2055-06-20      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corp.                       | FH 1G0083                                              | CUSIP: 3128NCCU6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     53153 | PA      | $54492.79     | 0.02%             | 2035-03-01      | Variable      | 5.54%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corp.                       | FH 1Q1657                                              | CUSIP: 3128S5ZW7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    211728 | PA      | $220633.52    | 0.08%             | 2037-09-01      | Variable      | 6.29%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corp.                       | FHMS KF79 AL                                           | CUSIP: 3137FTZZ3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-O            | USGSE             | US        |    663334 | PA      | $662775.18    | 0.24%             | 2030-05-28      | Variable      | 4.26%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                  | FN 829317                                              | CUSIP: 31407FK66<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     33717 | PA      | $34783.40     | 0.01%             | 2035-09-01      | Variable      | 6.26%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                  | FN 705712                                              | CUSIP: 31401EAM1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     12952 | PA      | $13344.26     | 0.00%             | 2033-05-01      | Variable      | 6.29%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                  | FN 813641                                              | CUSIP: 31406L5A2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      5851 | PA      | $6024.81      | 0.00%             | 2036-05-01      | Variable      | 6.31%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                  | FN 815639                                              | CUSIP: 31406PEL9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     10904 | PA      | $11237.50     | 0.00%             | 2035-06-01      | Variable      | 6.22%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                  | FHMS K-F112 AS                                         | CUSIP: 3137H0H92<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-O            | USGSE             | US        |    496519 | PA      | $491860.81    | 0.17%             | 2031-04-25      | Variable      | 3.91%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corp.                       | FH 972164                                              | CUSIP: 31336CMM2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      3048 | PA      | $3133.66      | 0.00%             | 2035-01-01      | Variable      | 6.23%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                  | FN 834931                                              | CUSIP: 31407MSU0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      2298 | PA      | $2344.53      | 0.00%             | 2035-07-01      | Variable      | 5.78%                 | No            |                  2 | On Loan: No      |
| United States Treasury Notes                           | T 4 12/15/27                                           | CUSIP: 91282CMB4<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  10000000 | PA      | $10028125.00  | 3.56%             | 2027-12-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                  | FHMS KF99 AS                                           | CUSIP: 3137F9Z46<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-O            | USGSE             | US        |    943696 | PA      | $932147.61    | 0.33%             | 2030-12-26      | Variable      | 3.88%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                  | FN 534985                                              | CUSIP: 31384VJ60<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        55 | PA      | $55.16        | 0.00%             | 2028-07-01      | Variable      | 6.45%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                  | FN AL7466                                              | CUSIP: 3138EQJL7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     99498 | PA      | $102382.11    | 0.04%             | 2042-03-01      | Variable      | 6.23%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                  | FN 65581                                               | CUSIP: 31362M2N7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      3873 | PA      | $3841.73      | 0.00%             | 2028-08-01      | Variable      | 4.38%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                  | FN 888757                                              | CUSIP: 31410GME0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       237 | PA      | $244.98       | 0.00%             | 2037-09-01      | Variable      | 6.59%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corp.                       | FH 1G0233                                              | CUSIP: 3128NCHJ6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       442 | PA      | $452.88       | 0.00%             | 2035-05-01      | Variable      | 6.76%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association               | G2 MB0307                                              | CUSIP: 3618N5KV0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   2062930 | PA      | $2046581.86   | 0.73%             | 2055-04-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                  | FN 827782                                              | CUSIP: 31407DUF0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       465 | PA      | $473.46       | 0.00%             | 2035-05-01      | Variable      | 5.80%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corp.                       | FHMS KF138 AS                                          | CUSIP: 3137H7Z89<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-O            | USGSE             | US        |   1879208 | PA      | $1871321.52   | 0.67%             | 2032-06-25      | Variable      | 4.16%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                  | FN 751928                                              | CUSIP: 31403LLH2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     14019 | PA      | $14299.86     | 0.01%             | 2033-10-01      | Variable      | 6.25%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corp.                       | FH 846965                                              | CUSIP: 3128HDW21<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |        60 | PA      | $60.63        | 0.00%             | 2030-09-01      | Variable      | 6.54%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                  | FN MA5761                                              | CUSIP: 31418FMK0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1886765 | PA      | $1924337.93   | 0.68%             | 2055-07-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corp.                       | FH 849517                                              | CUSIP: 31300MSE4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    465495 | PA      | $484610.17    | 0.17%             | 2036-09-01      | Variable      | 6.24%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                  | FN MA1034                                              | CUSIP: 31418AEG9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      7111 | PA      | $7072.62      | 0.00%             | 2027-04-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corp.                       | FH 848452                                              | CUSIP: 31300LL94<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     13349 | PA      | $13687.41     | 0.00%             | 2037-07-01      | Variable      | 6.24%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                  | FN 676604                                              | CUSIP: 31391TU55<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       668 | PA      | $682.09       | 0.00%             | 2032-12-01      | Variable      | 6.02%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                  | FN 773246                                              | CUSIP: 31404NBP0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      3477 | PA      | $3589.18      | 0.00%             | 2035-02-01      | Variable      | 5.87%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corp.                       | FH 840792                                              | CUSIP: 31347A2Z6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    171168 | PA      | $178600.85    | 0.06%             | 2042-11-01      | Variable      | 6.46%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                  | FN 828480                                              | CUSIP: 31407EM59<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      4592 | PA      | $4718.43      | 0.00%             | 2035-06-01      | Variable      | 6.39%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corp.                       | FH 780927                                              | CUSIP: 31349SA45<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     39556 | PA      | $40712.34     | 0.01%             | 2033-10-01      | Variable      | 6.28%                 | No            |                  2 | On Loan: No      |
| United States Treasury Notes                           | T 4.25 11/30/26                                        | CUSIP: 91282CLY5<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   5000000 | PA      | $5016977.30   | 1.78%             | 2026-11-30      | Fixed         | 4.25%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corp.                       | FHMS KF65 A                                            | CUSIP: 3137FNAS9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-O            | USGSE             | US        |    458887 | PA      | $458715.96    | 0.16%             | 2029-07-25      | Variable      | 4.31%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                  | FNR 2024-33 KF                                         | CUSIP: 3136BSFC4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-O            | USGSE             | US        |    446121 | PA      | $448563.52    | 0.16%             | 2054-01-25      | Floating      | 4.61%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corp.                       | FH 847606                                              | CUSIP: 3128JRNX0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      2496 | PA      | $2565.72      | 0.00%             | 2036-09-01      | Variable      | 6.59%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corp.                       | FH 781804                                              | CUSIP: 31349TAD3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     46883 | PA      | $48340.29     | 0.02%             | 2034-07-01      | Variable      | 6.25%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                  | FN 881670                                              | CUSIP: 31409XQX0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      1065 | PA      | $1104.44      | 0.00%             | 2036-03-01      | Variable      | 5.97%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                  | FN 888676                                              | CUSIP: 31410GJV6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       863 | PA      | $874.40       | 0.00%             | 2033-09-01      | Variable      | 6.17%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                  | FN 783576                                              | CUSIP: 31405AQ55<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     23020 | PA      | $23998.17     | 0.01%             | 2034-12-01      | Variable      | 5.83%                 | No            |                  2 | On Loan: No      |
| United States Treasury Notes                           | T 4.125 01/31/27                                       | CUSIP: 91282CMH1<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  10000000 | PA      | $10031676.50  | 3.57%             | 2027-01-31      | Fixed         | 4.12%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corp.                       | FH 1B7203                                              | CUSIP: 3128QPMB5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       971 | PA      | $998.92       | 0.00%             | 2036-08-01      | Variable      | 6.53%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                  | FN 806556                                              | CUSIP: 31406DBZ8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     11749 | PA      | $12084.63     | 0.00%             | 2035-02-01      | Variable      | 5.82%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corp.                       | FH 1G2403                                              | CUSIP: 3128QSU46<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     13828 | PA      | $14231.96     | 0.01%             | 2038-01-01      | Variable      | 5.96%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                  | FN 804962                                              | CUSIP: 31406BJF8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      5438 | PA      | $5597.86      | 0.00%             | 2035-01-01      | Variable      | 5.85%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corp.                       | FH 783022                                              | CUSIP: 31349ULB2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      8411 | PA      | $8762.69      | 0.00%             | 2035-02-01      | Variable      | 5.88%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                  | FN 844214                                              | CUSIP: 31407X3X7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     12713 | PA      | $12900.06     | 0.00%             | 2035-11-01      | Variable      | 5.64%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corp.                       | FH 782837                                              | CUSIP: 31349UEJ3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     10506 | PA      | $10837.98     | 0.00%             | 2034-11-01      | Variable      | 5.89%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                  | FNR 2019-38 CF                                         | CUSIP: 3136B5EY7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-O            | USGSE             | US        |   1269829 | PA      | $1247546.02   | 0.44%             | 2049-07-25      | Floating      | 4.23%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                  | FN BM6247                                              | CUSIP: 3140JA5H7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    749905 | PA      | $787046.53    | 0.28%             | 2044-08-01      | Variable      | 6.33%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                  | FN AL4666                                              | CUSIP: 3138EMFG1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     40259 | PA      | $41450.06     | 0.01%             | 2037-05-01      | Variable      | 6.61%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                  | FN AI6653                                              | CUSIP: 3138ALMB0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      1464 | PA      | $1458.82      | 0.00%             | 2026-08-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                  | FN 894571                                              | CUSIP: 31410Q2C4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      7511 | PA      | $7856.83      | 0.00%             | 2036-03-01      | Variable      | 6.68%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corp.                       | FH 840950                                              | CUSIP: 31288QBT6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    496360 | PA      | $517101.47    | 0.18%             | 2043-07-01      | Variable      | 6.47%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                  | FN AL5548                                              | CUSIP: 3138ENEW5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    390204 | PA      | $405760.71    | 0.14%             | 2038-05-01      | Variable      | 6.38%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corp.                       | FHMS KF83 AL                                           | CUSIP: 3137FVNB4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-O            | USGSE             | US        |    406417 | PA      | $405723.26    | 0.14%             | 2030-06-25      | Variable      | 4.15%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                  | FNR 2013-3 BQ                                          | CUSIP: 3136ABXB4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-O            | USGSE             | US        |    748334 | PA      | $660087.34    | 0.23%             | 2043-01-25      | Fixed         | 1.75%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corp.                       | FH 1G1678                                              | CUSIP: 3128QJ2K1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     11465 | PA      | $11793.52     | 0.00%             | 2037-04-01      | Variable      | 6.76%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                  | FN AL3234                                              | CUSIP: 3138EKSY2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     10545 | PA      | $11019.26     | 0.00%             | 2037-12-01      | Variable      | 5.96%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corp.                       | FH 1Q0398                                              | CUSIP: 3128S4NP8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      5073 | PA      | $5239.54      | 0.00%             | 2036-11-01      | Variable      | 6.13%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corp.                       | FH 1G2603                                              | CUSIP: 3128QS3L8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      2712 | PA      | $2782.96      | 0.00%             | 2036-10-01      | Variable      | 6.36%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                  | FN 821129                                              | CUSIP: 31406VHE9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      8069 | PA      | $8345.97      | 0.00%             | 2035-05-01      | Variable      | 6.51%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                  | FN 816308                                              | CUSIP: 31406P3R8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      7505 | PA      | $7748.52      | 0.00%             | 2035-02-01      | Variable      | 5.86%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                  | FNR 2016-75 FC                                         | CUSIP: 3136AT2C7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-O            | USGSE             | US        |    442755 | PA      | $439505.93    | 0.16%             | 2046-10-25      | Floating      | 4.18%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTFS GTD | FHMS KF48 A                                            | CUSIP: 3137FGRL1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-O            | USGSE             | US        |    212506 | PA      | $211604.75    | 0.08%             | 2028-06-25      | Variable      | 4.08%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corp.                       | FH 1J1279                                              | CUSIP: 3128NHM42<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     27550 | PA      | $28364.95     | 0.01%             | 2036-04-01      | Variable      | 5.97%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                  | FN 735813                                              | CUSIP: 31402RN62<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      2233 | PA      | $2291.42      | 0.00%             | 2035-07-01      | Variable      | 6.21%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corp.                       | FH 847998                                              | CUSIP: 3128JR3F1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     22261 | PA      | $22731.53     | 0.01%             | 2035-09-01      | Variable      | 6.36%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                  | FN 836464                                              | CUSIP: 31407PJH2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    106021 | PA      | $108812.42    | 0.04%             | 2035-10-01      | Variable      | 6.01%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTFS GTD | FHR 5517 FH                                            | CUSIP: 3137HKGL2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-O            | USGSE             | US        |    848176 | PA      | $854808.95    | 0.30%             | 2055-03-25      | Floating      | 4.81%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corp.                       | FH 786281                                              | CUSIP: 31348S6S8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |        84 | PA      | $84.29        | 0.00%             | 2028-01-01      | Variable      | 6.34%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corp.                       | FH 1H2542                                              | CUSIP: 3128QLP39<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     29602 | PA      | $30949.17     | 0.01%             | 2035-10-01      | Variable      | 6.29%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                  | FN 770191                                              | CUSIP: 31404JUQ6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     35634 | PA      | $36498.61     | 0.01%             | 2034-03-01      | Variable      | 6.43%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                  | FN 844148                                              | CUSIP: 31407XZM6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      7228 | PA      | $7315.47      | 0.00%             | 2035-11-01      | Variable      | 5.82%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                  | FN AL2817                                              | CUSIP: 3138EKDX0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     40245 | PA      | $41200.60     | 0.01%             | 2036-11-01      | Variable      | 6.37%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                  | FN 781431                                              | CUSIP: 31404XEC4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      3148 | PA      | $3217.89      | 0.00%             | 2034-09-01      | Variable      | 6.13%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                  | FN 735645                                              | CUSIP: 31402RHW2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     17360 | PA      | $17804.03     | 0.01%             | 2034-04-01      | Variable      | 6.25%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                  | FN 836852                                              | CUSIP: 31407PWM6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     35106 | PA      | $35488.67     | 0.01%             | 2035-10-01      | Variable      | 5.85%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association               | GNR 2010-12 FD                                         | CUSIP: 38376TAF9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-O            | USGA              | US        |    690755 | PA      | $690899.93    | 0.25%             | 2040-01-16      | Floating      | 4.39%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                  | FN MA5139                                              | CUSIP: 31418EV98<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   5428910 | PA      | $5550649.93   | 1.97%             | 2053-09-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corp.                       | FH 972126                                              | CUSIP: 31336CLF8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      3773 | PA      | $3832.31      | 0.00%             | 2033-08-01      | Variable      | 5.97%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                  | FN 735361                                              | CUSIP: 31402Q5W7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     19812 | PA      | $20391.14     | 0.01%             | 2035-01-01      | Variable      | 6.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                  | FNMA-30YR                                              | CUSIP: 01F052649<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   5000000 | PA      | $5023810.80   | 1.79%             | 2056-04-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                  | FN 68526                                               | CUSIP: 31362RD79<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        17 | PA      | $17.08        | 0.00%             | 2027-10-01      | Variable      | 4.08%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corp.                       | FH 780903                                              | CUSIP: 31349SAC7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      1429 | PA      | $1464.48      | 0.00%             | 2033-09-01      | Variable      | 6.38%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                  | FN AL7246                                              | CUSIP: 3138EQBQ4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     37038 | PA      | $38585.05     | 0.01%             | 2036-08-01      | Variable      | 6.26%                 | No            |                  2 | On Loan: No      |

### Signature

**Date Signed:** 2026-05-21

**Name of Applicant:** Franklin ETF Trust

**Signature:** Monica Krogh

**Name of Signer:** Monica Krogh

**Title:** Assistant Treasurer Controller, US Fund Administration and Oversight