# EDGAR Filing Document

**Accession Number:** 0000809707
**File Stem:** 0002071691-26-007559
**Filing Date:** 2026-3
**Character Count:** 528203
**Document Hash:** f9846c7fafc0ee4ee9861b168f7c80bc
**Contains OCR:** False
**Source Format:** 

## Filing Content

## Filing Summary
**0002071691-26-007559.hdr.sgml**: 20260327

**ACCESSION NUMBER**: 0002071691-26-007559

**CONFORMED SUBMISSION TYPE**: NPORT-P

**PUBLIC DOCUMENT COUNT**: 2

**CONFORMED PERIOD OF REPORT**: 20260131

**FILED AS OF DATE**: 20260327

**DATE AS OF CHANGE**: 20260327

**PERIOD START**: 20261031

**FILER**: 

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

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

**FILING VALUES:**
- **FORM TYPE:** NPORT-P
- **SEC ACT:** 1940 Act
- **SEC FILE NUMBER:** 811-04986
- **FILM NUMBER:** 26805959

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

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

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

## Series and Classes Contracts Data

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

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

## Form NPORT-P: Monthly Portfolio Investments Report

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

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

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

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

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

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

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

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

  - **City:** San Mateo

  - **State:** CA

  - **Foreign country:** US

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

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

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

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

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

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

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

- **a. Date of fiscal year-end:** 2026-10-31

- **b. Date as of which information is reported:** 2026-01-31

**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:** $381355584.15

**Total Liabilities:** $1656355.30

**Net Assets:** $379699228.85

**Cash Not Reported:** $10735120.69

**Currency Risk Metrics (dv01):**

- 

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

- **3-Month:** -461.27000000 | **1-Year:** -7696.46000000 | **5-Year:** -5443.30000000 | **10-Year:** -44411.85000000 | **30-Year:** -20715.13000000

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

- **3-Month:** 0.00000000 | **1-Year:** -15749.56000000 | **5-Year:** -6590.26000000 | **10-Year:** 1781.37000000 | **30-Year:** -8710.65000000

**Monthly Return Information**

| Class               | Month 1 Return (%)   | Month 2 Return (%)   | Month 3 Return (%)   |
|:---|:---|:---|:---|
| Class ID C000064441 | 0.49%                | 0.53%                | 0.37%                |
| Class ID C000140480 | 0.49%                | 0.52%                | 0.37%                |
| Class ID C000018509 | 0.34%                | 0.51%                | 0.35%                |
| Class ID C000133492 | 0.36%                | 0.67%                | 0.24%                |
| Class ID C000018510 | 0.31%                | 0.61%                | 0.19%                |

**Monthly Gains & Losses**

| Period   | Net Realized Gain/Loss   | Net Unrealized Appreciation/Depreciation   |
|:---|:---|:---|
| Month 1  | $57.83                   | $176622.56                                 |
| Month 2  | $0.00                    | $898175.18                                 |
| Month 3  | $0.00                    | $-27225.85                                 |

**Designated Index Information**

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

- **Index Identifier:** BM2542

### Schedule of Portfolio Investments

| Name                                                     | Title                                                                            | Identifiers                                   | Payoff Profile   | Asset Category   | Issuer Category   | Country   |   Balance | Units   | Value (USD)   | % of Net Assets   | Maturity Date   | Coupon Type   | Annualized Rate (%)   | Restricted?   |   Fair Value Level | Lending Status   |
|:---|:---|:---|:---|:---|:---|:---|---:|:---|:---|:---|:---|:---|:---|:---|---:|:---|
| FNMA                                                     | FNMA                                                                             | CUSIP: 31405BD32<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      4826 | PA      | $4988.49      | 0.00%             | 2034-12-01      | Variable      | 6.13%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31379MDU0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      4270 | PA      | $4428.42      | 0.00%             | 2038-05-01      | Variable      | 6.31%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31407BWE5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     55496 | PA      | $56871.94     | 0.01%             | 2035-06-01      | Variable      | 6.18%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31403DTE9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     41161 | PA      | $42693.01     | 0.01%             | 2034-04-01      | Variable      | 6.38%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31407FL24<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     38905 | PA      | $40137.33     | 0.01%             | 2035-10-01      | Variable      | 6.25%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31400QX32<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      1705 | PA      | $1734.79      | 0.00%             | 2033-04-01      | Variable      | 6.22%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31414F7E5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      4621 | PA      | $4739.83      | 0.00%             | 2038-09-01      | Variable      | 6.08%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31408G4X2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     57875 | PA      | $58973.13     | 0.02%             | 2036-01-01      | Variable      | 5.75%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31409AFG9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     41489 | PA      | $42472.11     | 0.01%             | 2036-02-01      | Variable      | 5.77%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31389AZY2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     27007 | PA      | $26298.46     | 0.01%             | 2035-03-01      | Variable      | 4.22%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31409ARH4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     10859 | PA      | $11134.50     | 0.00%             | 2036-02-01      | Variable      | 6.08%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31405DM79<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       824 | PA      | $843.47       | 0.00%             | 2034-07-01      | Variable      | 6.46%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31412CFG0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      4877 | PA      | $4928.52      | 0.00%             | 2037-01-01      | Variable      | 5.37%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31405RNC6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      5090 | PA      | $5234.34      | 0.00%             | 2034-08-01      | Variable      | 5.97%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31404WPZ3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     79460 | PA      | $81254.30     | 0.02%             | 2034-06-01      | Variable      | 6.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31389AZ30<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      3976 | PA      | $3948.73      | 0.00%             | 2037-12-01      | Variable      | 4.63%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31385XLL9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     13197 | PA      | $13402.93     | 0.00%             | 2033-04-01      | Variable      | 6.70%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31409AC80<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      5784 | PA      | $6029.52      | 0.00%             | 2035-10-01      | Variable      | 7.18%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31416B5M6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      6530 | PA      | $6720.72      | 0.00%             | 2035-05-01      | Variable      | 6.34%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31416B5B0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    492909 | PA      | $508541.42    | 0.13%             | 2036-02-01      | Variable      | 6.20%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31406PC56<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     32536 | PA      | $33538.54     | 0.01%             | 2035-05-01      | Variable      | 6.51%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31391RTR3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     12084 | PA      | $12400.99     | 0.00%             | 2032-08-01      | Variable      | 6.28%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31406DJV9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     21395 | PA      | $21823.94     | 0.01%             | 2034-11-01      | Variable      | 5.91%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31405BMC2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      4336 | PA      | $4413.42      | 0.00%             | 2034-05-01      | Variable      | 6.05%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31414HDB0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      5343 | PA      | $5505.05      | 0.00%             | 2037-12-01      | Variable      | 6.41%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31402RD55<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     19025 | PA      | $19468.28     | 0.01%             | 2035-02-01      | Variable      | 6.26%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA, 30 Year                                                                    | CUSIP: 31418FMK0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1610695 | PA      | $1649626.40   | 0.43%             | 2055-07-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31408BUF3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     14321 | PA      | $14729.51     | 0.00%             | 2033-11-01      | Variable      | 7.13%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                    | FHLMC                                                                            | CUSIP: 31300MMM2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    135140 | PA      | $138442.94    | 0.04%             | 2041-11-01      | Variable      | 6.47%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31407GYF9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      3597 | PA      | $3715.12      | 0.00%             | 2035-06-01      | Variable      | 6.32%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31385Y2D6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     31791 | PA      | $32256.35     | 0.01%             | 2040-06-01      | Variable      | 5.37%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 3138EQTE2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    259692 | PA      | $269555.66    | 0.07%             | 2040-03-01      | Variable      | 6.29%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31416CAU0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    107878 | PA      | $111993.31    | 0.03%             | 2037-09-01      | Variable      | 6.46%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                    | FHLMC                                                                            | CUSIP: 31288QGM6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1363214 | PA      | $1421937.78   | 0.37%             | 2043-10-01      | Variable      | 6.45%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31362RD87<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       215 | PA      | $213.64       | 0.00%             | 2027-11-01      | Variable      | 4.51%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31402TH24<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      5921 | PA      | $6053.77      | 0.00%             | 2033-08-01      | Variable      | 6.30%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31385HFW7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      9553 | PA      | $9541.10      | 0.00%             | 2030-02-01      | Variable      | 5.99%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31406VD86<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    108763 | PA      | $111283.87    | 0.03%             | 2035-05-01      | Variable      | 6.64%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31406GD55<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     50413 | PA      | $51148.80     | 0.01%             | 2035-02-01      | Variable      | 5.55%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                    | FHLMC, Series 5568, Class FG                                                     | CUSIP: 3137HMN89<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1783407 | PA      | $1798191.50   | 0.47%             | 2055-08-25      | Floating      | 4.80%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31403NG92<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     14363 | PA      | $14582.27     | 0.00%             | 2033-11-01      | Variable      | 5.40%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 3138EG7K4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    488556 | PA      | $503114.70    | 0.13%             | 2035-06-01      | Variable      | 6.52%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31407BCV9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     21050 | PA      | $21682.55     | 0.01%             | 2035-07-01      | Variable      | 6.16%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31405MA23<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     12486 | PA      | $12770.07     | 0.00%             | 2034-07-01      | Variable      | 5.74%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31362S5F8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |         5 | PA      | $4.49         | 0.00%             | 2029-01-01      | Variable      | 4.58%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31404YDK5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       598 | PA      | $610.05       | 0.00%             | 2034-07-01      | Variable      | 5.67%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                    | FHLMC                                                                            | CUSIP: 3128QPKE1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    146811 | PA      | $151399.02    | 0.04%             | 2036-09-01      | Variable      | 6.56%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31385XHB6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        80 | PA      | $81.33        | 0.00%             | 2033-05-01      | Variable      | 6.42%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31407KGP8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      7284 | PA      | $7442.58      | 0.00%             | 2035-09-01      | Variable      | 6.09%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31403TPB4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     33952 | PA      | $34479.22     | 0.01%             | 2033-11-01      | Variable      | 5.83%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31406P3R8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      3023 | PA      | $3125.08      | 0.00%             | 2035-02-01      | Variable      | 6.20%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31411UKA8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      4715 | PA      | $4897.92      | 0.00%             | 2037-04-01      | Variable      | 6.54%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                    | FHLMC                                                                            | CUSIP: 3128NHWJ8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    348895 | PA      | $359878.13    | 0.09%             | 2036-11-01      | Variable      | 6.25%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31414CZH4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     15749 | PA      | $16222.08     | 0.00%             | 2038-04-01      | Variable      | 6.60%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31402NGF9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     22406 | PA      | $22896.66     | 0.01%             | 2033-08-01      | Variable      | 6.17%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31378FMK8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      1129 | PA      | $1119.13      | 0.00%             | 2027-04-01      | Variable      | 3.56%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                    | FHLMC                                                                            | CUSIP: 31288QBT6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1468534 | PA      | $1533438.60   | 0.40%             | 2043-07-01      | Variable      | 6.54%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31402HBN0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     62921 | PA      | $64715.24     | 0.02%             | 2034-02-01      | Variable      | 5.96%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31400BWF9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      3347 | PA      | $3425.85      | 0.00%             | 2033-02-01      | Variable      | 6.18%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31406VJY3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     32558 | PA      | $33289.19     | 0.01%             | 2035-05-01      | Variable      | 6.73%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31418MYA4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    171971 | PA      | $175607.02    | 0.05%             | 2038-06-01      | Variable      | 6.03%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31381JU75<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    566070 | PA      | $573320.90    | 0.15%             | 2037-09-01      | Variable      | 6.39%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31401Y6N0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     11829 | PA      | $12176.97     | 0.00%             | 2033-09-01      | Variable      | 6.39%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31412BPZ9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     14553 | PA      | $14681.85     | 0.00%             | 2036-02-01      | Variable      | 6.87%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31402RKA6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      6862 | PA      | $7072.63      | 0.00%             | 2035-06-01      | Variable      | 6.32%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31406UUZ9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    493210 | PA      | $507634.88    | 0.13%             | 2035-03-01      | Variable      | 5.99%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31411JGW0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     25655 | PA      | $26231.28     | 0.01%             | 2036-12-01      | Variable      | 5.83%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31386TRN7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      1764 | PA      | $1758.30      | 0.00%             | 2041-02-01      | Variable      | 5.17%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                    | FHLMC                                                                            | CUSIP: 3128QS3L8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     30464 | PA      | $31324.62     | 0.01%             | 2036-10-01      | Variable      | 6.36%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                    | FHLMC                                                                            | CUSIP: 31349UH50<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    361463 | PA      | $378967.69    | 0.10%             | 2034-08-01      | Variable      | 7.55%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31386MLW8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      2423 | PA      | $2431.28      | 0.00%             | 2040-12-01      | Variable      | 5.37%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31406X7G1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      4395 | PA      | $4509.86      | 0.00%             | 2035-04-01      | Variable      | 6.06%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31410FXX8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      2989 | PA      | $3067.42      | 0.00%             | 2035-02-01      | Variable      | 6.33%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31402CSA1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       383 | PA      | $392.79       | 0.00%             | 2032-12-01      | Variable      | 5.94%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31407VFN0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      8096 | PA      | $8368.78      | 0.00%             | 2035-09-01      | Variable      | 6.52%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31405WSY2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      2479 | PA      | $2519.25      | 0.00%             | 2034-07-01      | Variable      | 6.10%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31407B3T4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    285331 | PA      | $291089.37    | 0.08%             | 2035-07-01      | Variable      | 6.05%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31406H3E5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1271010 | PA      | $1314709.70   | 0.35%             | 2034-12-01      | Variable      | 5.78%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31411EME4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      1586 | PA      | $1633.65      | 0.00%             | 2036-12-01      | Variable      | 6.25%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31410SHK6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     25731 | PA      | $26345.52     | 0.01%             | 2036-04-01      | Variable      | 6.12%                 | No            |                  2 | On Loan: No      |
| GNMA                                                     | GNMA II                                                                          | CUSIP: 36225C4D5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      3820 | PA      | $3842.87      | 0.00%             | 2034-01-20      | Variable      | 5.62%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31402C6L1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    130035 | PA      | $134333.69    | 0.04%             | 2034-05-01      | Variable      | 6.75%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 3138EGBF0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     66331 | PA      | $68917.58     | 0.02%             | 2035-09-01      | Variable      | 6.37%                 | No            |                  2 | On Loan: No      |
| GNMA                                                     | GNMA II, Single-family, 30 Year                                                  | CUSIP: 3618N5RG6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   2869470 | PA      | $2941905.98   | 0.77%             | 2055-07-20      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31405PZ86<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     10306 | PA      | $10609.71     | 0.00%             | 2034-09-01      | Variable      | 6.22%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                    | FHLMC                                                                            | CUSIP: 3128S5QX5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    205110 | PA      | $212797.53    | 0.06%             | 2038-10-01      | Variable      | 6.48%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31403DSD2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     45010 | PA      | $46057.89     | 0.01%             | 2035-12-01      | Variable      | 6.05%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31410WFR4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     76652 | PA      | $79289.84     | 0.02%             | 2038-01-01      | Variable      | 6.09%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31407PWM6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     20229 | PA      | $20468.31     | 0.01%             | 2035-10-01      | Variable      | 5.87%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                               | FHLMC Pool, 30 Year                                                              | CUSIP: 3132DWHA4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1560691 | PA      | $1609044.88   | 0.42%             | 2053-05-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31385WVC0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       626 | PA      | $626.85       | 0.00%             | 2027-09-01      | Variable      | 5.75%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31406L3E6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      3424 | PA      | $3530.00      | 0.00%             | 2035-11-01      | Variable      | 6.05%                 | No            |                  2 | On Loan: No      |
| GNMA                                                     | GNMA II                                                                          | CUSIP: 36225DNG5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     31912 | PA      | $32204.84     | 0.01%             | 2035-03-20      | Variable      | 5.62%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31407X4W8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     31818 | PA      | $32313.62     | 0.01%             | 2035-11-01      | Variable      | 5.56%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31402EM39<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     13706 | PA      | $13931.28     | 0.00%             | 2033-05-01      | Variable      | 5.80%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31410GD34<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     49498 | PA      | $50402.42     | 0.01%             | 2033-06-01      | Variable      | 6.55%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31402CVF6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     30696 | PA      | $31715.54     | 0.01%             | 2034-02-01      | Variable      | 6.20%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31407PP28<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      2339 | PA      | $2392.20      | 0.00%             | 2035-10-01      | Variable      | 5.82%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA, Series 2024-103, Class FB                                                  | CUSIP: 3136BUQG8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   2009256 | PA      | $2019615.83   | 0.53%             | 2055-01-25      | Floating      | 4.65%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31409BAN7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       741 | PA      | $761.81       | 0.00%             | 2036-03-01      | Variable      | 6.28%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31409EL90<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        48 | PA      | $49.55        | 0.00%             | 2036-05-01      | Variable      | 6.81%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31407DUE3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    326182 | PA      | $333988.34    | 0.09%             | 2035-05-01      | Variable      | 5.92%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31406N6M1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      2067 | PA      | $2094.43      | 0.00%             | 2035-04-01      | Variable      | 5.94%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31384VYA4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        52 | PA      | $52.60        | 0.00%             | 2028-10-01      | Variable      | 6.23%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31402NY36<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     83597 | PA      | $85147.87     | 0.02%             | 2033-06-01      | Variable      | 5.80%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31414CPN2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     45137 | PA      | $46423.23     | 0.01%             | 2035-06-01      | Variable      | 6.53%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31407T2T6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      5166 | PA      | $5331.23      | 0.00%             | 2035-09-01      | Variable      | 6.48%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31410GML4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      2702 | PA      | $2741.97      | 0.00%             | 2037-10-01      | Variable      | 5.84%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31407WTA1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     29801 | PA      | $30529.84     | 0.01%             | 2035-09-01      | Variable      | 6.26%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                    | FHLMC                                                                            | CUSIP: 3128JQBR8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    267585 | PA      | $276064.13    | 0.07%             | 2040-04-01      | Variable      | 6.75%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31403Y2E2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      5085 | PA      | $5177.99      | 0.00%             | 2034-01-01      | Variable      | 6.11%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                    | FHLMC                                                                            | CUSIP: 31288QF70<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   2549554 | PA      | $2654080.89   | 0.70%             | 2046-10-01      | Variable      | 6.29%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31403K4Q3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      7408 | PA      | $7618.34      | 0.00%             | 2034-05-01      | Variable      | 6.21%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                    | FHLMC                                                                            | CUSIP: 3128JNDN2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    254344 | PA      | $262196.69    | 0.07%             | 2035-06-01      | Variable      | 6.52%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31404XJY1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     44511 | PA      | $45649.25     | 0.01%             | 2034-12-01      | Variable      | 5.95%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31391FFE3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     14502 | PA      | $14462.53     | 0.00%             | 2027-08-01      | Variable      | 4.76%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31414UQH4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    220692 | PA      | $227172.63    | 0.06%             | 2037-04-01      | Variable      | 6.28%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31403DW96<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      2641 | PA      | $2722.60      | 0.00%             | 2036-11-01      | Variable      | 6.43%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31413GK90<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     11754 | PA      | $12039.42     | 0.00%             | 2037-08-01      | Variable      | 5.82%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31407PJH2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     43908 | PA      | $45078.86     | 0.01%             | 2035-10-01      | Variable      | 6.05%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31403DVS5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     22843 | PA      | $23578.31     | 0.01%             | 2036-09-01      | Variable      | 6.44%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31402DQT0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      2417 | PA      | $2480.40      | 0.00%             | 2034-11-01      | Variable      | 6.07%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31411HGV6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      5379 | PA      | $5519.20      | 0.00%             | 2037-04-01      | Variable      | 6.77%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31412CBE9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    124967 | PA      | $126256.54    | 0.03%             | 2034-12-01      | Variable      | 6.25%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31410MHH6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      8717 | PA      | $8909.99      | 0.00%             | 2036-04-01      | Variable      | 6.05%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31406TLM1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      5196 | PA      | $5346.57      | 0.00%             | 2035-03-01      | Variable      | 6.72%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31402HAQ4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      1010 | PA      | $1037.85      | 0.00%             | 2033-09-01      | Variable      | 6.34%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31410B3M4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      3984 | PA      | $4111.91      | 0.00%             | 2036-06-01      | Variable      | 6.42%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31405JMH4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     16149 | PA      | $16553.11     | 0.00%             | 2034-09-01      | Variable      | 6.20%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31402DBW9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       879 | PA      | $889.04       | 0.00%             | 2033-09-01      | Variable      | 6.73%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31403DVG1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     29308 | PA      | $29984.69     | 0.01%             | 2033-04-01      | Variable      | 5.90%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31404XJG0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      5631 | PA      | $5761.11      | 0.00%             | 2034-11-01      | Variable      | 5.87%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31406LDC9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     22664 | PA      | $22911.69     | 0.01%             | 2044-11-01      | Variable      | 5.17%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31410QPW5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    131159 | PA      | $136205.95    | 0.04%             | 2036-10-01      | Variable      | 7.32%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31406DJR8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      1966 | PA      | $1996.39      | 0.00%             | 2034-11-01      | Variable      | 5.86%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31409CCW3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    455760 | PA      | $468350.54    | 0.12%             | 2036-01-01      | Variable      | 5.97%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31412EPK6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     19991 | PA      | $20446.78     | 0.01%             | 2037-01-01      | Variable      | 5.78%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31410WFS2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     34590 | PA      | $35546.62     | 0.01%             | 2037-05-01      | Variable      | 6.31%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31402C5W8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      2133 | PA      | $2179.93      | 0.00%             | 2033-08-01      | Variable      | 6.53%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31401D6G1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      3127 | PA      | $3203.86      | 0.00%             | 2033-05-01      | Variable      | 6.40%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31411E4K0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       570 | PA      | $590.15       | 0.00%             | 2037-01-01      | Variable      | 6.01%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31402DHR4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      1482 | PA      | $1522.79      | 0.00%             | 2038-03-01      | Variable      | 6.33%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                    | FHLMC                                                                            | CUSIP: 31288QEM8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1317717 | PA      | $1382857.29   | 0.36%             | 2043-07-01      | Variable      | 6.51%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 3138ELR88<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    663400 | PA      | $690006.40    | 0.18%             | 2037-03-01      | Variable      | 6.19%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31402RTY5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      1772 | PA      | $1815.78      | 0.00%             | 2038-03-01      | Variable      | 5.92%                 | No            |                  2 | On Loan: No      |
| GNMA                                                     | GNMA II                                                                          | CUSIP: 36225CZW9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      2302 | PA      | $2326.25      | 0.00%             | 2033-09-20      | Variable      | 5.38%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31385XMD6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      2750 | PA      | $2815.14      | 0.00%             | 2033-08-01      | Variable      | 6.27%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31402RHU6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      9938 | PA      | $9995.95      | 0.00%             | 2042-08-01      | Variable      | 5.17%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31407MSU0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      2715 | PA      | $2777.24      | 0.00%             | 2035-07-01      | Variable      | 5.79%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31390WQV7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     30165 | PA      | $30546.32     | 0.01%             | 2033-09-01      | Variable      | 6.04%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31391MDC4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     55618 | PA      | $56298.17     | 0.01%             | 2032-11-01      | Variable      | 5.93%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31410YNX8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     45436 | PA      | $46940.06     | 0.01%             | 2036-09-01      | Variable      | 6.55%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31410EKC1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     12651 | PA      | $13109.34     | 0.00%             | 2036-09-01      | Variable      | 6.21%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31418MVS8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    429033 | PA      | $441399.30    | 0.12%             | 2038-08-01      | Variable      | 6.31%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31405N7D1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     13722 | PA      | $14085.06     | 0.00%             | 2034-10-01      | Variable      | 6.21%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31411BAT0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        16 | PA      | $16.21        | 0.00%             | 2036-11-01      | Variable      | 6.32%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31413YWH0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     48272 | PA      | $49528.12     | 0.01%             | 2037-11-01      | Variable      | 6.14%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 3138EKTS4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     42283 | PA      | $43691.66     | 0.01%             | 2038-07-01      | Variable      | 6.42%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31402Q4W8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     22826 | PA      | $22938.13     | 0.01%             | 2034-05-01      | Variable      | 5.57%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31388X3J1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      4522 | PA      | $4509.65      | 0.00%             | 2029-04-01      | Variable      | 5.17%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31385Y6D2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     26772 | PA      | $27039.68     | 0.01%             | 2030-11-01      | Variable      | 5.88%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31405RNA0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       596 | PA      | $607.20       | 0.00%             | 2034-08-01      | Variable      | 6.15%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31391A7F0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      1134 | PA      | $1158.66      | 0.00%             | 2032-09-01      | Variable      | 6.44%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31385JFR4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      8871 | PA      | $9039.63      | 0.00%             | 2032-02-01      | Variable      | 5.89%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31402CWE8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     29357 | PA      | $30153.34     | 0.01%             | 2034-02-01      | Variable      | 5.95%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA, Series 2019-38, Class CF                                                   | CUSIP: 3136B5EY7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1158844 | PA      | $1139876.49   | 0.30%             | 2049-07-25      | Floating      | 4.26%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31412DZV3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      7408 | PA      | $7755.37      | 0.00%             | 2037-01-01      | Variable      | 5.75%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31402CXQ0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       506 | PA      | $516.84       | 0.00%             | 2036-08-01      | Variable      | 6.32%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31407DNH4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       320 | PA      | $327.97       | 0.00%             | 2035-01-01      | Variable      | 6.08%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31411SVN3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     95783 | PA      | $99620.54     | 0.03%             | 2047-03-01      | Variable      | 6.82%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31385HKE1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    339177 | PA      | $336622.06    | 0.09%             | 2034-04-01      | Variable      | 4.73%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31404V2S6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       564 | PA      | $581.72       | 0.00%             | 2034-08-01      | Variable      | 6.42%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                    | FHLMC                                                                            | CUSIP: 31288QQJ2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   3225454 | PA      | $3357889.01   | 0.88%             | 2047-08-01      | Variable      | 6.30%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31402RSX8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      8447 | PA      | $8779.68      | 0.00%             | 2034-10-01      | Variable      | 6.26%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31400SJL4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     41011 | PA      | $42187.18     | 0.01%             | 2033-04-01      | Variable      | 6.52%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31406NBG8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     71113 | PA      | $72914.87     | 0.02%             | 2035-04-01      | Variable      | 6.57%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31406UNY0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     15074 | PA      | $15498.04     | 0.00%             | 2035-04-01      | Variable      | 6.80%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31385HUG5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      2902 | PA      | $2928.39      | 0.00%             | 2029-02-01      | Variable      | 6.45%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31381JNU2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     20374 | PA      | $20300.79     | 0.01%             | 2033-06-01      | Variable      | 5.55%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31402DKW9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     35557 | PA      | $36612.99     | 0.01%             | 2034-08-01      | Variable      | 6.68%                 | No            |                  2 | On Loan: No      |
| United States of America                                 | U.S. Treasury Notes                                                              | CUSIP: 91282CKE0<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  11000000 | PA      | $11084648.41  | 2.92%             | 2027-03-15      | Fixed         | 4.25%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31404QLK3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      2577 | PA      | $2631.59      | 0.00%             | 2034-05-01      | Variable      | 6.51%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31402NY44<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      6680 | PA      | $6788.30      | 0.00%             | 2033-07-01      | Variable      | 5.80%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                    | FHLMC                                                                            | CUSIP: 31300MHK2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    787698 | PA      | $821349.60    | 0.22%             | 2040-11-01      | Variable      | 6.58%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31406GW47<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     38287 | PA      | $39336.84     | 0.01%             | 2035-03-01      | Variable      | 6.63%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31407CCN5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     15121 | PA      | $15500.64     | 0.00%             | 2035-07-01      | Variable      | 6.25%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31410RM30<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    111374 | PA      | $114862.23    | 0.03%             | 2036-08-01      | Variable      | 6.52%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 3138EJJ66<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      2940 | PA      | $3012.67      | 0.00%             | 2035-09-01      | Variable      | 6.21%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31404FPY3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     26502 | PA      | $27281.71     | 0.01%             | 2034-08-01      | Variable      | 6.34%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31408C2W5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     39306 | PA      | $40700.61     | 0.01%             | 2035-10-01      | Variable      | 6.26%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31403AHD0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      6061 | PA      | $6191.63      | 0.00%             | 2033-10-01      | Variable      | 6.32%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31391TU30<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     21209 | PA      | $21590.76     | 0.01%             | 2032-12-01      | Variable      | 5.90%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31405MA80<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      3421 | PA      | $3488.55      | 0.00%             | 2034-07-01      | Variable      | 5.86%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31411EWY9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       112 | PA      | $115.38       | 0.00%             | 2037-01-01      | Variable      | 6.12%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31402M4P2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    120362 | PA      | $123325.37    | 0.03%             | 2033-08-01      | Variable      | 6.28%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31407GYA0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      4678 | PA      | $4825.97      | 0.00%             | 2035-06-01      | Variable      | 5.85%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31407DUF0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       604 | PA      | $616.49       | 0.00%             | 2035-05-01      | Variable      | 5.80%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31416CG75<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    335753 | PA      | $343593.69    | 0.09%             | 2036-08-01      | Variable      | 5.91%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31402A4W3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      1751 | PA      | $1793.86      | 0.00%             | 2033-06-01      | Variable      | 6.12%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31406KAA8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     11267 | PA      | $11647.42     | 0.00%             | 2035-05-01      | Variable      | 7.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31402RPT0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     29167 | PA      | $29342.59     | 0.01%             | 2034-10-01      | Variable      | 5.62%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31402DSC5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      8345 | PA      | $8574.96      | 0.00%             | 2033-07-01      | Variable      | 6.37%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31410G3Q4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      2234 | PA      | $2276.18      | 0.00%             | 2037-04-01      | Variable      | 6.56%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31403CWU1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     30911 | PA      | $31797.48     | 0.01%             | 2035-09-01      | Variable      | 6.15%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31385XK63<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      9070 | PA      | $9256.60      | 0.00%             | 2033-08-01      | Variable      | 5.73%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31402XXU5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     36652 | PA      | $37172.58     | 0.01%             | 2033-11-01      | Variable      | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31405JWZ3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      7156 | PA      | $7351.79      | 0.00%             | 2034-09-01      | Variable      | 6.40%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                    | FHLMC                                                                            | CUSIP: 3128S4EN3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     97634 | PA      | $100057.46    | 0.03%             | 2036-04-01      | Variable      | 6.29%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31388JK53<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      5771 | PA      | $5843.47      | 0.00%             | 2031-09-01      | Variable      | 6.16%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31408EQJ4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     14745 | PA      | $15087.61     | 0.00%             | 2036-01-01      | Variable      | 5.74%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31386CLJ9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      4150 | PA      | $4202.62      | 0.00%             | 2030-03-01      | Variable      | 5.73%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31406VLK0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     17068 | PA      | $17649.96     | 0.00%             | 2035-05-01      | Variable      | 5.98%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31378QJU6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      1116 | PA      | $1151.54      | 0.00%             | 2038-04-01      | Variable      | 6.58%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31403CWP2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      1076 | PA      | $1110.11      | 0.00%             | 2035-09-01      | Variable      | 6.25%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31403DET2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      3292 | PA      | $3378.98      | 0.00%             | 2033-04-01      | Variable      | 6.25%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31391RTQ5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    102086 | PA      | $105484.81    | 0.03%             | 2032-09-01      | Variable      | 7.26%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31403JRR9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     24235 | PA      | $25011.02     | 0.01%             | 2033-10-01      | Variable      | 6.75%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31385XUU9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       972 | PA      | $969.95       | 0.00%             | 2033-11-01      | Variable      | 5.22%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 313612HK2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       433 | PA      | $429.78       | 0.00%             | 2027-04-01      | Variable      | 4.36%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA, Series 2024-98, Class FA                                                   | CUSIP: 3136BUCU2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    689236 | PA      | $694647.42    | 0.18%             | 2053-12-25      | Floating      | 4.85%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31407AZX2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     24983 | PA      | $25674.33     | 0.01%             | 2035-05-01      | Variable      | 6.20%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31407AZQ7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      8678 | PA      | $8803.79      | 0.00%             | 2035-05-01      | Variable      | 6.18%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31410QKA8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     18982 | PA      | $19372.05     | 0.01%             | 2036-10-01      | Variable      | 5.86%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31404JQS7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      8623 | PA      | $8834.31      | 0.00%             | 2034-03-01      | Variable      | 6.49%                 | No            |                  2 | On Loan: No      |
| GNMA                                                     | GNMA, Series 2010-12, Class FD                                                   | CUSIP: 38376TAF9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    424856 | PA      | $425596.83    | 0.11%             | 2040-01-16      | Floating      | 4.39%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                    | FHLMC                                                                            | CUSIP: 31342AZT9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     58254 | PA      | $59684.35     | 0.02%             | 2033-08-01      | Variable      | 6.25%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31385JPQ5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     26047 | PA      | $26241.57     | 0.01%             | 2028-08-01      | Variable      | 6.19%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31401G5B6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     48467 | PA      | $49170.83     | 0.01%             | 2033-04-01      | Variable      | 6.01%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31402RD89<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    191610 | PA      | $194908.57    | 0.05%             | 2035-04-01      | Variable      | 5.72%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31402RTR0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     19182 | PA      | $19733.68     | 0.01%             | 2035-09-01      | Variable      | 6.13%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31407DNZ4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     12826 | PA      | $13196.47     | 0.00%             | 2034-07-01      | Variable      | 6.56%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31408FN88<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     21883 | PA      | $22320.88     | 0.01%             | 2035-09-01      | Variable      | 6.09%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31407DUK9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      2642 | PA      | $2698.34      | 0.00%             | 2035-05-01      | Variable      | 5.90%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 3138EGR63<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    408459 | PA      | $422054.12    | 0.11%             | 2035-08-01      | Variable      | 6.48%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31412V7C6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     13245 | PA      | $13425.07     | 0.00%             | 2037-04-01      | Variable      | 5.73%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31406YCH1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     53106 | PA      | $53297.56     | 0.01%             | 2035-07-01      | Variable      | 6.09%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31391SHX1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       858 | PA      | $878.72       | 0.00%             | 2032-12-01      | Variable      | 5.92%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                    | FHLMC, Multi-family Structured Pass-Through Certificates, Series KF163, Class AS | CUSIP: 3137HDPJ3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   2724156 | PA      | $2725901.06   | 0.72%             | 2034-04-25      | Floating      | 4.37%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31401CV83<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      3005 | PA      | $3065.68      | 0.00%             | 2033-05-01      | Variable      | 6.40%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 3140JBHL3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   4994729 | PA      | $5191126.78   | 1.37%             | 2038-09-01      | Variable      | 6.31%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31409WCN9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      5361 | PA      | $5567.11      | 0.00%             | 2036-01-01      | Variable      | 5.75%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31404HVC0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     31207 | PA      | $31882.00     | 0.01%             | 2034-02-01      | Variable      | 5.69%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31389TGC0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     70979 | PA      | $72886.81     | 0.02%             | 2032-03-01      | Variable      | 6.69%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31407WSB0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       771 | PA      | $792.39       | 0.00%             | 2035-03-01      | Variable      | 5.78%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31402MM72<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      9096 | PA      | $9352.24      | 0.00%             | 2033-08-01      | Variable      | 6.34%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31403DQ36<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    170822 | PA      | $176069.90    | 0.05%             | 2035-08-01      | Variable      | 6.27%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31403DK81<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      1185 | PA      | $1214.18      | 0.00%             | 2036-05-01      | Variable      | 6.70%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31404TAR4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      9942 | PA      | $10207.25     | 0.00%             | 2034-04-01      | Variable      | 6.75%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31402RNB1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      6304 | PA      | $6448.74      | 0.00%             | 2033-11-01      | Variable      | 6.43%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31412BTN2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     10384 | PA      | $10788.99     | 0.00%             | 2036-08-01      | Variable      | 6.69%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31406DAD8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     45341 | PA      | $45503.42     | 0.01%             | 2034-10-01      | Variable      | 5.17%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA, Series 2021-8, Class YF                                                    | CUSIP: 3136BFFR9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   6994015 | PA      | $6981068.35   | 1.84%             | 2061-03-25      | Floating      | 4.22%                 | No            |                  2 | On Loan: No      |
| GNMA                                                     | GNMA II                                                                          | CUSIP: 36225C2Y1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     63323 | PA      | $64759.13     | 0.02%             | 2033-12-20      | Variable      | 5.12%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31401D3F6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      3634 | PA      | $3734.50      | 0.00%             | 2033-05-01      | Variable      | 6.29%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31391SGL8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     10612 | PA      | $10877.40     | 0.00%             | 2033-01-01      | Variable      | 5.84%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31407MSQ9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     38899 | PA      | $40054.67     | 0.01%             | 2035-07-01      | Variable      | 5.75%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31402RKW8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     85482 | PA      | $88035.24     | 0.02%             | 2035-06-01      | Variable      | 6.68%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                    | FHLMC                                                                            | CUSIP: 3128LUK88<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    465973 | PA      | $484256.68    | 0.13%             | 2037-03-01      | Variable      | 6.78%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                    | FHLMC                                                                            | CUSIP: 31300MGN7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    229582 | PA      | $237132.62    | 0.06%             | 2036-11-01      | Variable      | 6.37%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA, Series 2020-54, Class WF                                                   | CUSIP: 3136BBGN6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   2356427 | PA      | $2283189.24   | 0.60%             | 2050-08-25      | Floating      | 4.46%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA, Series 2021-36, Class YF                                                   | CUSIP: 3136BHPA1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   3589339 | PA      | $3606750.07   | 0.95%             | 2061-06-25      | Floating      | 4.22%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31406CT32<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     20733 | PA      | $21579.01     | 0.01%             | 2035-01-01      | Variable      | 6.72%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31362JUN3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       157 | PA      | $155.16       | 0.00%             | 2028-06-01      | Variable      | 4.34%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31400PAT2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     94038 | PA      | $95920.35     | 0.03%             | 2033-02-01      | Variable      | 5.89%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31401CR21<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       527 | PA      | $539.00       | 0.00%             | 2033-05-01      | Variable      | 6.10%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31405D4L8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      5077 | PA      | $5154.70      | 0.00%             | 2034-08-01      | Variable      | 5.98%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31416CDW3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     14885 | PA      | $15250.22     | 0.00%             | 2038-04-01      | Variable      | 6.13%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31405ARB1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    150742 | PA      | $155315.08    | 0.04%             | 2035-01-01      | Variable      | 6.13%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31406PKY4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     11600 | PA      | $11912.01     | 0.00%             | 2035-02-01      | Variable      | 5.79%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31402CRK0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       877 | PA      | $889.23       | 0.00%             | 2033-11-01      | Variable      | 5.82%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31407XWX5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      5242 | PA      | $5372.88      | 0.00%             | 2035-11-01      | Variable      | 5.88%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31404AUY8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     20277 | PA      | $20859.49     | 0.01%             | 2033-09-01      | Variable      | 6.32%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31411YBW2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    104393 | PA      | $107364.12    | 0.03%             | 2037-05-01      | Variable      | 6.59%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31402DHF0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      3399 | PA      | $3475.25      | 0.00%             | 2034-04-01      | Variable      | 6.26%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31405WHT5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     32818 | PA      | $33643.08     | 0.01%             | 2034-09-01      | Variable      | 6.36%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31402DNA4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       698 | PA      | $718.58       | 0.00%             | 2034-09-01      | Variable      | 6.33%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31410KXH2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     16052 | PA      | $16567.38     | 0.00%             | 2038-10-01      | Variable      | 6.38%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31409UUT0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    367804 | PA      | $379426.55    | 0.10%             | 2036-05-01      | Variable      | 6.52%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31413DTG2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      1922 | PA      | $1974.90      | 0.00%             | 2037-08-01      | Variable      | 6.27%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                    | FHLMC                                                                            | CUSIP: 3128S5QL1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    253444 | PA      | $264519.45    | 0.07%             | 2037-04-01      | Variable      | 6.22%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31405PLR9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    121720 | PA      | $125505.41    | 0.03%             | 2034-10-01      | Variable      | 6.07%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31405MCX3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     12010 | PA      | $12424.84     | 0.00%             | 2034-08-01      | Variable      | 6.43%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31406L3Q9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     28687 | PA      | $29675.21     | 0.01%             | 2036-09-01      | Variable      | 6.30%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31406X2J0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     18957 | PA      | $19351.84     | 0.01%             | 2035-02-01      | Variable      | 5.59%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31418M6F4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     37809 | PA      | $38883.40     | 0.01%             | 2036-12-01      | Variable      | 6.33%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31405PDD9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     31614 | PA      | $32560.62     | 0.01%             | 2034-10-01      | Variable      | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31402Q4F5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       843 | PA      | $861.52       | 0.00%             | 2034-07-01      | Variable      | 5.84%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31402C3F7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     22812 | PA      | $23270.30     | 0.01%             | 2030-09-01      | Variable      | 6.25%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31405KMH1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     29375 | PA      | $30240.30     | 0.01%             | 2034-10-01      | Variable      | 6.27%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 3138EQBQ4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     69066 | PA      | $72115.67     | 0.02%             | 2036-08-01      | Variable      | 6.27%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31405PKE9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     14114 | PA      | $14385.26     | 0.00%             | 2034-10-01      | Variable      | 5.99%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31402DLW8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      9433 | PA      | $9609.54      | 0.00%             | 2037-02-01      | Variable      | 5.95%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31410KD27<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    209898 | PA      | $214985.91    | 0.06%             | 2034-05-01      | Variable      | 6.46%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31406UDS4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     28256 | PA      | $29264.22     | 0.01%             | 2034-11-01      | Variable      | 6.52%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31402RHA0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      2008 | PA      | $2061.26      | 0.00%             | 2034-01-01      | Variable      | 5.91%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                    | FHLMC                                                                            | CUSIP: 3128QGFA5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     95672 | PA      | $97655.66     | 0.03%             | 2036-04-01      | Variable      | 6.25%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31410EM88<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      2252 | PA      | $2300.50      | 0.00%             | 2036-06-01      | Variable      | 6.18%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31403DHM4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1581356 | PA      | $1640909.92   | 0.43%             | 2035-03-01      | Variable      | 6.44%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31400U3Z5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     20821 | PA      | $21388.16     | 0.01%             | 2033-03-01      | Variable      | 6.37%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 3138EJPA0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    260278 | PA      | $267157.50    | 0.07%             | 2039-09-01      | Variable      | 6.05%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31406MA71<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      1063 | PA      | $1080.46      | 0.00%             | 2035-01-01      | Variable      | 5.75%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31403LLM1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      8641 | PA      | $8870.95      | 0.00%             | 2033-10-01      | Variable      | 6.25%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31406X2K7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      4337 | PA      | $4402.76      | 0.00%             | 2035-01-01      | Variable      | 5.69%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31410MHD5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    442164 | PA      | $453033.68    | 0.12%             | 2036-04-01      | Variable      | 6.36%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31381JFR8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     29700 | PA      | $29281.41     | 0.01%             | 2034-11-01      | Variable      | 5.84%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31404WC38<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     19391 | PA      | $19984.97     | 0.01%             | 2034-07-01      | Variable      | 6.27%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31407WSP9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     20697 | PA      | $21125.25     | 0.01%             | 2035-09-01      | Variable      | 6.16%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31414KPM6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      2529 | PA      | $2620.27      | 0.00%             | 2038-01-01      | Variable      | 5.88%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA, 30 Year                                                                    | CUSIP: 31418E3E8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1724756 | PA      | $1751292.60   | 0.46%             | 2054-03-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31402Q4R9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      6852 | PA      | $7019.97      | 0.00%             | 2034-08-01      | Variable      | 6.14%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31401L5Z2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     44455 | PA      | $45621.28     | 0.01%             | 2033-06-01      | Variable      | 6.15%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31391SJK7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       175 | PA      | $179.36       | 0.00%             | 2033-02-01      | Variable      | 6.54%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31409JU99<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     12525 | PA      | $13024.33     | 0.00%             | 2036-06-01      | Variable      | 6.77%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31405UMM8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      5714 | PA      | $5861.29      | 0.00%             | 2034-10-01      | Variable      | 6.20%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31402BTK0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     11582 | PA      | $11873.93     | 0.00%             | 2033-08-01      | Variable      | 6.14%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31404VKH0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     25651 | PA      | $26323.14     | 0.01%             | 2034-06-01      | Variable      | 6.28%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31407WSA2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      6355 | PA      | $6470.03      | 0.00%             | 2034-12-01      | Variable      | 5.91%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31401EWC9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     24168 | PA      | $24566.91     | 0.01%             | 2031-01-01      | Variable      | 6.19%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31416B5H7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    190376 | PA      | $196014.33    | 0.05%             | 2035-09-01      | Variable      | 6.21%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31407BVH9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     12194 | PA      | $12461.12     | 0.00%             | 2035-07-01      | Variable      | 6.30%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31413RBC9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      5572 | PA      | $5810.17      | 0.00%             | 2037-09-01      | Variable      | 6.41%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                    | FHLMC                                                                            | CUSIP: 3128S6AS1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    279774 | PA      | $290128.74    | 0.08%             | 2038-05-01      | Variable      | 6.51%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                    | FHLMC                                                                            | CUSIP: 3128JMV38<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    664556 | PA      | $690242.94    | 0.18%             | 2036-02-01      | Variable      | 6.27%                 | No            |                  2 | On Loan: No      |
| United States of America                                 | U.S. Treasury Notes                                                              | CUSIP: 91282CKJ9<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  15000000 | PA      | $15168750.00  | 3.99%             | 2027-04-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 3138ELXF5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    162862 | PA      | $166066.62    | 0.04%             | 2037-01-01      | Variable      | 6.24%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31408BT65<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    129417 | PA      | $134713.85    | 0.04%             | 2035-12-01      | Variable      | 6.86%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31416CGR1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     53383 | PA      | $54951.40     | 0.01%             | 2037-01-01      | Variable      | 6.12%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31387TZK3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       956 | PA      | $955.86       | 0.00%             | 2028-06-01      | Variable      | 6.77%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31411JU79<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    435981 | PA      | $451025.74    | 0.12%             | 2037-02-01      | Variable      | 6.78%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31361HL57<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       221 | PA      | $219.70       | 0.00%             | 2026-08-01      | Variable      | 4.12%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31409JLH1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      3623 | PA      | $3739.93      | 0.00%             | 2036-06-01      | Variable      | 6.71%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31402QWK3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        14 | PA      | $13.70        | 0.00%             | 2033-07-01      | Variable      | 6.40%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31400JMH9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      3798 | PA      | $3894.80      | 0.00%             | 2033-04-01      | Variable      | 6.37%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31402DHG8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     14442 | PA      | $14643.86     | 0.00%             | 2034-08-01      | Variable      | 5.67%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31403QMV9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     28722 | PA      | $29327.01     | 0.01%             | 2033-10-01      | Variable      | 6.07%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31404GV40<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      1150 | PA      | $1192.04      | 0.00%             | 2034-01-01      | Variable      | 5.65%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31417SC24<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     18840 | PA      | $19485.70     | 0.01%             | 2039-12-01      | Variable      | 5.99%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31410F6X8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      1009 | PA      | $1034.04      | 0.00%             | 2038-03-01      | Variable      | 6.02%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 3138EGJB1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     98400 | PA      | $101099.69    | 0.03%             | 2035-07-01      | Variable      | 6.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31402RRV3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       804 | PA      | $823.66       | 0.00%             | 2034-08-01      | Variable      | 6.03%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31403VQK8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     13299 | PA      | $13603.34     | 0.00%             | 2034-01-01      | Variable      | 5.87%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31405N7J8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      2723 | PA      | $2791.77      | 0.00%             | 2034-10-01      | Variable      | 6.02%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 3138EHG55<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     19896 | PA      | $20597.19     | 0.01%             | 2041-11-01      | Variable      | 6.13%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31403C4Q1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      1404 | PA      | $1462.92      | 0.00%             | 2035-10-01      | Variable      | 6.89%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31385XPZ4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |         2 | PA      | $2.21         | 0.00%             | 2027-08-01      | Variable      | 6.22%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                    | FHLMC, Series 4215, Class KF                                                     | CUSIP: 3137B34M7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    913460 | PA      | $891622.76    | 0.23%             | 2040-02-15      | Floating      | 4.44%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 3138EH7E6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     34575 | PA      | $34999.63     | 0.01%             | 2034-08-01      | Variable      | 5.66%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31416BNZ7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      2917 | PA      | $3014.86      | 0.00%             | 2037-11-01      | Variable      | 6.25%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31362GM40<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       559 | PA      | $554.84       | 0.00%             | 2028-01-01      | Variable      | 4.38%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31405BD57<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      6687 | PA      | $6878.86      | 0.00%             | 2034-12-01      | Variable      | 5.83%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31386C3H3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     31130 | PA      | $31131.44     | 0.01%             | 2040-09-01      | Variable      | 5.37%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31416B4U9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      1843 | PA      | $1877.80      | 0.00%             | 2037-11-01      | Variable      | 5.91%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31402RCM9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       443 | PA      | $456.00       | 0.00%             | 2038-05-01      | Variable      | 6.18%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31410QQR5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      7032 | PA      | $7224.17      | 0.00%             | 2036-10-01      | Variable      | 6.29%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31408BQB7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     89734 | PA      | $92127.08     | 0.02%             | 2035-12-01      | Variable      | 6.11%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31402CR61<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      1393 | PA      | $1434.31      | 0.00%             | 2034-01-01      | Variable      | 6.05%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31406PDR7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     81215 | PA      | $83728.67     | 0.02%             | 2035-05-01      | Variable      | 6.46%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31408DCA0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      2418 | PA      | $2482.66      | 0.00%             | 2035-11-01      | Variable      | 6.49%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31405HB80<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     12423 | PA      | $12808.97     | 0.00%             | 2034-06-01      | Variable      | 5.85%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31414UQ27<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     72275 | PA      | $73177.32     | 0.02%             | 2037-06-01      | Variable      | 5.53%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                    | FHLMC                                                                            | CUSIP: 3128S5W75<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    464921 | PA      | $478682.52    | 0.13%             | 2037-11-01      | Variable      | 6.45%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31391NM40<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      1127 | PA      | $1153.39      | 0.00%             | 2032-11-01      | Variable      | 6.03%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31385WZK8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     13454 | PA      | $13771.80     | 0.00%             | 2033-01-01      | Variable      | 5.78%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31402DFN5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    246086 | PA      | $251855.22    | 0.07%             | 2034-07-01      | Variable      | 6.42%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 3138EHVL3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     39652 | PA      | $40317.00     | 0.01%             | 2037-07-01      | Variable      | 5.82%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                    | FHLMC                                                                            | CUSIP: 31300LN50<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    840853 | PA      | $876060.62    | 0.23%             | 2035-03-01      | Variable      | 6.23%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31384VSV5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     24548 | PA      | $24071.11     | 0.01%             | 2036-05-01      | Variable      | 4.32%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31405XYA5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     81050 | PA      | $82318.16     | 0.02%             | 2034-08-01      | Variable      | 5.92%                 | No            |                  2 | On Loan: No      |
| N/A                                                      | U.S. Treasury Long Bonds                                                         | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | US        |       -10 | NC      | $20610.10     | 0.01%             |  |  |  | No            |                  1 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31406TTN1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       865 | PA      | $890.36       | 0.00%             | 2035-03-01      | Variable      | 6.62%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31401CU76<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      4332 | PA      | $4403.97      | 0.00%             | 2033-05-01      | Variable      | 6.13%                 | No            |                  2 | On Loan: No      |
| United States of America                                 | U.S. Treasury Notes                                                              | CUSIP: 91282CMB4<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  10000000 | PA      | $10083398.40  | 2.66%             | 2027-12-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31407AZR5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     24658 | PA      | $25601.09     | 0.01%             | 2035-05-01      | Variable      | 6.58%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31407MGQ2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     48249 | PA      | $49602.92     | 0.01%             | 2035-07-01      | Variable      | 6.36%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31409ASN0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      3852 | PA      | $3963.92      | 0.00%             | 2036-02-01      | Variable      | 6.42%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31401CXK4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      3324 | PA      | $3396.50      | 0.00%             | 2033-05-01      | Variable      | 6.38%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31410GJK0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       132 | PA      | $133.14       | 0.00%             | 2032-01-01      | Variable      | 6.33%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31405QYJ1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      7732 | PA      | $7979.19      | 0.00%             | 2034-11-01      | Variable      | 5.92%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31404DTS7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     27556 | PA      | $28236.21     | 0.01%             | 2034-02-01      | Variable      | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31385XEK9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     13991 | PA      | $14314.70     | 0.00%             | 2033-05-01      | Variable      | 6.32%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                    | FHLMC                                                                            | CUSIP: 3128S4A49<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    192870 | PA      | $201313.93    | 0.05%             | 2036-02-01      | Variable      | 6.37%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31401KL29<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     19385 | PA      | $19968.33     | 0.01%             | 2033-06-01      | Variable      | 6.26%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                    | FHLMC                                                                            | CUSIP: 3128S4GM3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     15401 | PA      | $15765.65     | 0.00%             | 2036-02-01      | Variable      | 6.36%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31406V3E4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       891 | PA      | $913.97       | 0.00%             | 2035-06-01      | Variable      | 6.20%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31402RBC2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      2824 | PA      | $2894.65      | 0.00%             | 2035-02-01      | Variable      | 6.11%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31406AKA9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      9701 | PA      | $9896.19      | 0.00%             | 2034-10-01      | Variable      | 6.11%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31403NBV8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      2331 | PA      | $2393.24      | 0.00%             | 2033-11-01      | Variable      | 6.13%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31402EM70<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      4897 | PA      | $4947.58      | 0.00%             | 2033-01-01      | Variable      | 6.14%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31405KMW8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      2511 | PA      | $2576.85      | 0.00%             | 2034-08-01      | Variable      | 6.17%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31411EZA8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       670 | PA      | $690.27       | 0.00%             | 2037-01-01      | Variable      | 6.10%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31373CSC2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   3139691 | PA      | $3110862.34   | 0.82%             | 2034-04-01      | Variable      | 4.31%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                    | FHLMC                                                                            | CUSIP: 3128S5EK6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    101501 | PA      | $104655.37    | 0.03%             | 2037-10-01      | Variable      | 6.42%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31405VG76<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     11040 | PA      | $11142.82     | 0.00%             | 2034-08-01      | Variable      | 5.37%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31412DPT9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     12941 | PA      | $13261.90     | 0.00%             | 2037-04-01      | Variable      | 6.46%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31400WR77<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     15637 | PA      | $15908.24     | 0.00%             | 2033-04-01      | Variable      | 6.37%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31400ARQ3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        53 | PA      | $53.80        | 0.00%             | 2033-04-01      | Variable      | 6.37%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31408DRK2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     35893 | PA      | $36678.86     | 0.01%             | 2035-12-01      | Variable      | 5.71%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31404ULA6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     10228 | PA      | $10536.91     | 0.00%             | 2034-05-01      | Variable      | 6.28%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31404MPD4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     13996 | PA      | $14373.92     | 0.00%             | 2034-03-01      | Variable      | 6.75%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31407YRJ0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     49505 | PA      | $50442.32     | 0.01%             | 2035-11-01      | Variable      | 5.81%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                    | FHLMC, Series 4794, Class WF                                                     | CUSIP: 3137F5MJ5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   2618793 | PA      | $2580839.09   | 0.68%             | 2043-03-15      | Floating      | 4.49%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31410QEE7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      4587 | PA      | $4705.87      | 0.00%             | 2036-10-01      | Variable      | 5.88%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31407FUV0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      1514 | PA      | $1566.17      | 0.00%             | 2035-07-01      | Variable      | 6.31%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31419BA21<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    116180 | PA      | $121073.62    | 0.03%             | 2038-07-01      | Variable      | 6.22%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31405YPX3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     67610 | PA      | $68435.88     | 0.02%             | 2044-09-01      | Variable      | 5.17%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31409UWF8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      3102 | PA      | $3183.57      | 0.00%             | 2036-01-01      | Variable      | 5.90%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31406MAP1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      2959 | PA      | $3016.41      | 0.00%             | 2035-01-01      | Variable      | 5.57%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31410FZH1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     82712 | PA      | $83818.69     | 0.02%             | 2035-06-01      | Variable      | 5.92%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31407T2S8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     17429 | PA      | $17978.36     | 0.00%             | 2035-09-01      | Variable      | 6.48%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31402QZV6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     29796 | PA      | $30757.22     | 0.01%             | 2034-11-01      | Variable      | 6.06%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31412SKY0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      2031 | PA      | $2090.20      | 0.00%             | 2038-03-01      | Variable      | 6.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31386M2G4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      2294 | PA      | $2338.28      | 0.00%             | 2030-09-01      | Variable      | 6.25%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31400BWB8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      5808 | PA      | $5937.74      | 0.00%             | 2033-02-01      | Variable      | 6.58%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31414R5F8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     17038 | PA      | $17551.35     | 0.00%             | 2038-03-01      | Variable      | 6.56%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31414DPA8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      7548 | PA      | $7813.70      | 0.00%             | 2038-05-01      | Variable      | 6.91%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31403DTT6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      4089 | PA      | $4201.55      | 0.00%             | 2035-04-01      | Variable      | 6.29%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31407EM67<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     50820 | PA      | $52258.57     | 0.01%             | 2035-06-01      | Variable      | 6.36%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31378VKP4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      1051 | PA      | $1055.09      | 0.00%             | 2027-06-01      | Variable      | 6.37%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31411DUK3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     26225 | PA      | $27270.16     | 0.01%             | 2036-11-01      | Variable      | 6.43%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31374T2E8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     34260 | PA      | $33601.70     | 0.01%             | 2036-05-01      | Variable      | 4.37%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31402DM98<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      1288 | PA      | $1319.48      | 0.00%             | 2038-03-01      | Variable      | 6.29%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 3138ERS68<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    136721 | PA      | $140606.20    | 0.04%             | 2038-07-01      | Variable      | 6.07%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31411GTW2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     69171 | PA      | $71978.55     | 0.02%             | 2037-03-01      | Variable      | 6.42%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                    | FHLMC, Series 4988, Class AF                                                     | CUSIP: 3137FUN26<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   2963626 | PA      | $2924535.72   | 0.77%             | 2037-10-15      | Floating      | 4.49%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                    | FHLMC                                                                            | CUSIP: 3128JRJB3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     93692 | PA      | $96540.35     | 0.03%             | 2035-11-01      | Variable      | 6.46%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                    | FHLMC                                                                            | CUSIP: 3128S5VZ4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    155330 | PA      | $160006.82    | 0.04%             | 2038-03-01      | Variable      | 6.59%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31404P6G1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     22171 | PA      | $22622.67     | 0.01%             | 2034-04-01      | Variable      | 6.20%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                    | FHLMC                                                                            | CUSIP: 31347AVZ4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1264979 | PA      | $1317079.29   | 0.35%             | 2045-05-01      | Variable      | 6.41%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31413YLY5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      2989 | PA      | $3040.19      | 0.00%             | 2037-11-01      | Variable      | 5.61%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31406XXN7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     11381 | PA      | $11745.77     | 0.00%             | 2035-06-01      | Variable      | 6.31%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31402RKL2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    308887 | PA      | $317851.19    | 0.08%             | 2034-12-01      | Variable      | 6.20%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31402CWB4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    156212 | PA      | $160568.16    | 0.04%             | 2034-02-01      | Variable      | 6.49%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31414EKD5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      4888 | PA      | $5058.79      | 0.00%             | 2038-06-01      | Variable      | 6.54%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31375VEU3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       807 | PA      | $806.06       | 0.00%             | 2036-07-01      | Variable      | 6.20%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31403DMZ9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    181715 | PA      | $186433.91    | 0.05%             | 2036-05-01      | Variable      | 5.92%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31403DQN2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     32701 | PA      | $33735.47     | 0.01%             | 2036-08-01      | Variable      | 6.45%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31401HJF0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     19073 | PA      | $19576.20     | 0.01%             | 2033-06-01      | Variable      | 6.35%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31403DPE3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      8933 | PA      | $9065.66      | 0.00%             | 2034-03-01      | Variable      | 5.82%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                    | FHLMC                                                                            | CUSIP: 3128QGMT6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     89142 | PA      | $90580.02     | 0.02%             | 2037-01-01      | Variable      | 6.06%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31407YMC0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      2606 | PA      | $2658.72      | 0.00%             | 2035-12-01      | Variable      | 6.06%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 3138EJZS0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    736357 | PA      | $766348.70    | 0.20%             | 2036-06-01      | Variable      | 6.15%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31406DG67<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      8729 | PA      | $9059.29      | 0.00%             | 2034-11-01      | Variable      | 6.21%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31386CXW7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       558 | PA      | $561.94       | 0.00%             | 2028-06-01      | Variable      | 6.41%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31402G7D9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     11408 | PA      | $11715.91     | 0.00%             | 2033-08-01      | Variable      | 6.27%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31409XZY8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    141377 | PA      | $145200.57    | 0.04%             | 2036-02-01      | Variable      | 5.83%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31387MAU3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     74169 | PA      | $75329.06     | 0.02%             | 2031-04-01      | Variable      | 5.89%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31407SKU5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    194853 | PA      | $200954.57    | 0.05%             | 2035-12-01      | Variable      | 6.09%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31405XQU0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      1750 | PA      | $1799.98      | 0.00%             | 2034-11-01      | Variable      | 6.35%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31413RTG1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     20591 | PA      | $21263.00     | 0.01%             | 2037-10-01      | Variable      | 6.28%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31406MER3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     36278 | PA      | $37752.17     | 0.01%             | 2035-01-01      | Variable      | 5.74%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31371L4X4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      3525 | PA      | $3620.19      | 0.00%             | 2035-01-01      | Variable      | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31416BT40<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    547828 | PA      | $567262.47    | 0.15%             | 2036-02-01      | Variable      | 6.27%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31404A3G7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     13796 | PA      | $14193.81     | 0.00%             | 2033-10-01      | Variable      | 5.96%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31407UMR5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     45517 | PA      | $47745.71     | 0.01%             | 2034-11-01      | Variable      | 6.24%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31385H4F6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      2793 | PA      | $2854.38      | 0.00%             | 2040-07-01      | Variable      | 6.25%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31407JNN8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    146793 | PA      | $151919.84    | 0.04%             | 2035-07-01      | Variable      | 6.44%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31410GGV9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     14347 | PA      | $14861.55     | 0.00%             | 2037-08-01      | Variable      | 6.45%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31410ABX3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      9128 | PA      | $9374.62      | 0.00%             | 2036-07-01      | Variable      | 6.19%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31402RUB3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     34111 | PA      | $35156.44     | 0.01%             | 2035-09-01      | Variable      | 6.39%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31412EJ23<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      1246 | PA      | $1269.53      | 0.00%             | 2037-02-01      | Variable      | 6.09%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31401DMN8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      6515 | PA      | $6693.93      | 0.00%             | 2033-05-01      | Variable      | 6.52%                 | No            |                  2 | On Loan: No      |
| United States of America                                 | U.S. Treasury Notes                                                              | CUSIP: 9128286F2<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   2162000 | PA      | $2160035.71   | 0.57%             | 2026-02-28      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31419ACA3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    548093 | PA      | $572182.44    | 0.15%             | 2040-05-01      | Variable      | 6.72%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31412CFL9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      2930 | PA      | $2963.66      | 0.00%             | 2037-01-01      | Variable      | 5.33%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                    | FHLMC                                                                            | CUSIP: 3128S5AJ3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    184596 | PA      | $189756.94    | 0.05%             | 2037-01-01      | Variable      | 6.32%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31391KQN0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       531 | PA      | $543.32       | 0.00%             | 2032-10-01      | Variable      | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31404XR71<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     65402 | PA      | $66891.29     | 0.02%             | 2034-11-01      | Variable      | 6.09%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31407XT92<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    404486 | PA      | $413565.35    | 0.11%             | 2035-11-01      | Variable      | 5.99%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31404FPT4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     27086 | PA      | $27867.27     | 0.01%             | 2034-06-01      | Variable      | 6.22%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31402VZW3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      4898 | PA      | $4992.93      | 0.00%             | 2033-08-01      | Variable      | 5.71%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31402Q4J7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       509 | PA      | $523.56       | 0.00%             | 2033-11-01      | Variable      | 6.12%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31403UYK1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      9943 | PA      | $10172.79     | 0.00%             | 2033-11-01      | Variable      | 5.91%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31406NBL7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     16283 | PA      | $16678.70     | 0.00%             | 2035-04-01      | Variable      | 6.01%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31416CBD7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     12112 | PA      | $12483.47     | 0.00%             | 2035-12-01      | Variable      | 6.20%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31402LGC0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    105958 | PA      | $107702.33    | 0.03%             | 2033-09-01      | Variable      | 6.16%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31409ENJ6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     11671 | PA      | $12035.86     | 0.00%             | 2036-05-01      | Variable      | 6.67%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31410KF41<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    147369 | PA      | $151199.18    | 0.04%             | 2035-08-01      | Variable      | 6.44%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31410UXH0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     35632 | PA      | $37342.77     | 0.01%             | 2036-09-01      | Variable      | 6.26%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31403QMT4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     17487 | PA      | $17825.71     | 0.00%             | 2033-10-01      | Variable      | 6.10%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31409VAS2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    368342 | PA      | $381207.44    | 0.10%             | 2036-02-01      | Variable      | 6.63%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31410Q3N9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     55354 | PA      | $57093.76     | 0.02%             | 2036-03-01      | Variable      | 6.63%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31363XDF7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     17176 | PA      | $17013.68     | 0.00%             | 2028-11-01      | Variable      | 4.40%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 3138EGEG5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     37123 | PA      | $38485.27     | 0.01%             | 2036-09-01      | Variable      | 6.24%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31404EZ90<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     32816 | PA      | $33508.91     | 0.01%             | 2034-03-01      | Variable      | 6.40%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31412SVV4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        64 | PA      | $65.35        | 0.00%             | 2038-07-01      | Variable      | 6.37%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31410PYG2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     25272 | PA      | $26189.18     | 0.01%             | 2036-09-01      | Variable      | 6.68%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31402C2J0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       621 | PA      | $637.32       | 0.00%             | 2038-05-01      | Variable      | 5.99%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31404JSQ9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     18363 | PA      | $18750.22     | 0.00%             | 2034-03-01      | Variable      | 6.27%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31403CWW7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      2525 | PA      | $2581.51      | 0.00%             | 2035-03-01      | Variable      | 5.91%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                    | FHLMC, Series 343, Class F4                                                      | CUSIP: 31351DEC1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   2683578 | PA      | $2632974.82   | 0.69%             | 2037-10-15      | Floating      | 4.49%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31384V7K2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      5073 | PA      | $5067.78      | 0.00%             | 2040-10-01      | Variable      | 5.37%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31404CVT4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     82434 | PA      | $84771.67     | 0.02%             | 2034-01-01      | Variable      | 5.87%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31404FPR8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     52495 | PA      | $54006.67     | 0.01%             | 2034-05-01      | Variable      | 6.22%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31402KU28<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      1524 | PA      | $1565.69      | 0.00%             | 2033-08-01      | Variable      | 6.28%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                    | FHLMC, Series 4891, Class AF                                                     | CUSIP: 3137FM2A9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   4367607 | PA      | $4440465.52   | 1.17%             | 2042-07-15      | Floating      | 4.54%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31407FU40<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      4552 | PA      | $4700.52      | 0.00%             | 2035-08-01      | Variable      | 6.30%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31404X3H5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     27410 | PA      | $28267.12     | 0.01%             | 2034-05-01      | Variable      | 6.62%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31401H6Q0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       969 | PA      | $988.82       | 0.00%             | 2033-06-01      | Variable      | 6.14%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31410XDA1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     17439 | PA      | $18243.95     | 0.00%             | 2036-10-01      | Variable      | 6.78%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31400SXU8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     19132 | PA      | $19639.80     | 0.01%             | 2033-05-01      | Variable      | 6.46%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31384V7B2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        17 | PA      | $17.08        | 0.00%             | 2030-03-01      | Variable      | 5.82%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31391EUJ8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      7472 | PA      | $7653.95      | 0.00%             | 2032-10-01      | Variable      | 6.25%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31402G6M0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      9702 | PA      | $9965.24      | 0.00%             | 2033-08-01      | Variable      | 6.22%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31407MWS0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      5289 | PA      | $5428.27      | 0.00%             | 2035-05-01      | Variable      | 6.33%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31412V6Z6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      9028 | PA      | $9245.05      | 0.00%             | 2037-04-01      | Variable      | 5.64%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31388NR99<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      4616 | PA      | $4664.60      | 0.00%             | 2030-03-01      | Variable      | 5.84%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31390CLB0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       625 | PA      | $640.14       | 0.00%             | 2032-03-01      | Variable      | 6.40%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31412CE30<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      8910 | PA      | $9125.69      | 0.00%             | 2037-01-01      | Variable      | 5.66%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31406L2Y3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     49262 | PA      | $50726.98     | 0.01%             | 2035-07-01      | Variable      | 6.31%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31402DHP8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      5324 | PA      | $5390.25      | 0.00%             | 2032-10-01      | Variable      | 5.73%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31406VQ74<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      5747 | PA      | $5814.24      | 0.00%             | 2035-05-01      | Variable      | 6.04%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31402J4L8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     60634 | PA      | $62235.29     | 0.02%             | 2033-08-01      | Variable      | 6.46%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                    | FHLMC                                                                            | CUSIP: 31349SRM7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     92329 | PA      | $94766.28     | 0.02%             | 2034-04-01      | Variable      | 6.48%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31403DTQ2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      1646 | PA      | $1696.73      | 0.00%             | 2035-11-01      | Variable      | 5.98%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31410EPE2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    147019 | PA      | $151740.87    | 0.04%             | 2036-06-01      | Variable      | 6.36%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31402XWP7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     43992 | PA      | $44580.04     | 0.01%             | 2033-10-01      | Variable      | 5.73%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31402D4C1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      7624 | PA      | $7733.96      | 0.00%             | 2033-07-01      | Variable      | 6.03%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31373KHT9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    180449 | PA      | $177245.40    | 0.05%             | 2034-09-01      | Variable      | 4.12%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31406RA70<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      2654 | PA      | $2689.06      | 0.00%             | 2035-07-01      | Variable      | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31402RBH1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      6882 | PA      | $7098.31      | 0.00%             | 2034-11-01      | Variable      | 6.40%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31406GLR8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    109317 | PA      | $110637.53    | 0.03%             | 2035-02-01      | Variable      | 5.47%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31391MQR7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    130541 | PA      | $132256.07    | 0.03%             | 2033-01-01      | Variable      | 5.54%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31407JNQ1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      3817 | PA      | $3948.73      | 0.00%             | 2035-07-01      | Variable      | 6.17%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 3138EHJB9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     47043 | PA      | $49254.82     | 0.01%             | 2037-08-01      | Variable      | 6.25%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31419APP6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    280509 | PA      | $288424.81    | 0.08%             | 2038-11-01      | Variable      | 6.61%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31410GG31<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      2346 | PA      | $2406.46      | 0.00%             | 2038-03-01      | Variable      | 6.17%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31409AK81<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       864 | PA      | $887.12       | 0.00%             | 2036-02-01      | Variable      | 6.52%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31402RN62<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      4569 | PA      | $4697.64      | 0.00%             | 2035-07-01      | Variable      | 6.21%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31408GX28<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      1253 | PA      | $1295.10      | 0.00%             | 2035-09-01      | Variable      | 6.47%                 | No            |                  2 | On Loan: No      |
| United States of America                                 | U.S. Treasury Notes                                                              | CUSIP: 91282CMF5<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  10000000 | PA      | $10132812.50  | 2.67%             | 2028-01-15      | Fixed         | 4.25%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31403CZ95<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      7800 | PA      | $8045.14      | 0.00%             | 2035-09-01      | Variable      | 6.40%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31406WEE0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    195653 | PA      | $200382.68    | 0.05%             | 2035-06-01      | Variable      | 6.17%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31402RPM5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      3055 | PA      | $3143.18      | 0.00%             | 2035-06-01      | Variable      | 5.94%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31410GJN4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    227969 | PA      | $233989.75    | 0.06%             | 2037-08-01      | Variable      | 5.94%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31409X3V9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     33709 | PA      | $34410.59     | 0.01%             | 2036-04-01      | Variable      | 6.04%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31410RM48<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     27034 | PA      | $27971.47     | 0.01%             | 2036-08-01      | Variable      | 6.55%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31385HUF7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        60 | PA      | $60.52        | 0.00%             | 2038-03-01      | Variable      | 6.34%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31410FW50<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     13998 | PA      | $14356.80     | 0.00%             | 2037-01-01      | Variable      | 6.63%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                    | FHLMC                                                                            | CUSIP: 3128S4GC5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     32419 | PA      | $33399.57     | 0.01%             | 2037-01-01      | Variable      | 6.11%                 | No            |                  2 | On Loan: No      |
| United States of America                                 | U.S. Treasury Notes                                                              | CUSIP: 91282CKK6<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  18238000 | PA      | $18288687.41  | 4.82%             | 2026-04-30      | Fixed         | 4.88%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31410F3M5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       631 | PA      | $640.67       | 0.00%             | 2037-04-01      | Variable      | 6.04%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                    | FHLMC                                                                            | CUSIP: 3128JRG26<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     98842 | PA      | $101515.05    | 0.03%             | 2035-06-01      | Variable      | 6.85%                 | No            |                  2 | On Loan: No      |
| FHLMC, Multifamily Structured Pass-Through Certificates  | FHLMC, Multi-family Structured Pass-Through Certificates, Series KF164, Class AS | CUSIP: 3137HHUV1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   3820077 | PA      | $3819195.89   | 1.01%             | 2034-10-25      | Floating      | 4.36%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                    | FHLMC                                                                            | CUSIP: 3128S5DY7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    387374 | PA      | $398424.76    | 0.10%             | 2037-04-01      | Variable      | 6.31%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31403DVD8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      2898 | PA      | $2982.96      | 0.00%             | 2038-05-01      | Variable      | 6.15%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                    | FHLMC                                                                            | CUSIP: 31347ASU9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    305126 | PA      | $313843.17    | 0.08%             | 2036-01-01      | Variable      | 6.41%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31400AMQ8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      1431 | PA      | $1459.56      | 0.00%             | 2033-01-01      | Variable      | 5.62%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31405RXF8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      7647 | PA      | $7859.21      | 0.00%             | 2034-10-01      | Variable      | 6.22%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31391QW34<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      1153 | PA      | $1180.43      | 0.00%             | 2032-12-01      | Variable      | 5.80%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31404ECQ7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     15531 | PA      | $15919.63     | 0.00%             | 2034-02-01      | Variable      | 6.60%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31401CXL2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      4364 | PA      | $4468.01      | 0.00%             | 2033-05-01      | Variable      | 6.56%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31391SSW1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      1884 | PA      | $1921.18      | 0.00%             | 2032-12-01      | Variable      | 5.62%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31409HGL2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     41883 | PA      | $43329.83     | 0.01%             | 2036-05-01      | Variable      | 6.55%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31401PEH3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    184664 | PA      | $187732.36    | 0.05%             | 2033-04-01      | Variable      | 6.15%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 3138ETM29<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   3172258 | PA      | $3310961.27   | 0.87%             | 2036-05-01      | Variable      | 6.26%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31410AH33<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      2442 | PA      | $2527.73      | 0.00%             | 2036-07-01      | Variable      | 6.64%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31400FEQ6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     46934 | PA      | $48217.65     | 0.01%             | 2033-07-01      | Variable      | 6.21%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31400VP89<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       225 | PA      | $224.84       | 0.00%             | 2028-03-01      | Variable      | 5.51%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31413KMQ1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    101647 | PA      | $103733.96    | 0.03%             | 2037-10-01      | Variable      | 5.99%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31406QGG6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     60130 | PA      | $61306.88     | 0.02%             | 2035-02-01      | Variable      | 6.23%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA, 30 Year                                                                    | CUSIP: 31418ERA0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |         0 | PA      | $0.01         | 0.00%             | 2053-04-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31405DVE4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     13299 | PA      | $13596.94     | 0.00%             | 2034-07-01      | Variable      | 6.33%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31406NEA8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     83168 | PA      | $85136.37     | 0.02%             | 2035-04-01      | Variable      | 6.56%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31406WNX8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     21360 | PA      | $21686.61     | 0.01%             | 2035-02-01      | Variable      | 5.59%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31400Q2Z5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      1978 | PA      | $2029.22      | 0.00%             | 2033-03-01      | Variable      | 6.54%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                    | FHLMC                                                                            | CUSIP: 3128JMVS3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    172526 | PA      | $177236.94    | 0.05%             | 2036-01-01      | Variable      | 6.53%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31390W7E6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     13220 | PA      | $13566.10     | 0.00%             | 2032-11-01      | Variable      | 6.06%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                    | FHLMC                                                                            | CUSIP: 3128S4HF7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    196254 | PA      | $203973.43    | 0.05%             | 2037-03-01      | Variable      | 6.45%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31410GMA8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    317520 | PA      | $327599.94    | 0.09%             | 2037-09-01      | Variable      | 6.56%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31410GDQ3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      5778 | PA      | $5940.02      | 0.00%             | 2033-12-01      | Variable      | 6.03%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31403NPV3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     36101 | PA      | $37001.68     | 0.01%             | 2033-12-01      | Variable      | 6.11%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31418MM90<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     38033 | PA      | $39333.89     | 0.01%             | 2037-11-01      | Variable      | 6.35%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31402QX48<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      1131 | PA      | $1159.30      | 0.00%             | 2035-01-01      | Variable      | 5.99%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA, 30 Year                                                                    | CUSIP: 31418EXW5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |         0 | PA      | $0.01         | 0.00%             | 2053-11-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31402HAL5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     16231 | PA      | $16757.33     | 0.00%             | 2033-09-01      | Variable      | 6.46%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31402TLH6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     15626 | PA      | $15857.32     | 0.00%             | 2033-08-01      | Variable      | 5.74%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31404GTS0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     82809 | PA      | $83910.84     | 0.02%             | 2033-11-01      | Variable      | 5.92%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31410EPC6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    190839 | PA      | $196187.98    | 0.05%             | 2036-06-01      | Variable      | 6.23%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31385HJT0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      1909 | PA      | $1910.05      | 0.00%             | 2036-07-01      | Variable      | 5.07%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31410F4H5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      1559 | PA      | $1607.56      | 0.00%             | 2037-03-01      | Variable      | 6.20%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                    | FHLMC                                                                            | CUSIP: 31300LF34<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    709318 | PA      | $735904.14    | 0.19%             | 2035-12-01      | Variable      | 6.70%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31409EJW2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    123815 | PA      | $127384.90    | 0.03%             | 2036-04-01      | Variable      | 5.88%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31409VJ20<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     49789 | PA      | $51251.74     | 0.01%             | 2036-07-01      | Variable      | 6.24%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31405PLQ1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     10444 | PA      | $10830.27     | 0.00%             | 2034-10-01      | Variable      | 5.89%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31400XZG6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      3133 | PA      | $3189.26      | 0.00%             | 2033-04-01      | Variable      | 6.64%                 | No            |                  2 | On Loan: No      |
| N/A                                                      | U.S. Treasury 2 Year Notes                                                       | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | US        |       520 | NC      | $-191580.84   | -0.05%            |  |  |  | No            |                  1 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31416CAQ9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      4925 | PA      | $5037.54      | 0.00%             | 2037-10-01      | Variable      | 6.19%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31402Q5R8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    101431 | PA      | $103498.19    | 0.03%             | 2035-01-01      | Variable      | 5.71%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                    | FHLMC                                                                            | CUSIP: 3128S5ZW7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   3230548 | PA      | $3375005.70   | 0.89%             | 2037-09-01      | Variable      | 6.47%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31374GEW3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      1112 | PA      | $1117.62      | 0.00%             | 2027-04-01      | Variable      | 6.46%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31403DQ69<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     96266 | PA      | $99594.69     | 0.03%             | 2036-07-01      | Variable      | 6.20%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 3138EMA43<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    410050 | PA      | $428806.27    | 0.11%             | 2040-12-01      | Variable      | 6.27%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31407XWM9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     24057 | PA      | $24406.83     | 0.01%             | 2035-11-01      | Variable      | 5.80%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31416CL61<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       565 | PA      | $581.42       | 0.00%             | 2036-09-01      | Variable      | 6.37%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31410AKW5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     39719 | PA      | $41154.85     | 0.01%             | 2036-07-01      | Variable      | 6.10%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                    | FHLMC                                                                            | CUSIP: 31288QLJ7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   5453003 | PA      | $5686979.44   | 1.50%             | 2046-07-01      | Variable      | 6.46%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31391TZ50<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     11361 | PA      | $11595.06     | 0.00%             | 2032-12-01      | Variable      | 6.01%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31403AL78<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      6282 | PA      | $6442.18      | 0.00%             | 2033-09-01      | Variable      | 6.39%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31374GRC3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      3976 | PA      | $3935.28      | 0.00%             | 2036-05-01      | Variable      | 4.37%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31405FTR3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      1176 | PA      | $1213.14      | 0.00%             | 2034-07-01      | Variable      | 6.29%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31400RT76<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      5372 | PA      | $5501.06      | 0.00%             | 2033-04-01      | Variable      | 6.07%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31385XSJ7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      1308 | PA      | $1299.52      | 0.00%             | 2035-09-01      | Variable      | 4.57%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31403FGK4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      6772 | PA      | $6951.18      | 0.00%             | 2034-07-01      | Variable      | 6.15%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31404XE26<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    253364 | PA      | $260612.60    | 0.07%             | 2034-08-01      | Variable      | 6.18%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31402DNC0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       106 | PA      | $108.14       | 0.00%             | 2033-05-01      | Variable      | 6.40%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31400AMD7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     21077 | PA      | $21576.88     | 0.01%             | 2033-01-01      | Variable      | 5.80%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                    | FHLMC                                                                            | CUSIP: 3128NHK36<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1307188 | PA      | $1345674.27   | 0.35%             | 2035-09-01      | Variable      | 6.09%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31402RHT9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     12783 | PA      | $12796.61     | 0.00%             | 2042-08-01      | Variable      | 5.17%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31402QZY0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       405 | PA      | $415.56       | 0.00%             | 2038-05-01      | Variable      | 6.32%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31403DUU1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      5372 | PA      | $5534.76      | 0.00%             | 2036-10-01      | Variable      | 6.51%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31405NLX1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       487 | PA      | $496.63       | 0.00%             | 2034-09-01      | Variable      | 6.32%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31409GFF8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     28640 | PA      | $29562.66     | 0.01%             | 2036-04-01      | Variable      | 6.52%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31402DMF4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      3665 | PA      | $3756.15      | 0.00%             | 2034-08-01      | Variable      | 6.12%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31412EJ72<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      3581 | PA      | $3661.83      | 0.00%             | 2037-02-01      | Variable      | 5.71%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                    | FHLMC, Series 4915, Class FE                                                     | CUSIP: 3137FNJT8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   6002182 | PA      | $5931987.43   | 1.56%             | 2038-02-15      | Floating      | 4.54%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31410DXD7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     17289 | PA      | $17732.00     | 0.00%             | 2036-08-01      | Variable      | 6.33%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31404XJX3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      7805 | PA      | $8001.69      | 0.00%             | 2034-12-01      | Variable      | 5.62%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31409UWM3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     49078 | PA      | $50954.71     | 0.01%             | 2035-11-01      | Variable      | 6.19%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31404XH31<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      5408 | PA      | $5542.30      | 0.00%             | 2034-10-01      | Variable      | 5.92%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31419GJS4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    155825 | PA      | $161881.11    | 0.04%             | 2040-09-01      | Variable      | 6.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31405JE75<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      1157 | PA      | $1184.81      | 0.00%             | 2034-09-01      | Variable      | 6.36%                 | No            |                  2 | On Loan: No      |
| GNMA                                                     | GNMA II                                                                          | CUSIP: 36225DBX1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      4028 | PA      | $4034.52      | 0.00%             | 2034-06-20      | Variable      | 5.62%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31409CD44<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     65587 | PA      | $67794.87     | 0.02%             | 2036-02-01      | Variable      | 5.89%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31371MB89<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     50538 | PA      | $52049.03     | 0.01%             | 2035-05-01      | Variable      | 6.75%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 3138EGEH3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1124193 | PA      | $1161181.64   | 0.31%             | 2039-01-01      | Variable      | 6.40%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31407CU88<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    102300 | PA      | $105256.19    | 0.03%             | 2035-08-01      | Variable      | 6.41%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31409XQG7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     17273 | PA      | $17719.95     | 0.00%             | 2036-03-01      | Variable      | 6.12%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31402Q5D9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     14318 | PA      | $14625.66     | 0.00%             | 2034-07-01      | Variable      | 6.15%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31403VLC1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      2726 | PA      | $2777.81      | 0.00%             | 2034-01-01      | Variable      | 5.70%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA, 30 Year                                                                    | CUSIP: 31418ET75<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   3600908 | PA      | $3708143.26   | 0.98%             | 2053-07-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31401Y3J2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     65061 | PA      | $67048.13     | 0.02%             | 2033-09-01      | Variable      | 6.39%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31409X5Q8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     30130 | PA      | $30741.80     | 0.01%             | 2036-06-01      | Variable      | 5.83%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31413ECE3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     14188 | PA      | $14697.57     | 0.00%             | 2037-08-01      | Variable      | 6.74%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31402RH69<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      5389 | PA      | $5395.42      | 0.00%             | 2044-10-01      | Variable      | 5.17%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31390AHA1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      6731 | PA      | $6886.98      | 0.00%             | 2032-04-01      | Variable      | 6.40%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31409DVM2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    231546 | PA      | $238919.51    | 0.06%             | 2036-04-01      | Variable      | 6.70%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31385HU59<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      2398 | PA      | $2370.59      | 0.00%             | 2036-05-01      | Variable      | 4.38%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                    | FHLMC                                                                            | CUSIP: 31300LEF8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    367389 | PA      | $377963.14    | 0.10%             | 2034-08-01      | Variable      | 6.66%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31403AQP3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    100564 | PA      | $103085.70    | 0.03%             | 2033-10-01      | Variable      | 6.30%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31403NSL2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     21173 | PA      | $21709.40     | 0.01%             | 2033-11-01      | Variable      | 6.39%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31384VJ60<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       137 | PA      | $137.55       | 0.00%             | 2028-07-01      | Variable      | 6.45%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31402A5N2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     26272 | PA      | $26926.02     | 0.01%             | 2033-07-01      | Variable      | 6.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31405AET6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      1925 | PA      | $1918.46      | 0.00%             | 2044-04-01      | Variable      | 5.17%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31411JKZ8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      2177 | PA      | $2236.55      | 0.00%             | 2037-02-01      | Variable      | 5.88%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31413ADY6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     11823 | PA      | $12026.84     | 0.00%             | 2037-05-01      | Variable      | 6.27%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31410SCZ8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    380012 | PA      | $389265.28    | 0.10%             | 2036-05-01      | Variable      | 5.93%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31402C6N7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      4614 | PA      | $4666.46      | 0.00%             | 2034-04-01      | Variable      | 5.80%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31412XPK4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       205 | PA      | $210.84       | 0.00%             | 2037-06-01      | Variable      | 6.42%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31403YHN6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     19036 | PA      | $19587.48     | 0.01%             | 2033-12-01      | Variable      | 5.91%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31402DMC1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       921 | PA      | $939.14       | 0.00%             | 2034-09-01      | Variable      | 6.41%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31410SCY1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    198826 | PA      | $202690.41    | 0.05%             | 2036-05-01      | Variable      | 6.06%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31385XJS7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      5658 | PA      | $5803.63      | 0.00%             | 2040-01-01      | Variable      | 6.40%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31402KR48<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      2751 | PA      | $2834.00      | 0.00%             | 2033-09-01      | Variable      | 6.41%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31406NSE5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     33141 | PA      | $33631.79     | 0.01%             | 2035-05-01      | Variable      | 6.23%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31389VAQ0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     17432 | PA      | $17805.09     | 0.00%             | 2032-04-01      | Variable      | 6.54%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31416B5V6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     10890 | PA      | $11272.96     | 0.00%             | 2038-07-01      | Variable      | 6.28%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31404XFS8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      3340 | PA      | $3424.81      | 0.00%             | 2034-09-01      | Variable      | 6.13%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31406VZ33<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    116487 | PA      | $119240.58    | 0.03%             | 2035-06-01      | Variable      | 6.12%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31406LMT2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     22543 | PA      | $23091.66     | 0.01%             | 2035-01-01      | Variable      | 5.92%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31391LSJ5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    148424 | PA      | $150274.65    | 0.04%             | 2033-03-01      | Variable      | 5.92%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31401BX83<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      4411 | PA      | $4501.84      | 0.00%             | 2033-01-01      | Variable      | 6.33%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31407MSF3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      1890 | PA      | $1948.66      | 0.00%             | 2035-07-01      | Variable      | 5.74%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31407CAP2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    589191 | PA      | $605261.47    | 0.16%             | 2035-07-01      | Variable      | 6.03%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31412CBL3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     14191 | PA      | $14755.58     | 0.00%             | 2036-03-01      | Variable      | 6.84%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31416CAG1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      4021 | PA      | $4179.81      | 0.00%             | 2037-03-01      | Variable      | 6.46%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31411E2N6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     56949 | PA      | $58750.33     | 0.02%             | 2037-01-01      | Variable      | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31401G4N1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     15261 | PA      | $15542.74     | 0.00%             | 2033-07-01      | Variable      | 5.89%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                    | FHLMC                                                                            | CUSIP: 3128JRV37<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     84158 | PA      | $86969.96     | 0.02%             | 2037-12-01      | Variable      | 6.60%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31402CQG0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       630 | PA      | $640.50       | 0.00%             | 2039-09-01      | Variable      | 6.31%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31409WCG4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     26034 | PA      | $27052.44     | 0.01%             | 2036-02-01      | Variable      | 6.08%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31404XEC4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      4909 | PA      | $5028.05      | 0.00%             | 2034-09-01      | Variable      | 6.13%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 3138EPR63<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    313934 | PA      | $322456.24    | 0.08%             | 2040-04-01      | Variable      | 6.29%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 3138EHVA7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     29589 | PA      | $30661.60     | 0.01%             | 2037-07-01      | Variable      | 6.19%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31416BWK0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     19503 | PA      | $19813.00     | 0.01%             | 2038-09-01      | Variable      | 5.93%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31409ACY3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     48749 | PA      | $50786.04     | 0.01%             | 2035-09-01      | Variable      | 7.05%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31410B6S8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      6601 | PA      | $6796.70      | 0.00%             | 2036-10-01      | Variable      | 6.37%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31406BV64<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     92143 | PA      | $93852.15     | 0.02%             | 2035-01-01      | Variable      | 5.75%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31385WZW2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      1530 | PA      | $1558.63      | 0.00%             | 2032-12-01      | Variable      | 6.48%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31407AAJ0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    137525 | PA      | $140986.18    | 0.04%             | 2035-06-01      | Variable      | 6.32%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31405RM94<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      7836 | PA      | $8009.13      | 0.00%             | 2034-08-01      | Variable      | 6.36%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31385XSY4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      6233 | PA      | $6293.95      | 0.00%             | 2033-09-01      | Variable      | 5.56%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31406LZ68<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       327 | PA      | $336.12       | 0.00%             | 2034-12-01      | Variable      | 5.93%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31407WS87<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     56301 | PA      | $57423.96     | 0.02%             | 2035-08-01      | Variable      | 6.17%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31400SJK6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      7188 | PA      | $7376.52      | 0.00%             | 2033-04-01      | Variable      | 6.52%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31410KVD3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        14 | PA      | $13.55        | 0.00%             | 2028-02-01      | Variable      | 5.54%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31412G2Z3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     10248 | PA      | $10394.51     | 0.00%             | 2034-07-01      | Variable      | 5.05%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31411JMS2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      6413 | PA      | $6640.16      | 0.00%             | 2037-02-01      | Variable      | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31406L5A2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     30239 | PA      | $31196.74     | 0.01%             | 2036-05-01      | Variable      | 6.31%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31402XWG7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     54882 | PA      | $55684.36     | 0.01%             | 2033-10-01      | Variable      | 5.78%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31402RMG1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      8040 | PA      | $8279.56      | 0.00%             | 2035-08-01      | Variable      | 6.22%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31416BK49<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1203132 | PA      | $1244431.58   | 0.33%             | 2036-02-01      | Variable      | 5.98%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31410GDS9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      2117 | PA      | $2182.45      | 0.00%             | 2034-02-01      | Variable      | 6.01%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31389CYT0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     10084 | PA      | $10183.55     | 0.00%             | 2032-01-01      | Variable      | 5.54%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31401MUQ2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     12627 | PA      | $12869.46     | 0.00%             | 2033-04-01      | Variable      | 5.58%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31390NJT0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      1926 | PA      | $1928.96      | 0.00%             | 2032-06-01      | Variable      | 5.10%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31374TYQ6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      5868 | PA      | $5945.24      | 0.00%             | 2029-08-01      | Variable      | 6.13%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31408EQ21<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    437315 | PA      | $444992.63    | 0.12%             | 2036-01-01      | Variable      | 5.51%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31404RUM7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      3270 | PA      | $3357.40      | 0.00%             | 2034-03-01      | Variable      | 6.08%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31391FPC6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        23 | PA      | $23.52        | 0.00%             | 2029-08-01      | Variable      | 6.34%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31385WZZ5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     53977 | PA      | $54504.78     | 0.01%             | 2032-09-01      | Variable      | 5.84%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31400YA22<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     24275 | PA      | $24705.77     | 0.01%             | 2033-04-01      | Variable      | 6.54%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31406DAE6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     25101 | PA      | $25114.32     | 0.01%             | 2044-10-01      | Variable      | 5.17%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                    | FHLMC, Series 4730, Class WF                                                     | CUSIP: 3137FBCF1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   2481180 | PA      | $2450863.69   | 0.65%             | 2038-08-15      | Floating      | 4.49%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31403DKQ1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     92202 | PA      | $95470.95     | 0.03%             | 2035-05-01      | Variable      | 6.34%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31405DLX3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     17030 | PA      | $17353.49     | 0.00%             | 2034-07-01      | Variable      | 6.05%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31405TZV7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     36697 | PA      | $37334.56     | 0.01%             | 2034-08-01      | Variable      | 6.18%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                    | FHLMC                                                                            | CUSIP: 3128QSU95<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    138242 | PA      | $141310.93    | 0.04%             | 2036-06-01      | Variable      | 6.23%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31407XPG0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      4443 | PA      | $4517.59      | 0.00%             | 2035-11-01      | Variable      | 5.87%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31371MFY8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     52724 | PA      | $54549.38     | 0.01%             | 2035-08-01      | Variable      | 6.48%                 | No            |                  2 | On Loan: No      |
| GNMA                                                     | GNMA II                                                                          | CUSIP: 36225D3S1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     69595 | PA      | $70370.26     | 0.02%             | 2036-05-20      | Variable      | 5.62%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31404NAD8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      2852 | PA      | $2927.02      | 0.00%             | 2034-11-01      | Variable      | 5.69%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                    | FHLMC                                                                            | CUSIP: 3128S5LE2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    362967 | PA      | $374311.30    | 0.10%             | 2036-11-01      | Variable      | 6.23%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31410MHB9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    123435 | PA      | $128326.18    | 0.03%             | 2036-04-01      | Variable      | 6.17%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31388K2K7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     11741 | PA      | $11996.75     | 0.00%             | 2031-09-01      | Variable      | 6.14%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31411VHW2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       646 | PA      | $659.43       | 0.00%             | 2037-02-01      | Variable      | 6.46%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31411VVR7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     23770 | PA      | $24513.37     | 0.01%             | 2037-03-01      | Variable      | 5.96%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                    | FHLMC                                                                            | CUSIP: 31300MAA1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     82573 | PA      | $86120.51     | 0.02%             | 2036-06-01      | Variable      | 6.20%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31404JVP7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     61050 | PA      | $62482.30     | 0.02%             | 2034-04-01      | Variable      | 6.51%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31413NJ63<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     11066 | PA      | $11124.75     | 0.00%             | 2037-08-01      | Variable      | 5.39%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31406UUX4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     59190 | PA      | $60338.01     | 0.02%             | 2035-03-01      | Variable      | 5.98%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31385H5Y4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     23508 | PA      | $24036.95     | 0.01%             | 2032-01-01      | Variable      | 6.03%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31407GCT3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    152832 | PA      | $157835.66    | 0.04%             | 2035-02-01      | Variable      | 5.94%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                    | FHLMC, Series 413, Class F23                                                     | CUSIP: 3133Q3LF6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1139820 | PA      | $1146836.46   | 0.30%             | 2054-05-25      | Floating      | 4.75%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31404PHL8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       800 | PA      | $820.72       | 0.00%             | 2034-03-01      | Variable      | 6.38%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31402REK1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      1340 | PA      | $1385.23      | 0.00%             | 2035-05-01      | Variable      | 6.93%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31376JNW5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      3218 | PA      | $3318.91      | 0.00%             | 2036-10-01      | Variable      | 6.30%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31385YEG6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      4230 | PA      | $4243.68      | 0.00%             | 2027-08-01      | Variable      | 6.29%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31403C3Z2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     46112 | PA      | $47537.05     | 0.01%             | 2035-11-01      | Variable      | 6.31%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31405AP64<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      2022 | PA      | $2085.82      | 0.00%             | 2034-06-01      | Variable      | 6.21%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31404Q5M7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    152987 | PA      | $154857.54    | 0.04%             | 2044-03-01      | Variable      | 5.17%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31405NLW3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       650 | PA      | $665.44       | 0.00%             | 2034-09-01      | Variable      | 6.18%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31407WSS3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      5803 | PA      | $5997.80      | 0.00%             | 2035-09-01      | Variable      | 6.16%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                    | FHLMC                                                                            | CUSIP: 3128S54S0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    257466 | PA      | $264604.14    | 0.07%             | 2038-10-01      | Variable      | 6.44%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31414NBM5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     17779 | PA      | $18447.94     | 0.00%             | 2038-11-01      | Variable      | 6.33%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31405H3L0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       132 | PA      | $134.40       | 0.00%             | 2034-08-01      | Variable      | 6.02%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31404DZ68<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     15688 | PA      | $16117.91     | 0.00%             | 2033-10-01      | Variable      | 6.26%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31410EFD5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      4694 | PA      | $4836.98      | 0.00%             | 2036-08-01      | Variable      | 6.64%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31390WQX3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     41466 | PA      | $42710.73     | 0.01%             | 2033-09-01      | Variable      | 6.40%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31409JKQ2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     10819 | PA      | $11087.66     | 0.00%             | 2036-05-01      | Variable      | 6.22%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31410FX34<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      4021 | PA      | $4122.46      | 0.00%             | 2036-03-01      | Variable      | 6.83%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                    | FHLMC                                                                            | CUSIP: 3128NHPT4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     40837 | PA      | $41932.90     | 0.01%             | 2036-09-01      | Variable      | 6.19%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31405RC61<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     90740 | PA      | $93450.33     | 0.02%             | 2034-09-01      | Variable      | 6.41%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31402REL9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      4871 | PA      | $5011.17      | 0.00%             | 2035-04-01      | Variable      | 6.37%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31407MSW6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     22895 | PA      | $23441.14     | 0.01%             | 2035-07-01      | Variable      | 5.72%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31412CFA3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      7360 | PA      | $7483.62      | 0.00%             | 2037-01-01      | Variable      | 5.54%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31407XUW9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     32450 | PA      | $33082.63     | 0.01%             | 2035-11-01      | Variable      | 5.78%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31407MSE6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      2883 | PA      | $2938.67      | 0.00%             | 2035-07-01      | Variable      | 5.74%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31416B5R5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     38906 | PA      | $40240.44     | 0.01%             | 2039-02-01      | Variable      | 6.31%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31403DNX3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     13864 | PA      | $14219.30     | 0.00%             | 2038-05-01      | Variable      | 6.24%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31406WGK4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       824 | PA      | $833.24       | 0.00%             | 2035-07-01      | Variable      | 6.24%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31411HM56<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      4721 | PA      | $4890.35      | 0.00%             | 2037-01-01      | Variable      | 5.90%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31402RQK8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     15571 | PA      | $15954.88     | 0.00%             | 2036-07-01      | Variable      | 6.23%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31390UMX1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      1535 | PA      | $1578.90      | 0.00%             | 2033-06-01      | Variable      | 6.29%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31403DC49<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     89492 | PA      | $91594.84     | 0.02%             | 2036-02-01      | Variable      | 5.86%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                    | FHLMC                                                                            | CUSIP: 3128JR6K7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    118635 | PA      | $123443.70    | 0.03%             | 2037-06-01      | Variable      | 6.62%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31403Q5H9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       833 | PA      | $846.01       | 0.00%             | 2033-10-01      | Variable      | 6.03%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31416BWG9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      2431 | PA      | $2496.82      | 0.00%             | 2036-09-01      | Variable      | 6.24%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31414URK6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    157370 | PA      | $160143.64    | 0.04%             | 2035-01-01      | Variable      | 5.78%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31410VQJ2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     54142 | PA      | $55014.38     | 0.01%             | 2034-08-01      | Variable      | 6.04%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31403AU60<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     79738 | PA      | $81819.45     | 0.02%             | 2033-10-01      | Variable      | 6.38%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31405X5P4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      5529 | PA      | $5680.30      | 0.00%             | 2034-12-01      | Variable      | 5.82%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31401GYR9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      5305 | PA      | $5403.50      | 0.00%             | 2033-04-01      | Variable      | 6.02%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31389TR46<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      1004 | PA      | $1022.29      | 0.00%             | 2032-06-01      | Variable      | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31406L3G1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      1375 | PA      | $1417.63      | 0.00%             | 2036-01-01      | Variable      | 5.80%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31390WTK8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      3438 | PA      | $3482.61      | 0.00%             | 2033-10-01      | Variable      | 5.91%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31378FEF8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       425 | PA      | $424.68       | 0.00%             | 2027-06-01      | Variable      | 6.21%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31405LNA3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     30703 | PA      | $31614.14     | 0.01%             | 2034-07-01      | Variable      | 6.28%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31417VFL2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     84496 | PA      | $86451.01     | 0.02%             | 2035-07-01      | Variable      | 6.32%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31404UQ60<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      2046 | PA      | $2093.43      | 0.00%             | 2034-06-01      | Variable      | 6.30%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31405WHV0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      2858 | PA      | $2946.42      | 0.00%             | 2034-10-01      | Variable      | 6.32%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31385XP43<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        72 | PA      | $72.06        | 0.00%             | 2030-08-01      | Variable      | 6.39%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31413QJ33<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      1906 | PA      | $1964.59      | 0.00%             | 2037-11-01      | Variable      | 6.20%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31384VBF8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      7357 | PA      | $7362.79      | 0.00%             | 2027-05-01      | Variable      | 6.22%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31406V5L6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     80553 | PA      | $82168.57     | 0.02%             | 2035-06-01      | Variable      | 6.11%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31409XXB0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     27774 | PA      | $28522.37     | 0.01%             | 2036-04-01      | Variable      | 6.61%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31389AZN6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      3583 | PA      | $3555.77      | 0.00%             | 2036-11-01      | Variable      | 4.08%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31407KRF8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     48352 | PA      | $49432.10     | 0.01%             | 2035-09-01      | Variable      | 6.14%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31405YXX4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     17921 | PA      | $18342.68     | 0.00%             | 2034-10-01      | Variable      | 6.09%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31406DBS4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      2150 | PA      | $2223.81      | 0.00%             | 2035-01-01      | Variable      | 5.94%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 3138EGSW5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    633435 | PA      | $653259.86    | 0.17%             | 2035-09-01      | Variable      | 6.77%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31410L6G2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      4908 | PA      | $5072.72      | 0.00%             | 2036-08-01      | Variable      | 6.48%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31403ATU9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      4812 | PA      | $4944.19      | 0.00%             | 2033-10-01      | Variable      | 6.06%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31402M4D9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     39891 | PA      | $40888.22     | 0.01%             | 2033-08-01      | Variable      | 6.30%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31370Q6L8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     76875 | PA      | $76212.93     | 0.02%             | 2033-03-01      | Variable      | 4.20%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31388G7J4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     18950 | PA      | $19333.81     | 0.01%             | 2032-09-01      | Variable      | 6.13%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31400AM96<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     45767 | PA      | $46457.22     | 0.01%             | 2033-01-01      | Variable      | 5.57%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31402G6P3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      8974 | PA      | $9218.50      | 0.00%             | 2033-07-01      | Variable      | 6.22%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                    | FHLMC                                                                            | CUSIP: 3128QPQ21<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    513096 | PA      | $538499.89    | 0.14%             | 2037-01-01      | Variable      | 7.45%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                    | FHLMC, Series 5537, Class FC                                                     | CUSIP: 3137HLBG6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1789400 | PA      | $1804585.60   | 0.48%             | 2055-05-25      | Floating      | 4.85%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31410F7K5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    381565 | PA      | $394352.47    | 0.10%             | 2036-09-01      | Variable      | 6.49%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                    | FHLMC, Multi-family Structured Pass-Through Certificates, Series KF160, Class AS | CUSIP: 3137HBBP8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   2284873 | PA      | $2292913.07   | 0.60%             | 2030-10-25      | Floating      | 4.49%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31402JXS1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      1682 | PA      | $1724.00      | 0.00%             | 2033-08-01      | Variable      | 6.40%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31381JN24<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      7375 | PA      | $7331.81      | 0.00%             | 2036-04-01      | Variable      | 6.20%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31378C4V1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      1321 | PA      | $1311.85      | 0.00%             | 2027-07-01      | Variable      | 4.18%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31418MM82<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    312874 | PA      | $323606.08    | 0.09%             | 2037-01-01      | Variable      | 6.12%                 | No            |                  2 | On Loan: No      |
| N/A                                                      | U.S. Treasury 5 Year Notes                                                       | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | US        |        76 | NC      | $-55909.02    | -0.01%            |  |  |  | No            |                  1 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31406KA26<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       476 | PA      | $491.81       | 0.00%             | 2035-04-01      | Variable      | 7.03%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31402RKC2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      4255 | PA      | $4342.81      | 0.00%             | 2032-04-01      | Variable      | 5.83%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31403CFP1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     17031 | PA      | $17414.90     | 0.00%             | 2033-09-01      | Variable      | 6.40%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31408DXE9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      9267 | PA      | $9406.53      | 0.00%             | 2035-12-01      | Variable      | 5.34%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31388RPD3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     75097 | PA      | $76560.66     | 0.02%             | 2033-07-01      | Variable      | 6.45%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31386QD99<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    160399 | PA      | $160739.75    | 0.04%             | 2041-01-01      | Variable      | 5.37%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31409XUP2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     42504 | PA      | $43778.54     | 0.01%             | 2036-04-01      | Variable      | 6.65%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                    | FHLMC                                                                            | CUSIP: 3128S5L51<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1469026 | PA      | $1528252.44   | 0.40%             | 2037-06-01      | Variable      | 6.84%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31410SC47<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     24922 | PA      | $25665.39     | 0.01%             | 2036-05-01      | Variable      | 6.07%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31403DFN4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    294660 | PA      | $304838.76    | 0.08%             | 2036-04-01      | Variable      | 6.13%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31407LJN8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    174499 | PA      | $179771.73    | 0.05%             | 2035-07-01      | Variable      | 6.60%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                    | FHLMC                                                                            | CUSIP: 3128S5F66<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    199623 | PA      | $204800.69    | 0.05%             | 2037-05-01      | Variable      | 6.30%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31391S6L9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      4416 | PA      | $4487.44      | 0.00%             | 2032-11-01      | Variable      | 6.24%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31410KBX1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     42154 | PA      | $42948.83     | 0.01%             | 2038-03-01      | Variable      | 5.88%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31402C2S0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     21610 | PA      | $22095.34     | 0.01%             | 2034-04-01      | Variable      | 6.48%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31418MNV0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    800098 | PA      | $829930.95    | 0.22%             | 2036-01-01      | Variable      | 6.10%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31403DVP1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     12319 | PA      | $12752.94     | 0.00%             | 2035-07-01      | Variable      | 6.64%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31419ACM7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    386790 | PA      | $395783.63    | 0.10%             | 2036-01-01      | Variable      | 5.77%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31406DAF3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     99965 | PA      | $101198.97    | 0.03%             | 2044-10-01      | Variable      | 5.17%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31411EYM3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       227 | PA      | $233.60       | 0.00%             | 2037-01-01      | Variable      | 5.84%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31385XFF9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      5356 | PA      | $5463.84      | 0.00%             | 2033-04-01      | Variable      | 6.48%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31407BWF2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     23728 | PA      | $24260.83     | 0.01%             | 2035-07-01      | Variable      | 6.36%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31407P4K1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    219961 | PA      | $223091.44    | 0.06%             | 2035-07-01      | Variable      | 5.82%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31402CW32<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    115412 | PA      | $116982.44    | 0.03%             | 2034-02-01      | Variable      | 5.51%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31391QWB6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      5504 | PA      | $5633.60      | 0.00%             | 2032-11-01      | Variable      | 6.01%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31419AB48<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      5698 | PA      | $5866.49      | 0.00%             | 2036-07-01      | Variable      | 6.29%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31406VL95<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |         8 | PA      | $7.79         | 0.00%             | 2035-05-01      | Variable      | 6.36%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31408GAQ0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     80713 | PA      | $82884.07     | 0.02%             | 2036-01-01      | Variable      | 5.99%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31403K4F7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    125690 | PA      | $129187.41    | 0.03%             | 2034-04-01      | Variable      | 6.46%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31412ECK0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    239089 | PA      | $248224.67    | 0.07%             | 2036-04-01      | Variable      | 6.58%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31409UBQ7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     36015 | PA      | $37117.30     | 0.01%             | 2036-03-01      | Variable      | 6.74%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31418WMU1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    181809 | PA      | $189397.00    | 0.05%             | 2040-08-01      | Variable      | 6.54%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31405AEW9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     13389 | PA      | $13425.87     | 0.00%             | 2044-04-01      | Variable      | 5.17%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31381JRV6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    119172 | PA      | $120372.45    | 0.03%             | 2035-10-01      | Variable      | 6.27%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31406G4D8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     24904 | PA      | $25515.20     | 0.01%             | 2035-03-01      | Variable      | 6.57%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31405XXV0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     14807 | PA      | $15157.69     | 0.00%             | 2035-01-01      | Variable      | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31412CFN5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     11539 | PA      | $11736.83     | 0.00%             | 2037-01-01      | Variable      | 5.53%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                    | FHLMC                                                                            | CUSIP: 3128S5QV9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    327139 | PA      | $338155.38    | 0.09%             | 2037-09-01      | Variable      | 6.91%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31403DFV6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       286 | PA      | $294.33       | 0.00%             | 2036-04-01      | Variable      | 6.17%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31389AY80<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      5667 | PA      | $5553.27      | 0.00%             | 2033-05-01      | Variable      | 4.25%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31410D4P2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      6102 | PA      | $6263.04      | 0.00%             | 2036-08-01      | Variable      | 6.32%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31406J3L5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       808 | PA      | $829.40       | 0.00%             | 2035-02-01      | Variable      | 6.68%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31405PC40<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     18266 | PA      | $18542.69     | 0.00%             | 2034-10-01      | Variable      | 6.00%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                    | FHLMC                                                                            | CUSIP: 31288QQM5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   3963053 | PA      | $4147548.95   | 1.09%             | 2046-11-01      | Variable      | 6.46%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31404GZJ3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     12186 | PA      | $12450.74     | 0.00%             | 2034-02-01      | Variable      | 5.65%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31402TL45<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     62928 | PA      | $64278.99     | 0.02%             | 2033-09-01      | Variable      | 6.15%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31405UTZ2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      2483 | PA      | $2525.86      | 0.00%             | 2034-11-01      | Variable      | 5.85%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31407CEJ2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     12992 | PA      | $13299.68     | 0.00%             | 2035-07-01      | Variable      | 6.44%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                    | FHLMC                                                                            | CUSIP: 31288QGQ7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1299762 | PA      | $1358766.00   | 0.36%             | 2044-01-01      | Variable      | 6.31%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31402G7A5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       446 | PA      | $458.36       | 0.00%             | 2033-08-01      | Variable      | 6.34%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31408FPH6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     10218 | PA      | $10429.37     | 0.00%             | 2035-09-01      | Variable      | 6.59%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31419AFJ1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    173538 | PA      | $178966.52    | 0.05%             | 2037-09-01      | Variable      | 6.63%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31403VWN5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     25633 | PA      | $26330.32     | 0.01%             | 2034-01-01      | Variable      | 5.84%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31406C6Q6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     38805 | PA      | $38361.41     | 0.01%             | 2034-12-01      | Variable      | 4.12%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31402YQW7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    169647 | PA      | $174887.42    | 0.05%             | 2033-10-01      | Variable      | 6.53%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31411RTJ7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      2753 | PA      | $2846.98      | 0.00%             | 2037-03-01      | Variable      | 5.93%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31401GY24<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     43829 | PA      | $44676.93     | 0.01%             | 2033-04-01      | Variable      | 5.78%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                    | FHLMC                                                                            | CUSIP: 3128S5FP4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    204044 | PA      | $210069.55    | 0.06%             | 2037-11-01      | Variable      | 6.56%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31410WFG8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      2998 | PA      | $3088.94      | 0.00%             | 2037-07-01      | Variable      | 6.37%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31406AVG4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     10847 | PA      | $11035.74     | 0.00%             | 2034-12-01      | Variable      | 5.73%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31401BYD1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     11212 | PA      | $11456.14     | 0.00%             | 2033-03-01      | Variable      | 6.08%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31400AP77<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      3244 | PA      | $3314.46      | 0.00%             | 2033-03-01      | Variable      | 6.16%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31406VC95<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       430 | PA      | $440.17       | 0.00%             | 2035-05-01      | Variable      | 6.74%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31409GSP2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       226 | PA      | $232.32       | 0.00%             | 2037-01-01      | Variable      | 5.90%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                    | FHLMC                                                                            | CUSIP: 31300LUP8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    457488 | PA      | $477350.06    | 0.13%             | 2037-03-01      | Variable      | 6.19%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 3138EJDL9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    607654 | PA      | $629345.37    | 0.17%             | 2039-09-01      | Variable      | 6.37%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31410GJV6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       402 | PA      | $408.40       | 0.00%             | 2033-09-01      | Variable      | 6.24%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31403DFT1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    124099 | PA      | $127083.27    | 0.03%             | 2035-08-01      | Variable      | 5.95%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31404CAE0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     20766 | PA      | $21392.66     | 0.01%             | 2034-04-01      | Variable      | 6.52%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31402DEL0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      2084 | PA      | $2137.57      | 0.00%             | 2033-09-01      | Variable      | 6.32%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31418MBE1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    419155 | PA      | $415906.27    | 0.11%             | 2037-08-01      | Variable      | 4.28%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31408DVM3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    232145 | PA      | $238375.05    | 0.06%             | 2035-12-01      | Variable      | 5.98%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31410KSL9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     25270 | PA      | $26038.34     | 0.01%             | 2035-12-01      | Variable      | 6.23%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31406XXS6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     49354 | PA      | $50848.30     | 0.01%             | 2035-05-01      | Variable      | 6.21%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31411S6V3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     84243 | PA      | $86568.03     | 0.02%             | 2037-03-01      | Variable      | 6.90%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31405QCV8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      6053 | PA      | $6242.53      | 0.00%             | 2034-10-01      | Variable      | 6.34%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                    | FHLMC, Series 5517, Class FH                                                     | CUSIP: 3137HKGL2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1533587 | PA      | $1542424.99   | 0.41%             | 2055-03-25      | Floating      | 4.85%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31410KFR0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     10852 | PA      | $11168.99     | 0.00%             | 2038-05-01      | Variable      | 6.73%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31385JLV8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      4163 | PA      | $4259.24      | 0.00%             | 2032-06-01      | Variable      | 6.23%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31403NRB5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      9667 | PA      | $9925.55      | 0.00%             | 2033-11-01      | Variable      | 6.12%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                    | FHLMC                                                                            | CUSIP: 31300MZH9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    255019 | PA      | $262796.55    | 0.07%             | 2040-05-01      | Variable      | 6.71%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31402LLN0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     24546 | PA      | $25205.86     | 0.01%             | 2033-08-01      | Variable      | 6.20%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                    | FHLMC, Series 4107, Class KF                                                     | CUSIP: 3137AUFV6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1257186 | PA      | $1245713.20   | 0.33%             | 2038-06-15      | Floating      | 4.53%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31408EQC9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     81105 | PA      | $83092.73     | 0.02%             | 2036-01-01      | Variable      | 5.92%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31410KWJ9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    267622 | PA      | $274978.76    | 0.07%             | 2035-09-01      | Variable      | 6.55%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31402RHF9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     40435 | PA      | $41163.27     | 0.01%             | 2033-07-01      | Variable      | 6.39%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31408B4W5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      3532 | PA      | $3601.01      | 0.00%             | 2036-01-01      | Variable      | 5.79%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31403DVU0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      9908 | PA      | $10371.24     | 0.00%             | 2036-09-01      | Variable      | 6.15%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31401HVK5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     12975 | PA      | $13204.15     | 0.00%             | 2033-06-01      | Variable      | 6.19%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31373KHS1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      7099 | PA      | $7040.15      | 0.00%             | 2032-10-01      | Variable      | 4.64%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 3138ESAN8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1912816 | PA      | $1995197.78   | 0.53%             | 2040-04-01      | Variable      | 6.37%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31405DUD7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       344 | PA      | $349.73       | 0.00%             | 2034-07-01      | Variable      | 6.28%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31404XRB2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     60956 | PA      | $62684.70     | 0.02%             | 2034-11-01      | Variable      | 5.90%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31401KMH5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     18055 | PA      | $18549.48     | 0.00%             | 2033-07-01      | Variable      | 6.22%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                    | FHLMC, Series 4989, Class FA                                                     | CUSIP: 3137FUKP8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   3739899 | PA      | $3686325.41   | 0.97%             | 2040-08-15      | Floating      | 4.49%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31403AX83<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     16770 | PA      | $17130.31     | 0.00%             | 2033-10-01      | Variable      | 6.51%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31402QTK7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       926 | PA      | $940.84       | 0.00%             | 2034-11-01      | Variable      | 6.04%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                    | FHLMC                                                                            | CUSIP: 31300M4K6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    366266 | PA      | $376673.01    | 0.10%             | 2035-09-01      | Variable      | 6.09%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31385JN87<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     25368 | PA      | $25789.00     | 0.01%             | 2032-09-01      | Variable      | 6.30%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31401YYL3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     27748 | PA      | $28532.46     | 0.01%             | 2033-08-01      | Variable      | 6.33%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31404V6Z6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     10399 | PA      | $10712.32     | 0.00%             | 2034-06-01      | Variable      | 6.27%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 3138EGL93<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    164963 | PA      | $170354.65    | 0.04%             | 2036-02-01      | Variable      | 6.42%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31385XCP0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        55 | PA      | $54.29        | 0.00%             | 2036-05-01      | Variable      | 4.51%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31418MKA9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     10320 | PA      | $10594.29     | 0.00%             | 2034-06-01      | Variable      | 6.24%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31406F6R7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     21043 | PA      | $21367.23     | 0.01%             | 2035-01-01      | Variable      | 5.53%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31413NKA2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      9695 | PA      | $9789.62      | 0.00%             | 2037-08-01      | Variable      | 5.66%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31419AJH1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    166065 | PA      | $170462.65    | 0.04%             | 2035-09-01      | Variable      | 6.43%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                    | FHLMC                                                                            | CUSIP: 3128S4KY2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    145218 | PA      | $150553.98    | 0.04%             | 2037-09-01      | Variable      | 6.77%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31400YDJ2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     27961 | PA      | $29116.55     | 0.01%             | 2033-06-01      | Variable      | 6.85%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31384KZR0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      1227 | PA      | $1245.59      | 0.00%             | 2029-08-01      | Variable      | 6.25%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31405YPF2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    309921 | PA      | $311494.46    | 0.08%             | 2034-11-01      | Variable      | 5.41%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31385XUH8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      2058 | PA      | $2110.03      | 0.00%             | 2038-03-01      | Variable      | 6.28%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31414CNW4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      5442 | PA      | $5532.12      | 0.00%             | 2036-01-01      | Variable      | 5.72%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31404WAN6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     21882 | PA      | $22568.22     | 0.01%             | 2034-06-01      | Variable      | 6.27%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31400WEN6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      2099 | PA      | $2163.30      | 0.00%             | 2033-03-01      | Variable      | 6.53%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31413JFD1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       496 | PA      | $512.18       | 0.00%             | 2037-09-01      | Variable      | 6.56%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31404DX60<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      8081 | PA      | $8269.00      | 0.00%             | 2034-02-01      | Variable      | 6.22%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 313617NN8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       197 | PA      | $195.23       | 0.00%             | 2027-07-01      | Variable      | 4.26%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31411AJ97<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    120636 | PA      | $124757.79    | 0.03%             | 2036-11-01      | Variable      | 6.40%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31410FWR2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1099730 | PA      | $1142122.76   | 0.30%             | 2034-11-01      | Variable      | 6.32%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31416CLA2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    411376 | PA      | $424449.46    | 0.11%             | 2036-05-01      | Variable      | 6.18%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31415MU78<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     90987 | PA      | $94420.19     | 0.02%             | 2038-01-01      | Variable      | 6.24%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31411SM94<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     23419 | PA      | $23895.82     | 0.01%             | 2037-02-01      | Variable      | 5.83%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                    | FHLMC                                                                            | CUSIP: 3128LUFH4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    269806 | PA      | $278661.31    | 0.07%             | 2036-11-01      | Variable      | 6.42%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31403VTK5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      3317 | PA      | $3380.72      | 0.00%             | 2034-01-01      | Variable      | 5.54%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31386M2Y5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      2871 | PA      | $2927.66      | 0.00%             | 2030-08-01      | Variable      | 6.12%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31389HEY0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      4922 | PA      | $5027.02      | 0.00%             | 2032-03-01      | Variable      | 6.12%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31402MNH9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       583 | PA      | $598.43       | 0.00%             | 2033-09-01      | Variable      | 6.22%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31385Y2E4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     21009 | PA      | $21132.87     | 0.01%             | 2040-06-01      | Variable      | 5.37%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31405YX22<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     13001 | PA      | $13246.50     | 0.00%             | 2034-10-01      | Variable      | 6.21%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31404XJP0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     14622 | PA      | $14967.77     | 0.00%             | 2034-11-01      | Variable      | 5.78%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31408C2U9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     30409 | PA      | $31099.98     | 0.01%             | 2035-10-01      | Variable      | 6.10%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                               | FHLMC Pool, 30 Year                                                              | CUSIP: 3132DWNJ8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1715496 | PA      | $1741039.14   | 0.46%             | 2054-12-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 3138EM2J9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    885667 | PA      | $916640.59    | 0.24%             | 2038-01-01      | Variable      | 6.15%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31409XXJ3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     53954 | PA      | $55259.64     | 0.01%             | 2036-05-01      | Variable      | 6.48%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31411YPE7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       374 | PA      | $387.43       | 0.00%             | 2037-05-01      | Variable      | 6.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31391SJH4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       712 | PA      | $730.39       | 0.00%             | 2033-02-01      | Variable      | 6.54%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31401MHB0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      3119 | PA      | $3206.27      | 0.00%             | 2033-06-01      | Variable      | 6.29%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31410UXJ6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    181967 | PA      | $190713.24    | 0.05%             | 2036-09-01      | Variable      | 6.28%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31385WXE4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     18474 | PA      | $18921.75     | 0.00%             | 2033-01-01      | Variable      | 5.83%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31406WNY6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    300052 | PA      | $307640.67    | 0.08%             | 2035-03-01      | Variable      | 5.83%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31404GPG0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    258935 | PA      | $262364.80    | 0.07%             | 2034-05-01      | Variable      | 5.80%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31379LCG4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      5658 | PA      | $5691.13      | 0.00%             | 2027-12-01      | Variable      | 5.87%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31405U6G9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     59798 | PA      | $60922.50     | 0.02%             | 2034-12-01      | Variable      | 5.75%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31410GDM2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      1730 | PA      | $1770.84      | 0.00%             | 2034-03-01      | Variable      | 6.33%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                    | FHLMC                                                                            | CUSIP: 3128JR3X2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    463145 | PA      | $475372.09    | 0.13%             | 2035-11-01      | Variable      | 6.55%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                    | FHLMC                                                                            | CUSIP: 31300MZK2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    754861 | PA      | $789680.80    | 0.21%             | 2041-10-01      | Variable      | 6.72%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31404ULF5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    124536 | PA      | $126814.20    | 0.03%             | 2034-05-01      | Variable      | 6.12%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31402DHN3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     25729 | PA      | $26142.07     | 0.01%             | 2034-08-01      | Variable      | 5.65%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31409WCB5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      1895 | PA      | $1929.13      | 0.00%             | 2036-02-01      | Variable      | 5.85%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31405DLY1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       545 | PA      | $554.35       | 0.00%             | 2034-07-01      | Variable      | 6.14%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                    | FHLMC, Series 4895, Class GF                                                     | CUSIP: 3137FMQG0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   4403625 | PA      | $4346216.33   | 1.14%             | 2043-11-15      | Floating      | 4.54%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31402RN39<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      2452 | PA      | $2499.41      | 0.00%             | 2035-08-01      | Variable      | 6.25%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31402RH77<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     30222 | PA      | $30384.22     | 0.01%             | 2044-10-01      | Variable      | 5.17%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31410GDF7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     12251 | PA      | $12450.18     | 0.00%             | 2033-06-01      | Variable      | 5.81%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31413EE43<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    168660 | PA      | $174170.81    | 0.05%             | 2037-09-01      | Variable      | 6.41%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31402RHZ5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       813 | PA      | $834.51       | 0.00%             | 2034-02-01      | Variable      | 6.24%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31402DQR4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       761 | PA      | $786.85       | 0.00%             | 2034-10-01      | Variable      | 6.24%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31402C5X6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     31510 | PA      | $32014.60     | 0.01%             | 2034-01-01      | Variable      | 5.55%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31416CGZ3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    808878 | PA      | $841045.09    | 0.22%             | 2037-01-01      | Variable      | 6.55%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31409WCD1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     48259 | PA      | $49857.85     | 0.01%             | 2036-01-01      | Variable      | 5.95%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31408GXK8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     63224 | PA      | $64878.67     | 0.02%             | 2035-11-01      | Variable      | 5.96%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA, Series 2024-105, Class FC                                                  | CUSIP: 3136BUBH2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   2278892 | PA      | $2292287.16   | 0.60%             | 2055-01-25      | Floating      | 4.70%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31410FVN2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      3059 | PA      | $3154.41      | 0.00%             | 2036-12-01      | Variable      | 6.06%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31402JXU6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     18912 | PA      | $19373.70     | 0.01%             | 2033-08-01      | Variable      | 6.36%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31385W6E4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       163 | PA      | $165.83       | 0.00%             | 2036-08-01      | Variable      | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31414SKF9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    104442 | PA      | $106972.29    | 0.03%             | 2038-05-01      | Variable      | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31405X5R0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     20450 | PA      | $20990.37     | 0.01%             | 2034-11-01      | Variable      | 5.74%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31413NJ30<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     84648 | PA      | $86237.79     | 0.02%             | 2037-08-01      | Variable      | 5.67%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31406PCX5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       592 | PA      | $608.84       | 0.00%             | 2035-03-01      | Variable      | 6.46%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31405RXD3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      4996 | PA      | $5113.91      | 0.00%             | 2034-10-01      | Variable      | 5.87%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 3138YBWH2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     61973 | PA      | $64083.49     | 0.02%             | 2045-04-01      | Variable      | 6.60%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31401G4Z4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     15478 | PA      | $15784.13     | 0.00%             | 2033-04-01      | Variable      | 6.27%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA, Series 2019-59, Class BF                                                   | CUSIP: 3136B6LC5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   4504918 | PA      | $4458053.38   | 1.17%             | 2049-10-25      | Floating      | 4.54%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31414UQL5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     48203 | PA      | $49016.08     | 0.01%             | 2034-07-01      | Variable      | 6.02%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31402DHL7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     72904 | PA      | $74700.91     | 0.02%             | 2034-07-01      | Variable      | 6.59%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31409DYY3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     49412 | PA      | $51203.22     | 0.01%             | 2036-03-01      | Variable      | 7.08%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31404NLA2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     12424 | PA      | $12751.04     | 0.00%             | 2034-09-01      | Variable      | 6.12%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31403DX46<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     38532 | PA      | $39393.14     | 0.01%             | 2036-07-01      | Variable      | 5.86%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31391XH93<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     20792 | PA      | $20999.70     | 0.01%             | 2032-10-01      | Variable      | 5.70%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31401CAQ6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     16501 | PA      | $16728.60     | 0.00%             | 2033-05-01      | Variable      | 6.20%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31405XWJ8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    441688 | PA      | $457955.75    | 0.12%             | 2034-10-01      | Variable      | 6.42%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31403UYH8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      4510 | PA      | $4612.33      | 0.00%             | 2033-11-01      | Variable      | 5.99%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31406H3D7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     28674 | PA      | $29842.82     | 0.01%             | 2035-01-01      | Variable      | 5.90%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31405FTT9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     28893 | PA      | $29806.21     | 0.01%             | 2034-08-01      | Variable      | 6.29%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31407HD37<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    108484 | PA      | $111767.13    | 0.03%             | 2035-07-01      | Variable      | 6.43%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31410FZT5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      8529 | PA      | $8728.26      | 0.00%             | 2036-11-01      | Variable      | 6.38%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31403JP42<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     38281 | PA      | $39424.75     | 0.01%             | 2033-10-01      | Variable      | 6.18%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31408GJF5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      2704 | PA      | $2787.08      | 0.00%             | 2035-12-01      | Variable      | 6.13%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 3138EHZ70<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     35277 | PA      | $36002.37     | 0.01%             | 2037-08-01      | Variable      | 6.04%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31409DT60<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     90373 | PA      | $93321.14     | 0.02%             | 2036-03-01      | Variable      | 6.83%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 3138EQJX1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    215707 | PA      | $225155.10    | 0.06%             | 2040-12-01      | Variable      | 6.45%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31412HRW1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     24514 | PA      | $24527.23     | 0.01%             | 2037-12-01      | Variable      | 5.37%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31408EGX4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     23101 | PA      | $23584.77     | 0.01%             | 2036-01-01      | Variable      | 5.79%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31403C7L9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      3826 | PA      | $3909.83      | 0.00%             | 2035-10-01      | Variable      | 6.05%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 3140JBML7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   7536099 | PA      | $7847927.68   | 2.07%             | 2047-04-01      | Variable      | 6.38%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31386G7J6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      4987 | PA      | $4985.25      | 0.00%             | 2040-11-01      | Variable      | 5.15%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31407VNZ4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    242867 | PA      | $250892.96    | 0.07%             | 2035-09-01      | Variable      | 6.46%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31400RDY4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      2389 | PA      | $2422.80      | 0.00%             | 2033-02-01      | Variable      | 5.76%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31403DHP7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       516 | PA      | $536.52       | 0.00%             | 2036-04-01      | Variable      | 6.17%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31402VNU0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      5716 | PA      | $5865.38      | 0.00%             | 2033-09-01      | Variable      | 6.26%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31388XVV3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    205369 | PA      | $203699.32    | 0.05%             | 2033-08-01      | Variable      | 4.12%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                    | FHLMC                                                                            | CUSIP: 31300LLX1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    162749 | PA      | $167852.90    | 0.04%             | 2037-08-01      | Variable      | 6.41%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31404NBN5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      2386 | PA      | $2447.81      | 0.00%             | 2035-02-01      | Variable      | 5.62%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31403YV59<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      3100 | PA      | $3179.43      | 0.00%             | 2034-04-01      | Variable      | 6.72%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31406TTE1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     10114 | PA      | $10324.86     | 0.00%             | 2035-03-01      | Variable      | 6.25%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31390PQW0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      5818 | PA      | $5962.06      | 0.00%             | 2032-12-01      | Variable      | 5.83%                 | No            |                  2 | On Loan: No      |
| GNMA                                                     | GNMA II                                                                          | CUSIP: 36225DN75<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     13660 | PA      | $13655.87     | 0.00%             | 2035-04-20      | Variable      | 5.62%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31391UJV8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      7469 | PA      | $7638.24      | 0.00%             | 2033-01-01      | Variable      | 6.06%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31409JKP4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     75988 | PA      | $78515.51     | 0.02%             | 2036-06-01      | Variable      | 6.60%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31406AZ62<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     11503 | PA      | $11733.79     | 0.00%             | 2035-01-01      | Variable      | 5.64%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                    | FHLMC                                                                            | CUSIP: 3128QSAC0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    798802 | PA      | $824765.21    | 0.22%             | 2036-01-01      | Variable      | 6.31%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31391RYS5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     13235 | PA      | $13352.46     | 0.00%             | 2031-02-01      | Variable      | 6.27%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31407GB80<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    183426 | PA      | $187502.66    | 0.05%             | 2035-07-01      | Variable      | 6.18%                 | No            |                  2 | On Loan: No      |
| GNMA                                                     | GNMA II                                                                          | CUSIP: 36225DAS3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      9044 | PA      | $9211.66      | 0.00%             | 2034-05-20      | Variable      | 5.62%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31385XP84<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      1144 | PA      | $1161.54      | 0.00%             | 2033-09-01      | Variable      | 5.90%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31410QAR2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     28529 | PA      | $29175.90     | 0.01%             | 2036-09-01      | Variable      | 6.08%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31415CML8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     88955 | PA      | $92353.10     | 0.02%             | 2048-05-01      | Variable      | 6.59%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31419AFS1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     83819 | PA      | $86032.21     | 0.02%             | 2036-11-01      | Variable      | 6.32%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31407E6Z1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       441 | PA      | $453.48       | 0.00%             | 2035-09-01      | Variable      | 6.12%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31402DKQ2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      3980 | PA      | $4082.79      | 0.00%             | 2034-08-01      | Variable      | 6.28%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31410KCR3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      1954 | PA      | $2011.38      | 0.00%             | 2038-04-01      | Variable      | 6.54%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                    | FHLMC                                                                            | CUSIP: 3128S44P9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    404469 | PA      | $414165.28    | 0.11%             | 2035-12-01      | Variable      | 6.48%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31411JZ58<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     36170 | PA      | $37462.10     | 0.01%             | 2037-02-01      | Variable      | 6.08%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31402NYZ5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     12706 | PA      | $12925.95     | 0.00%             | 2033-06-01      | Variable      | 5.80%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31406AV82<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    102376 | PA      | $103800.97    | 0.03%             | 2034-12-01      | Variable      | 5.53%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31403DR76<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      5325 | PA      | $5454.23      | 0.00%             | 2034-08-01      | Variable      | 6.22%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31413JB45<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      6280 | PA      | $6435.76      | 0.00%             | 2037-09-01      | Variable      | 6.17%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31404DTQ1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       930 | PA      | $952.99       | 0.00%             | 2034-01-01      | Variable      | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31402QWH0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     10041 | PA      | $10291.08     | 0.00%             | 2034-07-01      | Variable      | 6.40%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31410GDT7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       940 | PA      | $961.47       | 0.00%             | 2035-03-01      | Variable      | 6.31%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 3138EJN20<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    101868 | PA      | $104638.64    | 0.03%             | 2034-11-01      | Variable      | 5.82%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31406TTD3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    134913 | PA      | $138119.63    | 0.04%             | 2035-03-01      | Variable      | 6.08%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31405DJE8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     94148 | PA      | $96822.99     | 0.03%             | 2034-06-01      | Variable      | 6.38%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA, Series 2019-38, Class AF                                                   | CUSIP: 3136B5DN2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   2996715 | PA      | $2973834.93   | 0.78%             | 2049-07-25      | Floating      | 4.54%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31402QZ46<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     91951 | PA      | $95277.53     | 0.03%             | 2035-01-01      | Variable      | 5.97%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31391UD69<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    129416 | PA      | $131846.92    | 0.03%             | 2033-01-01      | Variable      | 5.97%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31407XZM6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     30475 | PA      | $30864.99     | 0.01%             | 2035-11-01      | Variable      | 5.86%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31405N7F6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      1667 | PA      | $1694.74      | 0.00%             | 2034-10-01      | Variable      | 6.07%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31402RN54<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    188540 | PA      | $193439.18    | 0.05%             | 2035-06-01      | Variable      | 6.32%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31403GCV2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      2349 | PA      | $2412.37      | 0.00%             | 2033-09-01      | Variable      | 6.33%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31407JWL2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      8297 | PA      | $8474.21      | 0.00%             | 2035-08-01      | Variable      | 6.13%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31406GY52<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     33970 | PA      | $34775.65     | 0.01%             | 2035-03-01      | Variable      | 6.56%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                    | FHLMC                                                                            | CUSIP: 31300LFK6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    125195 | PA      | $128289.61    | 0.03%             | 2038-03-01      | Variable      | 6.38%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31409WCJ8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    319741 | PA      | $332187.19    | 0.09%             | 2036-02-01      | Variable      | 5.88%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 3138EHDZ2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    279776 | PA      | $287537.91    | 0.08%             | 2035-04-01      | Variable      | 6.19%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31386C3W0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     16748 | PA      | $16867.20     | 0.00%             | 2040-09-01      | Variable      | 5.37%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31405PRS1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     20435 | PA      | $20505.47     | 0.01%             | 2044-07-01      | Variable      | 5.17%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31403AU86<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      4372 | PA      | $4464.73      | 0.00%             | 2033-10-01      | Variable      | 6.32%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31402ENR5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     17159 | PA      | $17671.05     | 0.00%             | 2033-08-01      | Variable      | 6.26%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31385XSL2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      3498 | PA      | $3579.77      | 0.00%             | 2036-07-01      | Variable      | 6.16%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31402RN88<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      5511 | PA      | $5605.87      | 0.00%             | 2034-03-01      | Variable      | 6.03%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31403N6X0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     98020 | PA      | $100564.53    | 0.03%             | 2033-12-01      | Variable      | 5.93%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31406C6X1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     24570 | PA      | $24371.30     | 0.01%             | 2033-08-01      | Variable      | 4.14%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31402HBG5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     74901 | PA      | $77444.09     | 0.02%             | 2033-12-01      | Variable      | 6.06%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31401CP31<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      3540 | PA      | $3609.95      | 0.00%             | 2033-05-01      | Variable      | 6.36%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                    | FHLMC                                                                            | CUSIP: 3128S5FR0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    278257 | PA      | $287083.62    | 0.08%             | 2037-12-01      | Variable      | 6.39%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31406NME1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     32475 | PA      | $33313.23     | 0.01%             | 2035-04-01      | Variable      | 6.60%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31411UN64<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      2346 | PA      | $2424.24      | 0.00%             | 2037-04-01      | Variable      | 6.73%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31403GWE8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      9679 | PA      | $9845.82      | 0.00%             | 2033-09-01      | Variable      | 6.18%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31391JKL3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      5254 | PA      | $5384.23      | 0.00%             | 2032-12-01      | Variable      | 5.94%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31406M3E4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     14707 | PA      | $14995.80     | 0.00%             | 2035-04-01      | Variable      | 6.43%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31401PEJ9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     12658 | PA      | $12866.41     | 0.00%             | 2033-04-01      | Variable      | 6.05%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31403GCU4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      3113 | PA      | $3197.10      | 0.00%             | 2033-08-01      | Variable      | 6.33%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31406HG50<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      4087 | PA      | $4268.28      | 0.00%             | 2034-04-01      | Variable      | 6.29%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31405WHS7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     20064 | PA      | $20642.57     | 0.01%             | 2034-09-01      | Variable      | 6.12%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31402DB25<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      4692 | PA      | $4834.14      | 0.00%             | 2034-06-01      | Variable      | 6.22%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 3140J5FX2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    198245 | PA      | $205117.68    | 0.05%             | 2037-01-01      | Variable      | 6.32%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31391BC39<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      3437 | PA      | $3515.19      | 0.00%             | 2032-09-01      | Variable      | 6.24%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA, 15 Year                                                                    | CUSIP: 31418D2R2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |         0 | PA      | $0.02         | 0.00%             | 2036-07-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31413MFB8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    198898 | PA      | $203290.74    | 0.05%             | 2037-06-01      | Variable      | 5.89%                 | No            |                  2 | On Loan: No      |
| Franklin Institutional U.S. Government Money Market Fund | Franklin Institutional U.S. Government Money Market Fund                         | CUSIP: 457756500<br>LEI: 549300M4TP89K77LG374 | Long             | STIV             | RF                | US        |  11603388 | NS      | $11603387.74  | 3.06%             |  |  |  | No            |                  1 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31404NEM4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      6883 | PA      | $7060.71      | 0.00%             | 2035-06-01      | Variable      | 6.25%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31401PFA7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     50442 | PA      | $50851.38     | 0.01%             | 2033-04-01      | Variable      | 5.85%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31402QST9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     17235 | PA      | $17715.56     | 0.00%             | 2033-08-01      | Variable      | 6.33%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31403VWF2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     28867 | PA      | $29517.40     | 0.01%             | 2034-01-01      | Variable      | 5.90%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31413GLM0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      3333 | PA      | $3462.30      | 0.00%             | 2037-08-01      | Variable      | 7.08%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 3138EQ5S7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    468214 | PA      | $485340.53    | 0.13%             | 2042-07-01      | Variable      | 6.29%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31410GD83<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       136 | PA      | $140.30       | 0.00%             | 2034-04-01      | Variable      | 6.38%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31391SSV3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       165 | PA      | $167.73       | 0.00%             | 2032-12-01      | Variable      | 5.62%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31410UK68<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      2150 | PA      | $2195.84      | 0.00%             | 2036-08-01      | Variable      | 5.73%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31419AFH5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    320095 | PA      | $323421.08    | 0.09%             | 2037-10-01      | Variable      | 5.78%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31385WTF6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     22192 | PA      | $22370.89     | 0.01%             | 2036-11-01      | Variable      | 6.32%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31402VZX1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     11056 | PA      | $11265.07     | 0.00%             | 2033-08-01      | Variable      | 5.89%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31400ANT1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      1332 | PA      | $1358.02      | 0.00%             | 2033-02-01      | Variable      | 5.63%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31390WRA2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      6669 | PA      | $6754.74      | 0.00%             | 2033-09-01      | Variable      | 5.86%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31407XR78<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    551839 | PA      | $569583.53    | 0.15%             | 2035-11-01      | Variable      | 6.01%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 3138ENA82<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    199545 | PA      | $203986.70    | 0.05%             | 2042-01-01      | Variable      | 6.27%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31405YU25<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     24495 | PA      | $24966.44     | 0.01%             | 2034-10-01      | Variable      | 6.08%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31400QTZ6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      5017 | PA      | $5106.21      | 0.00%             | 2033-03-01      | Variable      | 6.34%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31391XEH8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     79766 | PA      | $81350.78     | 0.02%             | 2032-08-01      | Variable      | 6.45%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31403VYY9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     98650 | PA      | $101093.66    | 0.03%             | 2034-02-01      | Variable      | 5.78%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31389AZ55<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      1281 | PA      | $1279.62      | 0.00%             | 2038-01-01      | Variable      | 5.12%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31407MEP6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      5965 | PA      | $6146.05      | 0.00%             | 2035-08-01      | Variable      | 6.72%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31404B2P6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      3725 | PA      | $3777.19      | 0.00%             | 2034-01-01      | Variable      | 5.58%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31418NAF7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      8441 | PA      | $8715.02      | 0.00%             | 2040-04-01      | Variable      | 6.44%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31389AZX4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      4428 | PA      | $4401.83      | 0.00%             | 2038-06-01      | Variable      | 4.95%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31404UDP2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     75379 | PA      | $78256.85     | 0.02%             | 2034-04-01      | Variable      | 6.26%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31400H5W9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     23996 | PA      | $24550.75     | 0.01%             | 2033-03-01      | Variable      | 5.47%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31410GK44<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      5065 | PA      | $5214.02      | 0.00%             | 2035-10-01      | Variable      | 6.39%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 3138EK6B6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    511394 | PA      | $528431.90    | 0.14%             | 2038-09-01      | Variable      | 6.30%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31404RUN5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      7730 | PA      | $7877.12      | 0.00%             | 2034-03-01      | Variable      | 5.99%                 | No            |                  2 | On Loan: No      |
| United States of America                                 | U.S. Treasury Notes                                                              | CUSIP: 91282CMH1<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  20000000 | PA      | $20111789.40  | 5.30%             | 2027-01-31      | Fixed         | 4.12%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 3140JA4Y1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1850099 | PA      | $1926432.60   | 0.51%             | 2042-07-01      | Variable      | 6.31%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31410PMX8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      2451 | PA      | $2544.82      | 0.00%             | 2036-08-01      | Variable      | 6.66%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31405RND4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      2066 | PA      | $2108.56      | 0.00%             | 2034-08-01      | Variable      | 6.09%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31409UWR2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     37810 | PA      | $39374.24     | 0.01%             | 2036-01-01      | Variable      | 5.85%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31402BSQ8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      1085 | PA      | $1115.71      | 0.00%             | 2033-07-01      | Variable      | 6.29%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31403DFB0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     87646 | PA      | $89968.62     | 0.02%             | 2035-05-01      | Variable      | 6.63%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31405UY60<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     85241 | PA      | $86989.56     | 0.02%             | 2034-12-01      | Variable      | 5.79%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31406MEP7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      3359 | PA      | $3445.02      | 0.00%             | 2035-01-01      | Variable      | 5.64%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31401KSS5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     52223 | PA      | $53695.86     | 0.01%             | 2033-05-01      | Variable      | 6.29%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31406QGB7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      6219 | PA      | $6364.28      | 0.00%             | 2035-02-01      | Variable      | 5.82%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31405PP38<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      1222 | PA      | $1244.63      | 0.00%             | 2034-07-01      | Variable      | 5.80%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31400ARR1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      9708 | PA      | $9961.60      | 0.00%             | 2033-04-01      | Variable      | 6.25%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31406WEF7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     12807 | PA      | $13153.69     | 0.00%             | 2035-06-01      | Variable      | 6.25%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31407CCP0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      2910 | PA      | $2996.14      | 0.00%             | 2035-07-01      | Variable      | 6.23%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                    | FHLMC                                                                            | CUSIP: 3128S5XQ2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    461499 | PA      | $484301.67    | 0.13%             | 2037-06-01      | Variable      | 6.28%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31418UHN7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     44806 | PA      | $46441.08     | 0.01%             | 2040-05-01      | Variable      | 6.56%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31410GQL0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     35433 | PA      | $37047.37     | 0.01%             | 2036-10-01      | Variable      | 6.47%                 | No            |                  2 | On Loan: No      |
| GNMA                                                     | GNMA II                                                                          | CUSIP: 36225DLD4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     11615 | PA      | $11647.17     | 0.00%             | 2035-01-20      | Variable      | 5.62%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31402DSD3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     57748 | PA      | $58112.87     | 0.02%             | 2033-07-01      | Variable      | 6.06%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31361ML80<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       112 | PA      | $111.88       | 0.00%             | 2026-09-01      | Variable      | 4.12%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 3140JBVK9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   2925857 | PA      | $3048825.72   | 0.80%             | 2047-05-01      | Variable      | 6.35%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31385XK48<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     32059 | PA      | $32673.78     | 0.01%             | 2033-07-01      | Variable      | 6.17%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31386G6N8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      3162 | PA      | $3182.93      | 0.00%             | 2040-11-01      | Variable      | 5.37%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 3138EGV68<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     49658 | PA      | $51113.89     | 0.01%             | 2036-01-01      | Variable      | 6.05%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31418MVF6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    377606 | PA      | $386780.68    | 0.10%             | 2037-08-01      | Variable      | 6.39%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31400QZ48<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       613 | PA      | $626.46       | 0.00%             | 2033-04-01      | Variable      | 6.56%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31406GR84<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    414745 | PA      | $421569.85    | 0.11%             | 2035-02-01      | Variable      | 5.71%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31410GDL4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     43235 | PA      | $45143.65     | 0.01%             | 2035-02-01      | Variable      | 5.83%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31405AR70<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     14800 | PA      | $15255.97     | 0.00%             | 2035-06-01      | Variable      | 6.46%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31406XTD4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    185104 | PA      | $193656.59    | 0.05%             | 2035-06-01      | Variable      | 7.06%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31385HN32<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       537 | PA      | $530.84       | 0.00%             | 2036-05-01      | Variable      | 4.59%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31402MPQ7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      2242 | PA      | $2305.62      | 0.00%             | 2034-04-01      | Variable      | 6.46%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31409JSM3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     29511 | PA      | $29969.37     | 0.01%             | 2036-05-01      | Variable      | 6.09%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                    | FHLMC                                                                            | CUSIP: 31300LKW4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    366197 | PA      | $378136.13    | 0.10%             | 2036-07-01      | Variable      | 6.40%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31401L4L4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      1385 | PA      | $1417.60      | 0.00%             | 2033-05-01      | Variable      | 6.25%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31387UEK3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        17 | PA      | $17.06        | 0.00%             | 2030-12-01      | Variable      | 7.26%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31414UP36<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     87403 | PA      | $89768.99     | 0.02%             | 2037-05-01      | Variable      | 6.28%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 3140JBKS4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  12225821 | PA      | $12793857.85  | 3.37%             | 2044-04-01      | Variable      | 6.36%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                    | FHLMC                                                                            | CUSIP: 3128JRGX8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1269849 | PA      | $1316518.43   | 0.35%             | 2035-07-01      | Variable      | 6.68%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 3140JBHN9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1725752 | PA      | $1807191.97   | 0.48%             | 2045-09-01      | Variable      | 6.33%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                    | FHLMC                                                                            | CUSIP: 3128NHML4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     59833 | PA      | $60848.50     | 0.02%             | 2036-01-01      | Variable      | 6.05%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31419AFT9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    673567 | PA      | $695699.42    | 0.18%             | 2037-08-01      | Variable      | 6.32%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31410FZG3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      2557 | PA      | $2613.48      | 0.00%             | 2036-07-01      | Variable      | 6.21%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31404H4G1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      3791 | PA      | $3890.08      | 0.00%             | 2034-02-01      | Variable      | 6.63%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31410G6F5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    167692 | PA      | $171972.72    | 0.05%             | 2036-09-01      | Variable      | 6.28%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31407GCY2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       789 | PA      | $825.57       | 0.00%             | 2035-05-01      | Variable      | 6.97%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31371MAV9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      5693 | PA      | $5830.01      | 0.00%             | 2035-03-01      | Variable      | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA, Series 2025-59, Class FD                                                   | CUSIP: 3136BWY59<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1859139 | PA      | $1874065.98   | 0.49%             | 2055-08-25      | Floating      | 4.80%                 | No            |                  2 | On Loan: No      |
| N/A                                                      | U.S. Treasury 10 Year Ultra Notes                                                | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | US        |       -46 | NC      | $81153.43     | 0.02%             |  |  |  | No            |                  1 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31407QG59<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     14691 | PA      | $15211.58     | 0.00%             | 2035-09-01      | Variable      | 6.42%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31410FWV3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      4318 | PA      | $4433.76      | 0.00%             | 2037-02-01      | Variable      | 6.17%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                    | FHLMC                                                                            | CUSIP: 31288QLK4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   3118497 | PA      | $3274293.55   | 0.86%             | 2046-11-01      | Variable      | 6.54%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA, 30 Year                                                                    | CUSIP: 31418EQ94<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  10490691 | PA      | $10678477.20  | 2.81%             | 2053-04-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31390S3K5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      2226 | PA      | $2245.73      | 0.00%             | 2032-05-01      | Variable      | 5.48%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31402RMJ5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     67995 | PA      | $69166.60     | 0.02%             | 2035-07-01      | Variable      | 6.15%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31416BK56<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     65425 | PA      | $68133.79     | 0.02%             | 2035-07-01      | Variable      | 6.25%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31390K5E4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     66313 | PA      | $67193.87     | 0.02%             | 2032-11-01      | Variable      | 5.64%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31403DXK0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      3764 | PA      | $3851.47      | 0.00%             | 2035-12-01      | Variable      | 6.40%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA, Series 2025-55, Class FG                                                   | CUSIP: 3136BWSC1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1869055 | PA      | $1884265.96   | 0.50%             | 2055-07-25      | Floating      | 4.80%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                    | FHLMC, Series 4197, Class KF                                                     | CUSIP: 3137B1TL6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1149518 | PA      | $1110531.04   | 0.29%             | 2037-09-15      | Floating      | 4.44%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                    | FHLMC                                                                            | CUSIP: 31288QF62<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   3445060 | PA      | $3581294.22   | 0.94%             | 2047-06-01      | Variable      | 6.33%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31406GNF2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     35332 | PA      | $36260.64     | 0.01%             | 2035-02-01      | Variable      | 6.71%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31406DBZ8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      5059 | PA      | $5212.43      | 0.00%             | 2035-02-01      | Variable      | 6.31%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31409XQY8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      7683 | PA      | $7769.82      | 0.00%             | 2036-03-01      | Variable      | 6.18%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31406WHP2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      3402 | PA      | $3447.30      | 0.00%             | 2035-06-01      | Variable      | 5.60%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31402JBV8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      5088 | PA      | $5098.17      | 0.00%             | 2033-08-01      | Variable      | 4.96%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31389PVL1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     85398 | PA      | $86317.92     | 0.02%             | 2032-03-01      | Variable      | 6.04%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31402CQF2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       372 | PA      | $377.60       | 0.00%             | 2039-09-01      | Variable      | 6.42%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31408EKN1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    115641 | PA      | $118318.08    | 0.03%             | 2036-01-01      | Variable      | 5.85%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31405JQP2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       254 | PA      | $258.57       | 0.00%             | 2034-09-01      | Variable      | 6.17%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31400KQZ2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      5162 | PA      | $5223.72      | 0.00%             | 2033-05-01      | Variable      | 5.92%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31385WUW7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      3391 | PA      | $3454.61      | 0.00%             | 2032-12-01      | Variable      | 5.89%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31410SC96<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      5443 | PA      | $5589.23      | 0.00%             | 2036-05-01      | Variable      | 6.07%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31391FFF0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      4054 | PA      | $4057.45      | 0.00%             | 2027-08-01      | Variable      | 5.89%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31404QF61<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      3314 | PA      | $3391.44      | 0.00%             | 2034-05-01      | Variable      | 6.28%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                    | FHLMC                                                                            | CUSIP: 31300LB87<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     84642 | PA      | $86918.35     | 0.02%             | 2036-02-01      | Variable      | 6.35%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                    | FHLMC                                                                            | CUSIP: 31300MAW3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    138741 | PA      | $142617.12    | 0.04%             | 2037-03-01      | Variable      | 6.31%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31389AZ22<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      1577 | PA      | $1562.23      | 0.00%             | 2027-11-01      | Variable      | 5.12%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31403QQG8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      1205 | PA      | $1239.49      | 0.00%             | 2034-01-01      | Variable      | 5.92%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31406WQP2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      1903 | PA      | $1943.71      | 0.00%             | 2035-03-01      | Variable      | 6.02%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 3140FCAM0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    775052 | PA      | $809598.56    | 0.21%             | 2046-03-01      | Variable      | 6.40%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31404KRM6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     17104 | PA      | $17469.84     | 0.00%             | 2034-04-01      | Variable      | 6.51%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31406WRX4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      1105 | PA      | $1145.91      | 0.00%             | 2035-05-01      | Variable      | 6.64%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31402A5X0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     31782 | PA      | $32558.47     | 0.01%             | 2033-07-01      | Variable      | 6.29%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31407CEQ6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     15372 | PA      | $15711.96     | 0.00%             | 2035-07-01      | Variable      | 6.04%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31391MCM3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     16048 | PA      | $16284.71     | 0.00%             | 2033-11-01      | Variable      | 5.42%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31404EAC0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      6653 | PA      | $6805.84      | 0.00%             | 2034-02-01      | Variable      | 5.92%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31400AMS4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     18809 | PA      | $19141.42     | 0.01%             | 2033-01-01      | Variable      | 6.25%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA, Series 2021-44, Class FA                                                   | CUSIP: 3136BHC80<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   3594245 | PA      | $3507601.41   | 0.92%             | 2045-06-25      | Floating      | 4.22%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31403DMV8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    215316 | PA      | $219234.85    | 0.06%             | 2036-04-01      | Variable      | 6.09%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31405JFC3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    151592 | PA      | $154657.16    | 0.04%             | 2034-09-01      | Variable      | 6.05%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31409XZU6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      2576 | PA      | $2630.66      | 0.00%             | 2036-01-01      | Variable      | 5.71%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31406VYX8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     24114 | PA      | $24488.85     | 0.01%             | 2035-06-01      | Variable      | 5.94%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31400ANG9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      7642 | PA      | $7790.24      | 0.00%             | 2033-01-01      | Variable      | 5.62%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31418MMV1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    134481 | PA      | $137552.25    | 0.04%             | 2036-12-01      | Variable      | 6.25%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31410FWH4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    353146 | PA      | $366368.02    | 0.10%             | 2037-02-01      | Variable      | 6.24%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31390RZZ9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       664 | PA      | $681.34       | 0.00%             | 2032-11-01      | Variable      | 6.15%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31403EDZ7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       905 | PA      | $945.75       | 0.00%             | 2033-10-01      | Variable      | 6.38%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31406H3G0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      3408 | PA      | $3486.42      | 0.00%             | 2034-12-01      | Variable      | 5.94%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31391T4G0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      2846 | PA      | $2913.59      | 0.00%             | 2032-11-01      | Variable      | 6.10%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                    | FHLMC                                                                            | CUSIP: 3128JRFC5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    658153 | PA      | $682789.73    | 0.18%             | 2034-12-01      | Variable      | 6.14%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31385WYA1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     23620 | PA      | $23857.96     | 0.01%             | 2039-09-01      | Variable      | 6.33%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31405AEY5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     77675 | PA      | $78274.50     | 0.02%             | 2044-04-01      | Variable      | 5.17%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31410QZE4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     40587 | PA      | $42063.00     | 0.01%             | 2034-11-01      | Variable      | 7.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31405X2Q5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    213818 | PA      | $219413.73    | 0.06%             | 2034-10-01      | Variable      | 6.18%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31407KKY4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    140372 | PA      | $144376.86    | 0.04%             | 2035-09-01      | Variable      | 6.39%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31407WSR5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      8465 | PA      | $8720.18      | 0.00%             | 2035-09-01      | Variable      | 6.16%                 | No            |                  2 | On Loan: No      |

### Signature

**Date Signed:** 2026-03-02

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

**Signature:** Monica Krogh

**Name of Signer:** Monica Krogh

**Title:** Assistant Treasurer