# EDGAR Filing Document

**Accession Number:** 0000912577
**File Stem:** 0001145549-23-008163
**Filing Date:** 2023-2
**Character Count:** 84856
**Document Hash:** 0f7ab9a1bba797d0cfd331e9f0704b0c
**Contains OCR:** False
**Source Format:** 

## Filing Content

## Filing Summary
**0001145549-23-008163.hdr.sgml**: 20230222

**ACCESSION NUMBER**: 0001145549-23-008163

**CONFORMED SUBMISSION TYPE**: NPORT-P

**PUBLIC DOCUMENT COUNT**: 1

**CONFORMED PERIOD OF REPORT**: 20221231

**FILED AS OF DATE**: 20230222

**DATE AS OF CHANGE**: 20230222

**PERIOD START**: 20221231

**FILER**: 

**COMPANY DATA:**
- **COMPANY CONFORMED NAME:** FEDERATED HERMES INSURANCE SERIES
- **CENTRAL INDEX KEY:** 0000912577
- **IRS NUMBER:** 256425525
- **STATE OF INCORPORATION:** MA
- **FISCAL YEAR END:** 1231

**FILING VALUES:**
- **FORM TYPE:** NPORT-P
- **SEC ACT:** 1940 Act
- **SEC FILE NUMBER:** 811-08042
- **FILM NUMBER:** 23652494

**BUSINESS ADDRESS:**
- **STREET 1:** 4000 ERICSSON DRIVE
- **CITY:** WARRENDALE
- **STATE:** PA
- **ZIP:** 15086-7561
- **BUSINESS PHONE:** 8003417400

**MAIL ADDRESS:**
- **STREET 1:** 4000 ERICSSON DRIVE
- **CITY:** WARRENDALE
- **STATE:** PA
- **ZIP:** 15086-7561

**FORMER COMPANY:**
- **FORMER CONFORMED NAME:** FEDERATED INSURANCE SERIES
- **DATE OF NAME CHANGE:** 19960328

**FORMER COMPANY:**
- **FORMER CONFORMED NAME:** INSURANCE MANAGEMENT SERIES
- **DATE OF NAME CHANGE:** 19930924

## Series and Classes Contracts Data

### Federated Hermes Fund for U.S. Government Securities II (Series ID: S000009748)

| Class ID   | Class Name                                              | Ticker Symbol   |
|:---|:---|:---|
| C000026775 | Federated Hermes Fund for U.S. Government Securities II |  |

## Form NPORT-P: Monthly Portfolio Investments Report

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

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

- **a. Name of Registrant:** Federated Hermes Insurance Series

- **b. Investment Company Act file number:** 811-08042

- **c. CIK number of Registrant:** 0000912577

- **d. LEI of Registrant:** 254900PGYAB5I8WZFV72

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

  - **Street Address 1:** Federated Hermes Funds

  - **City:** Warrendale

  - **State:** PA

  - **Foreign country:** US

  - **Zip / Postal Code:** 15086-7561

  - **Telephone number:** 8003417400

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

- **a. Name of Series:** Federated Hermes Fund For U.S. Government Securities II

- **b. EDGAR series identifier (if any):** S000009748

- **c. LEI of Series:** 254900XGJCH26G9LF241

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

- **a. Date of fiscal year-end:** 2022-12-31

- **b. Date as of which information is reported:** 2022-12-31

**Item A.4. Final filing**

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

### Fund Information

**Total Assets:** $91833779.67

**Total Liabilities:** $48882.13

**Net Assets:** $91784897.54

**Currency Risk Metrics (dv01):**

- 

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

- **3-Month:** -20.896147000000 | **1-Year:** -409.588445000000 | **5-Year:** -1067.486834000000 | **10-Year:** -1656.923960000000 | **30-Year:** -797.005099000000

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

- **3-Month:** -0.509921000000 | **1-Year:** -9.360059000000 | **5-Year:** -192.097031000000 | **10-Year:** -51.815624000000 | **30-Year:** 0.000000000000

**Monthly Return Information**

| Class               | Month 1 Return (%)   | Month 2 Return (%)   | Month 3 Return (%)   |
|:---|:---|:---|:---|
| Class ID C000026775 | -1.87%               | 3.36%                | -0.43%               |

**Monthly Gains & Losses**

| Period   | Net Realized Gain/Loss   | Net Unrealized Appreciation/Depreciation   |
|:---|:---|:---|
| Month 1  | $-2092609.24             | $181170.68                                 |
| Month 2  | $-387276.33              | $3180705.61                                |
| Month 3  | $-1005233.48             | $378156.38                                 |

### 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   |
|:---|:---|:---|:---|:---|:---|:---|---:|:---|:---|:---|:---|:---|:---|:---|---:|:---|
| Credit Suisse Mortgage Trust                     | CSMC Mortgage-Backed Trust 2007-4                            | CUSIP: 126379BQ8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     58896 | PA      | $6130.31      | 0.01%             | 2037-06-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Credit Suisse Mortgage Trust                     | CSMC Trust 2015-WIN1                                         | CUSIP: 12649KAK3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     76221 | PA      | $67841.70     | 0.07%             | 2044-12-25      | Variable      | 3.50%                 | Yes           |                  2 | On Loan: No      |
| Chase Auto Owner Trust                           | Chase Auto Owner Trust 2022-A                                | CUSIP: 16144JAB7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    591000 | PA      | $586184.83    | 0.64%             |  |  |  | Yes           |                  2 | On Loan: No      |
| Freddie Mac                                      | Freddie Mac Pool                                             | CUSIP: 3131WHN78<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      3497 | PA      | $3611.35      | 0.00%             | 2036-06-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                      | Freddie Mac Pool                                             | CUSIP: 3131WHPR2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       912 | PA      | $941.37       | 0.00%             | 2036-06-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                      | Freddie Mac Pool                                             | CUSIP: 3131WJ3Y7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    133000 | PA      | $139266.01    | 0.15%             | 2037-06-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                      | Freddie Mac Pool                                             | CUSIP: 3131XYF53<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    124161 | PA      | $118885.16    | 0.13%             | 2047-11-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                      | Freddie Mac Pool                                             | CUSIP: 3131XYJ75<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    649707 | PA      | $602090.69    | 0.66%             | 2047-11-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                      | Freddie Mac Pool                                             | CUSIP: 3132A1HV9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    324901 | PA      | $332458.71    | 0.36%             | 2034-05-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                      | Freddie Mac Pool                                             | CUSIP: 3132A1V27<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    193363 | PA      | $194130.32    | 0.21%             | 2034-01-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                      | Freddie Mac Pool                                             | CUSIP: 3132D6C32<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   2314176 | PA      | $2300947.80   | 2.51%             | 2037-11-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL FARM CREDIT BANK                         | Federal Farm Credit Banks                                    | CUSIP: 31331RN68<br>LEI: 254900C5LP6DN9OP9V83 | Long             | DBT              | USGSE             | US        |   1000000 | PA      | $1082169.20   | 1.18%             | 2028-12-07      | Fixed         | 5.75%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                      | Freddie Mac Pool                                             | CUSIP: 3133BGCX4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    971365 | PA      | $941012.47    | 1.03%             | 2052-07-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Fannie Mae Pool                                              | CUSIP: 313615US3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       215 | PA      | $215.69       | 0.00%             | 2024-02-01      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Fannie Mae Pool                                              | CUSIP: 31371G2C3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       133 | PA      | $139.07       | 0.00%             | 2028-09-01      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Fannie Mae Pool                                              | CUSIP: 31371G2G4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       449 | PA      | $467.51       | 0.00%             | 2028-08-01      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| FHLMC Multifamily Structured Pass Through Certs. | Freddie Mac Multifamily Structured Pass Through Certificates | CUSIP: 3137H9D71<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1000000 | PA      | $919273.50    | 1.00%             | 2029-09-25      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Fannie Mae Pool                                              | CUSIP: 31383REU2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       110 | PA      | $112.00       | 0.00%             | 2029-08-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Fannie Mae Pool                                              | CUSIP: 31384SPY9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      2896 | PA      | $3065.24      | 0.00%             | 2030-02-01      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Fannie Mae Pool                                              | CUSIP: 3138AD4L6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    128573 | PA      | $127699.58    | 0.14%             | 2041-10-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Fannie Mae Pool                                              | CUSIP: 3138ESA65<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     39325 | PA      | $35448.93     | 0.04%             | 2047-02-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Fannie Mae Pool                                              | CUSIP: 3138WJMJ4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    576382 | PA      | $533779.65    | 0.58%             | 2046-12-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Fannie Mae Pool                                              | CUSIP: 31390CF68<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     73168 | PA      | $77847.12     | 0.08%             | 2032-04-01      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Fannie Mae Pool                                              | CUSIP: 31403DP37<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     75077 | PA      | $77010.44     | 0.08%             | 2034-09-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Fannie Mae Pool                                              | CUSIP: 3140HDFC3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    116750 | PA      | $111643.09    | 0.12%             | 2048-02-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Fannie Mae Pool                                              | CUSIP: 3140J9CV1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1390854 | PA      | $1300769.36   | 1.42%             | 2042-09-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Fannie Mae Pool                                              | CUSIP: 3140Q8JU0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    593255 | PA      | $527729.76    | 0.57%             | 2048-02-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Fannie Mae Pool                                              | CUSIP: 3140Q97G2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    337273 | PA      | $300337.75    | 0.33%             | 2048-02-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Fannie Mae Pool                                              | CUSIP: 3140QMCQ5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    944626 | PA      | $831288.63    | 0.91%             | 2051-10-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Fannie Mae Pool                                              | CUSIP: 31410GJG9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    140826 | PA      | $141422.90    | 0.15%             | 2034-07-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Fannie Mae Pool                                              | CUSIP: 31418CFD1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    453096 | PA      | $407441.27    | 0.44%             | 2047-01-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Fannie Mae Pool                                              | CUSIP: 31418DP97<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1282153 | PA      | $1055548.98   | 1.15%             | 2050-06-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Fannie Mae Pool                                              | CUSIP: 31418DQ70<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   2254187 | PA      | $1854379.58   | 2.02%             | 2050-07-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association         | Ginnie Mae I Pool                                            | CUSIP: 36201MEC2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      7889 | PA      | $8081.13      | 0.01%             | 2032-04-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association         | Ginnie Mae II Pool                                           | CUSIP: 36202E6D6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    214757 | PA      | $212444.22    | 0.23%             | 2039-06-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association         | Ginnie Mae II Pool                                           | CUSIP: 36202ENB1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     19295 | PA      | $20229.73     | 0.02%             | 2037-05-20      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association         | Ginnie Mae II Pool                                           | CUSIP: 36202EUU1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    110877 | PA      | $116601.80    | 0.13%             | 2038-07-20      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association         | Ginnie Mae I Pool                                            | CUSIP: 36209YWP9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     20282 | PA      | $21111.28     | 0.02%             | 2031-10-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association         | Ginnie Mae I Pool                                            | CUSIP: 36225B6B9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    125277 | PA      | $125047.85    | 0.14%             | 2034-07-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| JP Morgan Mortgage Trust                         | J.P. Morgan Mortgage Trust 2022-1                            | CUSIP: 46654WAC5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1309271 | PA      | $1095082.47   | 1.19%             | 2052-07-25      | Variable      | 3.00%                 | Yes           |                  2 | On Loan: No      |
| Navient Student Loan Trust                       | Navient Student Loan Trust                                   | CUSIP: 63942KAA2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    905093 | PA      | $774744.54    | 0.84%             |  |  |  | Yes           |                  2 | On Loan: No      |
| Progress Residential Trust                       | Progress Residential 2022-SFR1 Trust                         | CUSIP: 74333YAJ7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    605000 | PA      | $473192.40    | 0.52%             |  |  |  | Yes           |                  2 | On Loan: No      |
| TENN VALLEY AUTHORITY                            | Tennessee Valley Authority                                   | CUSIP: 880591EU2<br>LEI: 549300HE1ISW43LNKM54 | Long             | DBT              | USGA              | US        |   1700000 | PA      | $1611226.17   | 1.76%             | 2027-02-01      | Fixed         | 2.88%                 | No            |                  2 | On Loan: No      |
| US TREASURY N/B                                  | United States Treasury Note/Bond                             | CUSIP: 91282CDZ1<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   2000000 | PA      | $1882197.40   | 2.05%             | 2025-02-15      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| United States Treasury                           | United States Treasury Note/Bond                             | CUSIP: 91282CEP2<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    500000 | PA      | $460925.70    | 0.50%             | 2032-05-15      | Fixed         | 2.88%                 | No            |                  2 | On Loan: No      |
| United States Treasury                           | United States Treasury Note/Bond                             | CUSIP: 91282CES6<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   1500000 | PA      | $1393324.95   | 1.52%             | 2029-05-31      | Fixed         | 2.75%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                      | Freddie Mac Pool                                             | CUSIP: 3131WGPD5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     11930 | PA      | $12266.87     | 0.01%             | 2035-12-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                      | Freddie Mac Pool                                             | CUSIP: 3131WHLG0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     48047 | PA      | $49443.26     | 0.05%             | 2036-05-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                      | Freddie Mac Pool                                             | CUSIP: 3131WULQ9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       378 | PA      | $386.42       | 0.00%             | 2029-09-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                      | Freddie Mac Pool                                             | CUSIP: 3131XT5K2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    366033 | PA      | $352423.89    | 0.38%             | 2046-03-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                      | Freddie Mac Pool                                             | CUSIP: 3131Y0WR9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    110625 | PA      | $105052.73    | 0.11%             | 2048-04-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                      | Freddie Mac Pool                                             | CUSIP: 31329NCT3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    284987 | PA      | $257339.81    | 0.28%             | 2045-11-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                      | Freddie Mac Pool                                             | CUSIP: 3132A1EF7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     72887 | PA      | $75099.15     | 0.08%             | 2036-02-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                      | Freddie Mac Pool                                             | CUSIP: 3133AAE57<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1620946 | PA      | $1387085.72   | 1.51%             | 2050-09-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                      | Freddie Mac Pool                                             | CUSIP: 3133B6UZ1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   2716349 | PA      | $2553389.26   | 2.78%             | 2052-03-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Fannie Mae Pool                                              | CUSIP: 31371HYA0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      1329 | PA      | $1384.06      | 0.00%             | 2029-10-01      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Fannie Mae Pool                                              | CUSIP: 31407XXN6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     16091 | PA      | $16191.35     | 0.02%             | 2035-11-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Fannie Mae Pool                                              | CUSIP: 3140FHWA1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    142336 | PA      | $127193.69    | 0.14%             | 2046-11-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association         | Ginnie Mae II Pool                                           | CUSIP: 36179XFJ0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    995489 | PA      | $986820.74    | 1.08%             | 2052-09-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association         | Ginnie Mae II Pool                                           | CUSIP: 36179XH33<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1993394 | PA      | $2026338.14   | 2.21%             | 2052-10-20      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association         | Ginnie Mae I Pool                                            | CUSIP: 36201CJX3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     23565 | PA      | $24471.60     | 0.03%             | 2031-12-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association         | Ginnie Mae I Pool                                            | CUSIP: 36209RNE9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       798 | PA      | $845.48       | 0.00%             | 2030-04-15      | Fixed         | 8.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association         | Ginnie Mae I Pool                                            | CUSIP: 36211DQM5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      1475 | PA      | $1516.63      | 0.00%             | 2029-06-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association         | Ginnie Mae I Pool                                            | CUSIP: 36225ATR1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      1183 | PA      | $1186.16      | 0.00%             | 2024-05-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| JP Morgan Mortgage Trust                         | JP Morgan Mortgage Trust 2022-2                              | CUSIP: 46655DAC6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1413032 | PA      | $1129873.93   | 1.23%             | 2052-08-25      | Variable      | 2.50%                 | Yes           |                  2 | On Loan: No      |
| US TREASURY N/B                                  | United States Treasury Note/Bond                             | CUSIP: 912810TH1<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    600000 | PA      | $526512.48    | 0.57%             | 2042-05-15      | Fixed         | 3.25%                 | No            |                  2 | On Loan: No      |
| United States Treasury                           | United States Treasury Note/Bond                             | CUSIP: 91282CEK3<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   1000000 | PA      | $971450.10    | 1.06%             | 2024-04-30      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| AmeriCredit Automobile Receivables Trust         | AmeriCredit Automobile Receivables Trust 2020-2              | CUSIP: 03066EAF1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    311000 | PA      | $294848.18    | 0.32%             |  |  |  | No            |                  2 | On Loan: No      |
| Freddie Mac                                      | Freddie Mac Pool                                             | CUSIP: 3131WHME4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      3177 | PA      | $3279.58      | 0.00%             | 2036-05-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                      | Freddie Mac Pool                                             | CUSIP: 3131WHMH7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      5578 | PA      | $5804.07      | 0.01%             | 2036-05-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                      | Freddie Mac Pool                                             | CUSIP: 3131WHNB9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     14784 | PA      | $14883.39     | 0.02%             | 2036-05-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                      | Freddie Mac Pool                                             | CUSIP: 3131WKV72<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     10243 | PA      | $10707.27     | 0.01%             | 2037-07-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                      | Freddie Mac Pool                                             | CUSIP: 3131WQCN5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     35347 | PA      | $35721.28     | 0.04%             | 2040-06-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                      | Freddie Mac Pool                                             | CUSIP: 3131WVEX0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     14403 | PA      | $15301.68     | 0.02%             | 2030-12-01      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                      | Freddie Mac Pool                                             | CUSIP: 3131XVKV6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     55376 | PA      | $49796.44     | 0.05%             | 2046-11-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                      | Freddie Mac Pool                                             | CUSIP: 31329H3L3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     13785 | PA      | $14192.57     | 0.02%             | 2032-02-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                      | Freddie Mac Pool                                             | CUSIP: 31329HXJ5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       600 | PA      | $623.21       | 0.00%             | 2030-06-01      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                      | Freddie Mac Pool                                             | CUSIP: 31329NXY9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     57247 | PA      | $54778.28     | 0.06%             | 2047-12-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                      | Freddie Mac Pool                                             | CUSIP: 31329PFM0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    308177 | PA      | $293829.48    | 0.32%             | 2048-07-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                      | Freddie Mac Pool                                             | CUSIP: 3132A1VR2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     53365 | PA      | $55533.77     | 0.06%             | 2036-04-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                      | Freddie Mac Pool                                             | CUSIP: 3132A1WT7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     42911 | PA      | $43222.91     | 0.05%             | 2036-04-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                      | Freddie Mac Pool                                             | CUSIP: 3132A2AW2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     46801 | PA      | $48320.86     | 0.05%             | 2037-11-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                      | Freddie Mac Pool                                             | CUSIP: 3132A2N57<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     93953 | PA      | $96982.72     | 0.11%             | 2038-01-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                      | Freddie Mac Pool                                             | CUSIP: 3132AAYU2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    154003 | PA      | $143005.18    | 0.16%             | 2046-05-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                      | Freddie Mac Pool                                             | CUSIP: 3132ACSS0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    366482 | PA      | $330699.37    | 0.36%             | 2046-10-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                      | Freddie Mac Pool                                             | CUSIP: 3132ADTL2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    638564 | PA      | $597714.96    | 0.65%             | 2042-07-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                      | Freddie Mac Pool                                             | CUSIP: 3132DVL60<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    974546 | PA      | $803525.93    | 0.88%             | 2052-01-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Fannie Mae Pool                                              | CUSIP: 31371HQX9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       120 | PA      | $123.88       | 0.00%             | 2029-07-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Fannie Mae Pool                                              | CUSIP: 31371NN76<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     12995 | PA      | $13400.23     | 0.01%             | 2037-12-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Fannie Mae Pool                                              | CUSIP: 31374TVN6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      1516 | PA      | $1543.31      | 0.00%             | 2029-07-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FHLMC Multifamily Structured Pass Through Certs. | Freddie Mac Multifamily Structured Pass Through Certificates | CUSIP: 3137H9JG5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    457000 | PA      | $432749.39    | 0.47%             | 2032-10-25      | Variable      | 3.80%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Fannie Mae Pool                                              | CUSIP: 31383FAD0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      2238 | PA      | $2300.51      | 0.00%             | 2029-07-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Fannie Mae Pool                                              | CUSIP: 31383HEX8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       110 | PA      | $113.41       | 0.00%             | 2029-06-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Fannie Mae Pool                                              | CUSIP: 31383MUZ4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       222 | PA      | $228.50       | 0.00%             | 2029-07-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Fannie Mae Pool                                              | CUSIP: 31385UCP6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      3270 | PA      | $3394.27      | 0.00%             | 2030-09-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Fannie Mae Pool                                              | CUSIP: 31386CQS4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      3458 | PA      | $3654.77      | 0.00%             | 2030-11-01      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Fannie Mae Pool                                              | CUSIP: 31389PGS3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     10450 | PA      | $10954.82     | 0.01%             | 2032-04-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Fannie Mae Pool                                              | CUSIP: 3138ET5G7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    600751 | PA      | $555295.49    | 0.60%             | 2046-08-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Fannie Mae Pool                                              | CUSIP: 3140FDF27<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    622463 | PA      | $559742.20    | 0.61%             | 2046-11-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Fannie Mae Pool                                              | CUSIP: 3140H7UY1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    265533 | PA      | $244744.50    | 0.27%             | 2048-01-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Fannie Mae Pool                                              | CUSIP: 3140J8Y64<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    470649 | PA      | $439685.57    | 0.48%             | 2046-09-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Fannie Mae Pool                                              | CUSIP: 3140J8Y72<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    360955 | PA      | $335854.84    | 0.37%             | 2047-12-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Fannie Mae Pool                                              | CUSIP: 3140QNB50<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1627140 | PA      | $1431278.09   | 1.56%             | 2052-02-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Fannie Mae Pool                                              | CUSIP: 3140XCGT9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   2002988 | PA      | $1646481.53   | 1.79%             | 2051-08-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Fannie Mae Pool                                              | CUSIP: 3140XHBK2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    478497 | PA      | $449790.66    | 0.49%             | 2052-05-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Fannie Mae Pool                                              | CUSIP: 31410SQE0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      3029 | PA      | $3157.34      | 0.00%             | 2036-07-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Fannie Mae Pool                                              | CUSIP: 31413JMS0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     27403 | PA      | $28668.03     | 0.03%             | 2037-09-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Fannie Mae Pool                                              | CUSIP: 31418CCH5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    408089 | PA      | $366968.74    | 0.40%             | 2046-10-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association         | Ginnie Mae II Pool                                           | CUSIP: 36179W7H5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1947558 | PA      | $1633150.59   | 1.78%             | 2052-06-20      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association         | Ginnie Mae II Pool                                           | CUSIP: 36179XH25<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    996089 | PA      | $1001633.79   | 1.09%             | 2052-10-20      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association         | Ginnie Mae II Pool                                           | CUSIP: 3617G1FA1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1123693 | PA      | $1041108.89   | 1.13%             | 2048-01-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association         | Ginnie Mae II Pool                                           | CUSIP: 3617UCHK7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   3800479 | PA      | $3270732.27   | 3.56%             | 2051-02-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association         | Ginnie Mae I Pool                                            | CUSIP: 36201QDR1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     19424 | PA      | $20064.37     | 0.02%             | 2032-05-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association         | Ginnie Mae II Pool                                           | CUSIP: 36202DGD7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      2511 | PA      | $2629.07      | 0.00%             | 2030-03-20      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association         | Ginnie Mae II Pool                                           | CUSIP: 36202DNY3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      2615 | PA      | $2720.51      | 0.00%             | 2031-07-20      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association         | Ginnie Mae II Pool                                           | CUSIP: 36202DPD7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      2489 | PA      | $2587.48      | 0.00%             | 2031-08-20      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association         | Ginnie Mae I Pool                                            | CUSIP: 36213DUD8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      2113 | PA      | $2143.52      | 0.00%             | 2031-06-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association         | Ginnie Mae I Pool                                            | CUSIP: 36225AMB3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       414 | PA      | $414.88       | 0.00%             | 2023-12-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association         | Ginnie Mae II Pool                                           | CUSIP: 3622A3AD2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    528024 | PA      | $489217.52    | 0.53%             | 2048-02-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| GS Mortgage-Backed Securities Trust              | GS Mortgage-Backed Securities Trust 2022-PJ3                 | CUSIP: 362924AE2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1043240 | PA      | $834836.88    | 0.91%             | 2052-08-25      | Variable      | 2.50%                 | Yes           |                  2 | On Loan: No      |
| Government National Mortgage Association         | Ginnie Mae I Pool                                            | CUSIP: 36292L5G5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     62594 | PA      | $65244.87     | 0.07%             | 2036-05-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association         | Ginnie Mae I Pool                                            | CUSIP: 36292LGN8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     69384 | PA      | $72336.45     | 0.08%             | 2036-04-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association         | Government National Mortgage Association                     | CUSIP: 38379KJM1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    364614 | PA      | $342164.58    | 0.37%             | 2055-11-16      | Variable      | 2.90%                 | No            |                  2 | On Loan: No      |
| JP Morgan Mortgage Trust                         | JP Morgan Mortgage Trust 2022-3                              | CUSIP: 46654UAC9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1224344 | PA      | $978997.15    | 1.07%             | 2052-08-25      | Variable      | 2.50%                 | Yes           |                  2 | On Loan: No      |
| Navient Student Loan Trust                       | Navient Private Education Refi Loan Trust 2020-H             | CUSIP: 63935BAA1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    248379 | PA      | $220685.67    | 0.24%             |  |  |  | Yes           |                  2 | On Loan: No      |
| Navient Student Loan Trust                       | Navient Private Education Refi Loan Trust 2020-G             | CUSIP: 63941UAA1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    432264 | PA      | $372602.90    | 0.41%             |  |  |  | Yes           |                  2 | On Loan: No      |
| Progress Residential Trust                       | Progress Residential 2022-SFR4 Trust                         | CUSIP: 74332XAC5<br>LEI: 5493002EEQ4GX2578787 | Long             | ABS-O            | CORP              | US        |    409212 | PA      | $367806.19    | 0.40%             |  |  |  | Yes           |                  2 | On Loan: No      |
| SMB Private Education Loan Trust                 | SMB Private Education Loan Trust 2020-B                      | CUSIP: 78449XAB8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    539458 | PA      | $528036.60    | 0.58%             | 2053-07-15      | None          | 0.00%                 | Yes           |                  2 | On Loan: No      |
| Sequoia Mortgage Trust                           | Sequoia Mortgage Trust 2021-3                                | CUSIP: 81748VAA6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1114177 | PA      | $896477.26    | 0.98%             | 2051-05-25      | Variable      | 2.50%                 | Yes           |                  2 | On Loan: No      |
| TENN VALLEY AUTHORITY                            | Tennessee Valley Authority                                   | CUSIP: 880591EB4<br>LEI: 549300HE1ISW43LNKM54 | Long             | DBT              | USGA              | US        |    250000 | PA      | $246891.75    | 0.27%             | 2048-01-15      | Fixed         | 4.88%                 | No            |                  2 | On Loan: No      |
| United States Treasury                           | United States Treasury Note/Bond                             | CUSIP: 912810RH3<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    650000 | PA      | $549993.28    | 0.60%             | 2044-08-15      | Fixed         | 3.13%                 | No            |                  2 | On Loan: No      |
| United States Treasury                           | United States Treasury Note/Bond                             | CUSIP: 912810RN0<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   1200000 | PA      | $968204.88    | 1.05%             | 2045-08-15      | Fixed         | 2.88%                 | No            |                  2 | On Loan: No      |
| United States Treasury                           | United States Treasury Note/Bond - When Issued               | CUSIP: 912810SH2<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   1025000 | PA      | $828263.96    | 0.90%             | 2049-05-15      | Fixed         | 2.88%                 | No            |                  2 | On Loan: No      |
| United States Treasury                           | United States Treasury Note/Bond                             | CUSIP: 912810SK5<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    700000 | PA      | $509259.24    | 0.55%             | 2049-11-15      | Fixed         | 2.38%                 | No            |                  2 | On Loan: No      |
| United States Treasury                           | United States Treasury Note/Bond - When Issued               | CUSIP: 9128286F2<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    250000 | PA      | $237461.85    | 0.26%             | 2026-02-28      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| United States Treasury                           | United States Treasury Note/Bond                             | CUSIP: 91282CFC0<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    750000 | PA      | $690643.95    | 0.75%             | 2029-07-31      | Fixed         | 2.63%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                      | Freddie Mac Pool                                             | CUSIP: 3131WRAW5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    319606 | PA      | $316675.00    | 0.35%             | 2040-12-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                      | Freddie Mac Pool                                             | CUSIP: 3131WRUY9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    404603 | PA      | $400890.59    | 0.44%             | 2041-04-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                      | Freddie Mac Pool                                             | CUSIP: 3131WUDF2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      1877 | PA      | $1933.66      | 0.00%             | 2029-06-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                      | Freddie Mac Pool                                             | CUSIP: 3131WWJW5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      3809 | PA      | $3907.80      | 0.00%             | 2032-01-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                      | Freddie Mac Pool                                             | CUSIP: 3131WWVG6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    149938 | PA      | $159614.29    | 0.17%             | 2032-04-01      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                      | Freddie Mac Pool                                             | CUSIP: 3131WYYV6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       243 | PA      | $248.26       | 0.00%             | 2025-02-01      | Fixed         | 9.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                      | Freddie Mac Pool                                             | CUSIP: 3131XHZN9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     76375 | PA      | $73860.99     | 0.08%             | 2042-01-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                      | Freddie Mac Pool                                             | CUSIP: 31329HUG4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      3381 | PA      | $3478.22      | 0.00%             | 2029-03-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                      | Freddie Mac Pool                                             | CUSIP: 31329HVL2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      1346 | PA      | $1384.92      | 0.00%             | 2029-07-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                      | Freddie Mac Pool                                             | CUSIP: 31329HWF4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       870 | PA      | $907.90       | 0.00%             | 2029-12-01      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                      | Freddie Mac Pool                                             | CUSIP: 31329HXG1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      1348 | PA      | $1428.56      | 0.00%             | 2030-05-01      | Fixed         | 8.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                      | Freddie Mac Pool                                             | CUSIP: 31329HYL9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       130 | PA      | $136.50       | 0.00%             | 2030-11-01      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                      | Freddie Mac Pool                                             | CUSIP: 31329HYW5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      7267 | PA      | $7715.20      | 0.01%             | 2031-01-01      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                      | Freddie Mac Pool                                             | CUSIP: 3132A1GB4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      9775 | PA      | $9845.00      | 0.01%             | 2036-06-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                      | Freddie Mac Pool                                             | CUSIP: 3132A2PC0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     57415 | PA      | $57642.96     | 0.06%             | 2034-05-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                      | Freddie Mac Pool                                             | CUSIP: 3132A44F2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    138028 | PA      | $136732.46    | 0.15%             | 2040-08-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                      | Freddie Mac Pool                                             | CUSIP: 3132A4WA2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      5664 | PA      | $5835.87      | 0.01%             | 2036-05-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                      | Freddie Mac Pool                                             | CUSIP: 3132A5FX8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    553496 | PA      | $497724.60    | 0.54%             | 2046-10-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                      | Freddie Mac Pool                                             | CUSIP: 3132AC2J8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    549022 | PA      | $513443.74    | 0.56%             | 2043-09-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                      | Freddie Mac Pool                                             | CUSIP: 3132DPFC7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   6227977 | PA      | $5117530.57   | 5.58%             | 2052-01-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                      | Freddie Mac Pool                                             | CUSIP: 3132DVMB8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   2147918 | PA      | $1843734.23   | 2.01%             | 2052-04-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                      | Freddie Mac Pool                                             | CUSIP: 3133AARF1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    952749 | PA      | $789126.64    | 0.86%             | 2050-09-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                      | Freddie Mac Pool                                             | CUSIP: 3133AT2C4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    918980 | PA      | $781369.04    | 0.85%             | 2051-10-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Fannie Mae Pool                                              | CUSIP: 31382UXE1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      1374 | PA      | $1421.13      | 0.00%             | 2029-06-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Fannie Mae Pool                                              | CUSIP: 31383EYY1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       166 | PA      | $171.13       | 0.00%             | 2029-07-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Fannie Mae Pool                                              | CUSIP: 31383YE29<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      9984 | PA      | $10476.40     | 0.01%             | 2029-10-01      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Fannie Mae Pool                                              | CUSIP: 31384WKP4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      1049 | PA      | $1078.87      | 0.00%             | 2031-05-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Fannie Mae Pool                                              | CUSIP: 31385K3Y9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      1407 | PA      | $1498.79      | 0.00%             | 2030-07-01      | Fixed         | 8.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Fannie Mae Pool                                              | CUSIP: 31387NVM6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     13770 | PA      | $14360.88     | 0.02%             | 2031-06-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Fannie Mae Pool                                              | CUSIP: 3138A5GV8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    155991 | PA      | $150948.94    | 0.16%             | 2041-02-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Fannie Mae Pool                                              | CUSIP: 31403DDX4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     40621 | PA      | $41824.31     | 0.05%             | 2036-04-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Fannie Mae Pool                                              | CUSIP: 31408F6D6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     29837 | PA      | $30709.40     | 0.03%             | 2036-01-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Fannie Mae Pool                                              | CUSIP: 31409JYR5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     98181 | PA      | $102575.48    | 0.11%             | 2036-07-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Fannie Mae Pool                                              | CUSIP: 31409X4Z9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      6349 | PA      | $6616.43      | 0.01%             | 2036-05-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Fannie Mae Pool                                              | CUSIP: 3140FPYF0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     50109 | PA      | $45028.97     | 0.05%             | 2047-01-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Fannie Mae Pool                                              | CUSIP: 3140GYH85<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    136665 | PA      | $130686.72    | 0.14%             | 2048-02-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Fannie Mae Pool                                              | CUSIP: 3140J8NF6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    296342 | PA      | $283750.12    | 0.31%             | 2048-02-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Fannie Mae Pool                                              | CUSIP: 3140MX4S0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1493251 | PA      | $1474179.87   | 1.61%             | 2052-09-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Fannie Mae Pool                                              | CUSIP: 3140XGYS2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    950602 | PA      | $782001.17    | 0.85%             | 2051-07-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Fannie Mae Pool                                              | CUSIP: 3140XJRA3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1981393 | PA      | $1626253.68   | 1.77%             | 2052-02-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Fannie Mae Pool                                              | CUSIP: 3140XJSZ7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    870356 | PA      | $766609.78    | 0.84%             | 2051-05-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Fannie Mae Pool                                              | CUSIP: 3140XJTK9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    939754 | PA      | $768085.03    | 0.84%             | 2052-02-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Fannie Mae Pool                                              | CUSIP: 31413VN52<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     19590 | PA      | $20529.07     | 0.02%             | 2037-11-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Fannie Mae Pool                                              | CUSIP: 31418DUG5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    774273 | PA      | $636946.02    | 0.69%             | 2050-11-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association         | Ginnie Mae II Pool                                           | CUSIP: 36179TLR4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    638495 | PA      | $577566.60    | 0.63%             | 2047-11-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association         | Ginnie Mae II Pool                                           | CUSIP: 36179XHY5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    995665 | PA      | $966352.20    | 1.05%             | 2052-10-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association         | Ginnie Mae I Pool                                            | CUSIP: 36200Q6T6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     16126 | PA      | $16791.14     | 0.02%             | 2032-05-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association         | Ginnie Mae I Pool                                            | CUSIP: 36200QST2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    142524 | PA      | $148688.15    | 0.16%             | 2032-05-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association         | Ginnie Mae II Pool                                           | CUSIP: 36202EJY6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     19263 | PA      | $20139.65     | 0.02%             | 2036-07-20      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association         | Ginnie Mae II Pool                                           | CUSIP: 36202FJQ0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    240113 | PA      | $237673.26    | 0.26%             | 2040-08-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association         | Ginnie Mae I Pool                                            | CUSIP: 36209Q2Y0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       296 | PA      | $310.15       | 0.00%             | 2029-10-15      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association         | Ginnie Mae I Pool                                            | CUSIP: 3620A9PT2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    168025 | PA      | $165361.52    | 0.18%             | 2039-10-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association         | Ginnie Mae I Pool                                            | CUSIP: 36213TB44<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      2341 | PA      | $2434.01      | 0.00%             | 2032-04-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| JP Morgan Mortgage Trust                         | JP Morgan Mortgage Trust 2021-1                              | CUSIP: 46592EBC9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1144328 | PA      | $1020592.02   | 1.11%             | 2051-06-25      | Floating      | 4.17%                 | Yes           |                  2 | On Loan: No      |
| Navient Student Loan Trust                       | Navient Private Education Refi Loan Trust 2020-F             | CUSIP: 63941XAA5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    210128 | PA      | $192125.54    | 0.21%             |  |  |  | Yes           |                  2 | On Loan: No      |
| Navient Student Loan Trust                       | Navient Private Education Refi Loan Trust 2021-F             | CUSIP: 63942GAA1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    710889 | PA      | $601282.89    | 0.66%             |  |  |  | Yes           |                  2 | On Loan: No      |
| TENN VALLEY AUTHORITY                            | Tennessee Valley Authority                                   | CUSIP: 880591DX7<br>LEI: 549300HE1ISW43LNKM54 | Long             | DBT              | USGA              | US        |   2000000 | PA      | $1979686.00   | 2.16%             | 2035-06-15      | Fixed         | 4.65%                 | No            |                  2 | On Loan: No      |
| United States Treasury                           | United States Treasury Note/Bond                             | CUSIP: 912810SY5<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    400000 | PA      | $300733.36    | 0.33%             | 2041-05-15      | Fixed         | 2.25%                 | No            |                  2 | On Loan: No      |
| United States Treasury                           | United States Treasury Note/Bond                             | CUSIP: 912810TB4<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   1000000 | PA      | $636245.00    | 0.69%             | 2051-11-15      | Fixed         | 1.88%                 | No            |                  2 | On Loan: No      |
| US TREASURY N/B                                  | United States Treasury Note/Bond                             | CUSIP: 91282CAJ0<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   1000000 | PA      | $899419.70    | 0.98%             | 2025-08-31      | Fixed         | 0.25%                 | No            |                  2 | On Loan: No      |
| United States Treasury                           | United States Treasury Note/Bond                             | CUSIP: 91282CAU5<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   2500000 | PA      | $2114462.50   | 2.30%             | 2027-10-31      | Fixed         | 0.50%                 | No            |                  2 | On Loan: No      |
| United States Treasury                           | United States Treasury Note/Bond                             | CUSIP: 91282CEC1<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    750000 | PA      | $686761.20    | 0.75%             | 2027-02-28      | Fixed         | 1.88%                 | No            |                  2 | On Loan: No      |
| Bank of Montreal                                 | BANK OF MONTREAL 3                                           | CUSIP: 000000000<br>LEI: NQQ6HPCNCCU6TUTQYE16 | Long             | RA               | CORP              | US        |   4244000 | PA      | $4244000.00   | 4.62%             |  |  |  | No            |                  2 | On Loan: No      |

### Signature

**Date Signed:** 2023-02-22

**Name of Applicant:** Federated Hermes Insurance Series

**Signature:** Stephen Van Meter

**Name of Signer:** Federated Hermes Insurance Series

**Title:** Chief Compliance Officer