# EDGAR Filing Document

**Accession Number:** 0001551895
**File Stem:** 0000940400-25-011571
**Filing Date:** 2025-11
**Character Count:** 148111
**Document Hash:** e87430264d4d83676c6fe1171532d19d
**Contains OCR:** False
**Source Format:** 

## Filing Content

## Filing Summary
**0000940400-25-011571.hdr.sgml**: 20251128

**ACCESSION NUMBER**: 0000940400-25-011571

**CONFORMED SUBMISSION TYPE**: NPORT-P

**PUBLIC DOCUMENT COUNT**: 1

**CONFORMED PERIOD OF REPORT**: 20250930

**FILED AS OF DATE**: 20251128

**DATE AS OF CHANGE**: 20251128

**PERIOD START**: 20260331

**FILER**: 

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

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

**FILING VALUES:**
- **FORM TYPE:** NPORT-P
- **SEC ACT:** 1940 Act
- **SEC FILE NUMBER:** 811-22801
- **FILM NUMBER:** 251534741

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

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

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

## Series and Classes Contracts Data

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

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

## Form NPORT-P: Monthly Portfolio Investments Report

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

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

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

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

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

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

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

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

  - **City:** San Mateo

  - **State:** CA

  - **Foreign country:** US

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

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

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

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

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

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

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

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

- **b. Date as of which information is reported:** 2025-09-30

**Item A.4. Final filing**

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

### Fund Information

**Total Assets:** $255671798.27

**Total Liabilities:** $9675612.68

**Net Assets:** $245996185.59

**Stand-by Commitments:** $5062860.25

**Cash Not Reported:** $597477.00

**Currency Risk Metrics (dv01):**

- 

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

- **3-Month:** 74.01059000 | **1-Year:** 14068.17873000 | **5-Year:** 49954.65817000 | **10-Year:** 1406.02683000 | **30-Year:** 0.00000000

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

- **3-Month:** 11.16377000 | **1-Year:** 10.36007000 | **5-Year:** 0.00000000 | **10-Year:** 0.00000000 | **30-Year:** 0.00000000

**Monthly Return Information**

| Class               | Month 1 Return (%)   | Month 2 Return (%)   | Month 3 Return (%)   |
|:---|:---|:---|:---|
| Class ID C000125848 | 0.19%                | 0.82%                | 0.36%                |

**Monthly Gains & Losses**

| Period   | Net Realized Gain/Loss   | Net Unrealized Appreciation/Depreciation   |
|:---|:---|:---|
| Month 1  | $71932.82                | $-457520.07                                |
| Month 2  | $40000.14                | $941146.50                                 |
| Month 3  | $23624.72                | $126736.83                                 |

**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   |
|:---|:---|:---|:---|:---|:---|:---|---:|:---|:---|:---|:---|:---|:---|:---|---:|:---|
| Freddie Mac                                            | Freddie Mac Non Gold Pool                                    | CUSIP: 3128QJT48<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      3005 | PA      | $3097.69      | 0.00%             | 2037-01-01      | Floating      | 6.49%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                             | Fannie Mae Pool                                              | CUSIP: 31406DBZ8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     12266 | PA      | $12643.08     | 0.01%             | 2035-02-01      | Floating      | 6.44%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                            | Freddie Mac Non Gold Pool                                    | CUSIP: 3128S4B48<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      1588 | PA      | $1636.60      | 0.00%             | 2036-03-01      | Floating      | 7.01%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                            | Freddie Mac Non Gold Pool                                    | CUSIP: 31349SAC7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      1511 | PA      | $1551.77      | 0.00%             | 2033-09-01      | Floating      | 6.79%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                             | Fannie Mae Pool                                              | CUSIP: 31406WQP2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     29298 | PA      | $29829.73     | 0.01%             | 2035-03-01      | Floating      | 6.12%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                             | Fannie Mae Pool                                              | CUSIP: 31418EV98<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   6614476 | PA      | $6780226.35   | 2.76%             | 2053-09-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FHLMC Multifamily Structured P                         | Freddie Mac Multifamily Structured Pass Through Certificates | CUSIP: 3137H5Y35<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   2357156 | PA      | $2344588.16   | 0.95%             | 2029-01-25      | Floating      | 4.64%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                            | Freddie Mac Non Gold Pool                                    | CUSIP: 31300MPK3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     37425 | PA      | $38800.33     | 0.02%             | 2042-01-01      | Floating      | 6.49%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                            | Freddie Mac REMICS                                           | CUSIP: 3137GAK55<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    851090 | PA      | $844163.66    | 0.34%             | 2040-10-15      | Floating      | 4.94%                 | No            |                  2 | On Loan: No      |
| FHLMC Multifamily Structured P                         | Freddie Mac Multifamily Structured Pass Through Certificates | CUSIP: 3137FVNB4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    408223 | PA      | $408039.38    | 0.17%             | 2030-06-25      | Floating      | 4.83%                 | No            |                  2 | On Loan: No      |
| FHLMC Multifamily Structured P                         | Freddie Mac Multifamily Structured Pass Through Certificates | CUSIP: 3137FGRL1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    271629 | PA      | $270478.12    | 0.11%             | 2028-06-25      | Floating      | 4.76%                 | No            |                  2 | On Loan: No      |
| US TREASURY N/B                                        | United States Treasury Note/Bond                             | CUSIP: 91282CFW6<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  14000000 | PA      | $14006448.96  | 5.69%             | 2025-11-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                            | Freddie Mac Non Gold Pool                                    | CUSIP: 3128QLSL6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     12538 | PA      | $13023.37     | 0.01%             | 2036-07-01      | Floating      | 6.25%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                             | Fannie Mae REMICS                                            | CUSIP: 3136BWY59<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1213474 | PA      | $1212089.19   | 0.49%             | 2055-08-25      | Floating      | 5.46%                 | No            |                  2 | On Loan: No      |
| FHLMC Multifamily Structured P                         | Freddie Mac Multifamily Structured Pass Through Certificates | CUSIP: 3137F84A8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    505656 | PA      | $503150.99    | 0.20%             | 2030-11-25      | Floating      | 4.77%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                             | Fannie Mae Pool                                              | CUSIP: 31407YRJ0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      8984 | PA      | $9167.29      | 0.00%             | 2035-11-01      | Floating      | 6.06%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                            | Freddie Mac Non Gold Pool                                    | CUSIP: 3128S4HH3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     18978 | PA      | $19582.72     | 0.01%             | 2036-12-01      | Floating      | 6.43%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                             | Fannie Mae Pool                                              | CUSIP: 31407MSU0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      3078 | PA      | $3111.50      | 0.00%             | 2035-07-01      | Floating      | 6.13%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                             | Fannie Mae Pool                                              | CUSIP: 31402DHS2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     10985 | PA      | $11204.15     | 0.00%             | 2037-02-01      | Floating      | 6.22%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                             | Fannie Mae Pool                                              | CUSIP: 31418MN99<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     28069 | PA      | $28687.91     | 0.01%             | 2037-08-01      | Floating      | 6.48%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                            | Freddie Mac Non Gold Pool                                    | CUSIP: 31300MN74<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    113168 | PA      | $117010.70    | 0.05%             | 2035-07-01      | Floating      | 6.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                             | Fannie Mae REMICS                                            | CUSIP: 3136B3BB5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1075920 | PA      | $1053601.25   | 0.43%             | 2058-10-25      | Floating      | 4.82%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                            | Freddie Mac Non Gold Pool                                    | CUSIP: 31300LVU6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      7598 | PA      | $7802.22      | 0.00%             | 2037-01-01      | Floating      | 6.56%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                            | Freddie Mac Non Gold Pool                                    | CUSIP: 31349GS67<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      9055 | PA      | $9028.21      | 0.00%             | 2029-07-01      | Floating      | 5.82%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                             | Fannie Mae Pool                                              | CUSIP: 3138EPX74<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    196015 | PA      | $202416.30    | 0.08%             | 2037-09-01      | Floating      | 6.71%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                            | Freddie Mac Non Gold Pool                                    | CUSIP: 31347ALP7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    208512 | PA      | $216146.48    | 0.09%             | 2042-05-01      | Floating      | 6.58%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                            | Freddie Mac Pool                                             | CUSIP: 3132DWNJ8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   2405993 | PA      | $2428163.71   | 0.99%             | 2054-12-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                             | Fannie Mae Pool                                              | CUSIP: 31416CAF3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      8840 | PA      | $9122.03      | 0.00%             | 2036-11-01      | Floating      | 6.49%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                             | Fannie Mae Pool                                              | CUSIP: 31385XUH8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      2140 | PA      | $2193.95      | 0.00%             | 2038-03-01      | Floating      | 6.29%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                             | Fannie Mae Pool                                              | CUSIP: 31407EM59<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      4780 | PA      | $4885.86      | 0.00%             | 2035-06-01      | Floating      | 6.39%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                             | Fannie Mae Pool                                              | CUSIP: 31402CYR7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      1241 | PA      | $1272.21      | 0.00%             | 2039-08-01      | Floating      | 6.30%                 | No            |                  2 | On Loan: No      |
| BOARD OF TRADE OF THE CITY OF CHICAGO, INC.            | US LONG BOND(CBT)                                            | CUSIP: 000000000<br>LEI: 549300EX04Q2QBFQTQ27 | N/A              | DIR              | CORP              | US        |       -78 | NC      | $-139044.36   | -0.06%            |  |  |  | No            |                  1 | On Loan: No      |
| Government National Mortgage A                         | Government National Mortgage Association                     | CUSIP: 38376TAF9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    768679 | PA      | $768946.73    | 0.31%             | 2040-01-16      | Floating      | 4.86%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                             | Fannie Mae Pool                                              | CUSIP: 3138EJ5C8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     29648 | PA      | $30596.38     | 0.01%             | 2038-01-01      | Floating      | 6.51%                 | No            |                  2 | On Loan: No      |
| FHLMC Multifamily Structured P                         | Freddie Mac Multifamily Structured Pass Through Certificates | CUSIP: 3137FL2Q6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    148075 | PA      | $147991.23    | 0.06%             | 2026-01-25      | Floating      | 4.97%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                             | Fannie Mae REMICS                                            | CUSIP: 3136BUBH2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1336982 | PA      | $1339016.06   | 0.54%             | 2055-01-25      | Floating      | 5.36%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                             | Fannie Mae Pool                                              | CUSIP: 31407PJH2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    111658 | PA      | $114641.44    | 0.05%             | 2035-10-01      | Floating      | 6.29%                 | No            |                  2 | On Loan: No      |
| FHLMC Multifamily Structured P                         | Freddie Mac Multifamily Structured Pass Through Certificates | CUSIP: 3137HDPJ3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1027716 | PA      | $1029356.21   | 0.42%             | 2034-04-25      | Floating      | 4.93%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                         | Government National Mortgage Association                     | CUSIP: 38375JZS7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    956683 | PA      | $956514.00    | 0.39%             | 2037-04-20      | Floating      | 4.55%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                            | Freddie Mac Non Gold Pool                                    | CUSIP: 3128JRDN3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      8795 | PA      | $9002.44      | 0.00%             | 2034-06-01      | Floating      | 6.38%                 | No            |                  2 | On Loan: No      |
| FHLMC Multifamily Structured P                         | Freddie Mac Multifamily Structured Pass Through Certificates | CUSIP: 3137FRYZ8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    587005 | PA      | $588039.05    | 0.24%             | 2027-02-25      | Floating      | 5.17%                 | No            |                  2 | On Loan: No      |
| FHLMC Multifamily Structured P                         | Freddie Mac Multifamily Structured Pass Through Certificates | CUSIP: 3137FL6K5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    498798 | PA      | $499516.88    | 0.20%             | 2029-02-25      | Floating      | 5.01%                 | No            |                  2 | On Loan: No      |
| FHLMC Multifamily Structured P                         | Freddie Mac Multifamily Structured Pass Through Certificates | CUSIP: 3137FNAS9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    600669 | PA      | $601100.90    | 0.24%             | 2029-07-25      | Floating      | 4.99%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                             | Fannie Mae Pool                                              | CUSIP: 31410GDY6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      3941 | PA      | $4013.00      | 0.00%             | 2035-01-01      | Floating      | 6.44%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                            | Freddie Mac Non Gold Pool                                    | CUSIP: 3128S4NY9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      7124 | PA      | $7258.61      | 0.00%             | 2036-01-01      | Floating      | 6.66%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                             | Fannie Mae Pool                                              | CUSIP: 31418MTD4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     15614 | PA      | $16174.33     | 0.01%             | 2037-08-01      | Floating      | 6.80%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                             | Fannie Mae REMICS                                            | CUSIP: 3136B5EY7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1334039 | PA      | $1302783.04   | 0.53%             | 2049-07-25      | Floating      | 4.92%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                             | Fannie Mae Pool                                              | CUSIP: 31405N7F6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     10198 | PA      | $10302.79     | 0.00%             | 2034-10-01      | Floating      | 6.27%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                            | Freddie Mac Non Gold Pool                                    | CUSIP: 3128S4DY0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     21016 | PA      | $21659.96     | 0.01%             | 2036-09-01      | Floating      | 6.61%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                             | Fannie Mae Pool                                              | CUSIP: 3138EHR61<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       741 | PA      | $736.41       | 0.00%             | 2027-01-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                             | Fannie Mae Pool                                              | CUSIP: 31418FED5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1469010 | PA      | $1482803.46   | 0.60%             | 2054-11-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| INT DEVELOPMENT FIN CORP                               | United States International Development Finance Corp         | CUSIP: 690353TK3<br>LEI: 254900QI8QTIK0FY6E92 | Long             | DBT              | USGA              | US        |    935000 | PA      | $931073.26    | 0.38%             | 2030-05-15      | Fixed         | 4.01%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                            | Freddie Mac Non Gold Pool                                    | CUSIP: 31300LYQ2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    106447 | PA      | $110041.69    | 0.04%             | 2036-03-01      | Floating      | 6.70%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                             | Fannie Mae Pool                                              | CUSIP: 31403CNW7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        97 | PA      | $97.19        | 0.00%             | 2033-11-01      | Floating      | 6.14%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                            | Freddie Mac Non Gold Pool                                    | CUSIP: 31300LRW7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     24190 | PA      | $24797.47     | 0.01%             | 2038-10-01      | Floating      | 6.49%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                             | Fannie Mae Pool                                              | CUSIP: 3138EKDX0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     46076 | PA      | $47104.07     | 0.02%             | 2036-11-01      | Floating      | 6.48%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                             | Fannie Mae REMICS                                            | CUSIP: 3136BQU49<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    622987 | PA      | $625931.55    | 0.25%             | 2054-03-25      | Floating      | 5.41%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                             | Fannie Mae Pool                                              | CUSIP: 3140J8YY3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      7020 | PA      | $6960.60      | 0.00%             | 2031-05-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                             | Fannie Mae Pool                                              | CUSIP: 31404RUM7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      1751 | PA      | $1798.18      | 0.00%             | 2034-03-01      | Floating      | 6.20%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                             | Fannie Mae Pool                                              | CUSIP: 3138EJHA9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     40670 | PA      | $41524.20     | 0.02%             | 2035-09-01      | Floating      | 6.54%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                            | Freddie Mac Non Gold Pool                                    | CUSIP: 3128JR3F1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     28106 | PA      | $28589.15     | 0.01%             | 2035-09-01      | Floating      | 6.69%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                             | Fannie Mae REMICS                                            | CUSIP: 3136ATVV3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    560597 | PA      | $556148.14    | 0.23%             | 2046-09-25      | Floating      | 4.87%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                             | Fannie Mae Pool                                              | CUSIP: 3138ELV59<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      1208 | PA      | $1201.37      | 0.00%             | 2027-01-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                             | Fannie Mae REMICS                                            | CUSIP: 3136AT2C7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    487968 | PA      | $486145.14    | 0.20%             | 2046-10-25      | Floating      | 4.87%                 | No            |                  2 | On Loan: No      |
| FHLMC Multifamily Structured P                         | Freddie Mac Multifamily Structured Pass Through Certificates | CUSIP: 3137FL7L2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    316542 | PA      | $316669.19    | 0.13%             | 2026-02-25      | Floating      | 4.96%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                             | Fannie Mae Pool                                              | CUSIP: 31419DB59<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      2442 | PA      | $2428.57      | 0.00%             | 2026-08-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                            | Freddie Mac Non Gold Pool                                    | CUSIP: 3128NCCU6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     55503 | PA      | $57050.56     | 0.02%             | 2035-03-01      | Floating      | 6.29%                 | No            |                  2 | On Loan: No      |
| FHLMC Multifamily Structured P                         | Freddie Mac Multifamily Structured Pass Through Certificates | CUSIP: 3137FCP81<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    123934 | PA      | $123723.00    | 0.05%             | 2027-11-25      | Floating      | 4.81%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                            | Freddie Mac Non Gold Pool                                    | CUSIP: 3128HDQL6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      1191 | PA      | $1199.41      | 0.00%             | 2029-10-01      | Floating      | 7.17%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                             | Fannie Mae Pool                                              | CUSIP: 31406H3D7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      1063 | PA      | $1091.44      | 0.00%             | 2035-01-01      | Floating      | 6.12%                 | No            |                  2 | On Loan: No      |
| US TREASURY N/B                                        | United States Treasury Note/Bond                             | CUSIP: 91282CKK6<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   7700000 | PA      | $7745558.90   | 3.15%             | 2026-04-30      | Fixed         | 4.88%                 | No            |                  2 | On Loan: No      |
| FHLMC Multifamily Structured P                         | Freddie Mac Multifamily Structured Pass Through Certificates | CUSIP: 3137BN6G4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    986470 | PA      | $982240.48    | 0.40%             | 2025-12-25      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                             | Fannie Mae Pool                                              | CUSIP: 31402QWK3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        40 | PA      | $39.86        | 0.00%             | 2033-07-01      | Floating      | 6.47%                 | No            |                  2 | On Loan: No      |
| FHLMC Multifamily Structured P                         | Freddie Mac Multifamily Structured Pass Through Certificates | CUSIP: 3137FREN7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1322461 | PA      | $1326009.66   | 0.54%             | 2029-12-25      | Floating      | 4.98%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                            | Freddie Mac Non Gold Pool                                    | CUSIP: 3128QLP39<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     30804 | PA      | $31945.65     | 0.01%             | 2035-10-01      | Floating      | 6.91%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                             | Fannie Mae Pool                                              | CUSIP: 31405FUE0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      6536 | PA      | $6740.60      | 0.00%             | 2034-10-01      | Floating      | 7.11%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                             | Fannie Mae Pool                                              | CUSIP: 31409WCB5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     68952 | PA      | $69762.90     | 0.03%             | 2036-02-01      | Floating      | 6.05%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                             | Fannie Mae Pool                                              | CUSIP: 31409JKP4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      6876 | PA      | $7093.10      | 0.00%             | 2036-06-01      | Floating      | 6.69%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                            | Freddie Mac Non Gold Pool                                    | CUSIP: 31349TAD3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     49258 | PA      | $50722.19     | 0.02%             | 2034-07-01      | Floating      | 6.25%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                             | Fannie Mae Pool                                              | CUSIP: 31409JBD1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     24025 | PA      | $24793.73     | 0.01%             | 2036-05-01      | Floating      | 6.43%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                            | Freddie Mac Non Gold Pool                                    | CUSIP: 3128S4MN4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       519 | PA      | $533.63       | 0.00%             | 2037-06-01      | Floating      | 6.89%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                            | Freddie Mac Non Gold Pool                                    | CUSIP: 31336CLK7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      5684 | PA      | $5819.27      | 0.00%             | 2033-10-01      | Floating      | 7.05%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                            | Freddie Mac Non Gold Pool                                    | CUSIP: 31336CLM3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     50508 | PA      | $51763.13     | 0.02%             | 2033-11-01      | Floating      | 6.76%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                             | Fannie Mae Pool                                              | CUSIP: 31385HJC7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      1046 | PA      | $1041.18      | 0.00%             | 2029-08-01      | Floating      | 4.64%                 | No            |                  2 | On Loan: No      |
| FHLMC Multifamily Structured P                         | Freddie Mac Multifamily Structured Pass Through Certificates | CUSIP: 3137FLYN8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1240199 | PA      | $1240116.05   | 0.50%             | 2029-03-25      | Floating      | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                             | Fannie Mae Pool                                              | CUSIP: 3140JA4Y1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    643619 | PA      | $666783.55    | 0.27%             | 2042-07-01      | Floating      | 6.59%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                             | Fannie Mae REMICS                                            | CUSIP: 3136BSSC0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1028912 | PA      | $1033785.10   | 0.42%             | 2054-08-25      | Floating      | 5.33%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                             | Fannie Mae Pool                                              | CUSIP: 31408DCZ5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     10524 | PA      | $10889.71     | 0.00%             | 2035-12-01      | Floating      | 6.70%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                             | Fannie Mae Pool                                              | CUSIP: 31407DUF0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       487 | PA      | $495.46       | 0.00%             | 2035-05-01      | Floating      | 6.17%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                             | Fannie Mae Pool                                              | CUSIP: 31391FPC6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        26 | PA      | $26.24        | 0.00%             | 2029-08-01      | Floating      | 6.35%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                             | Fannie Mae Pool                                              | CUSIP: 31402RBH1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      6914 | PA      | $7121.12      | 0.00%             | 2034-11-01      | Floating      | 6.40%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                             | Fannie Mae Pool                                              | CUSIP: 31404AY73<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     31387 | PA      | $32015.71     | 0.01%             | 2033-12-01      | Floating      | 6.25%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                             | Fannie Mae Pool                                              | CUSIP: 3138EMU90<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    291420 | PA      | $301209.75    | 0.12%             | 2040-12-01      | Floating      | 6.43%                 | No            |                  2 | On Loan: No      |
| FHLMC Multifamily Structured P                         | Freddie Mac Multifamily Structured Pass Through Certificates | CUSIP: 3137H5XZ5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    609924 | PA      | $605841.40    | 0.25%             | 2029-01-25      | Floating      | 4.60%                 | No            |                  2 | On Loan: No      |
| US TREASURY N/B                                        | United States Treasury Note/Bond                             | CUSIP: 91282CKJ9<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  13000000 | PA      | $13162246.11  | 5.35%             | 2027-04-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                             | Fannie Mae Pool                                              | CUSIP: 31379MGB9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |         4 | PA      | $4.08         | 0.00%             | 2028-01-01      | Floating      | 7.01%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                             | Fannie Mae Pool                                              | CUSIP: 31418MVS8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     92480 | PA      | $94711.10     | 0.04%             | 2038-08-01      | Floating      | 6.48%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                            | Freddie Mac Non Gold Pool                                    | CUSIP: 3128S5JA3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     43799 | PA      | $45045.59     | 0.02%             | 2037-06-01      | Floating      | 6.42%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                            | Freddie Mac Non Gold Pool                                    | CUSIP: 3128S56S8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    447046 | PA      | $464561.10    | 0.19%             | 2036-05-01      | Floating      | 6.60%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                            | Freddie Mac Pool                                             | CUSIP: 3142J6BT9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   2480090 | PA      | $2502235.37   | 1.02%             | 2055-09-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                             | Fannie Mae Pool                                              | CUSIP: 31407X4W8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      6959 | PA      | $7092.96      | 0.00%             | 2035-11-01      | Floating      | 5.88%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                            | Freddie Mac Non Gold Pool                                    | CUSIP: 3128HDW21<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |        69 | PA      | $70.40        | 0.00%             | 2030-09-01      | Floating      | 6.79%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                            | Freddie Mac Non Gold Pool                                    | CUSIP: 3128QJ2K1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     11777 | PA      | $12088.17     | 0.00%             | 2037-04-01      | Floating      | 6.76%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                             | Fannie Mae Pool                                              | CUSIP: 31368HYX5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     15908 | PA      | $16206.78     | 0.01%             | 2033-03-01      | Floating      | 6.08%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                             | Fannie Mae Pool                                              | CUSIP: 31406BQQ6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     11494 | PA      | $11828.03     | 0.00%             | 2035-01-01      | Floating      | 6.52%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                             | Fannie Mae Pool                                              | CUSIP: 31408GXK8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     64731 | PA      | $66491.46     | 0.03%             | 2035-11-01      | Floating      | 6.21%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                            | Freddie Mac Non Gold Pool                                    | CUSIP: 3128S4GH4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     14803 | PA      | $15024.28     | 0.01%             | 2036-02-01      | Floating      | 6.42%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                            | Freddie Mac Non Gold Pool                                    | CUSIP: 31349UFS2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     11929 | PA      | $12310.47     | 0.01%             | 2034-11-01      | Floating      | 6.38%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                             | Fannie Mae Pool                                              | CUSIP: 31385XK63<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      1539 | PA      | $1571.61      | 0.00%             | 2033-08-01      | Floating      | 6.11%                 | No            |                  2 | On Loan: No      |
| RELIANCE INDUSTRIES LTD                                | Reliance Industries Ltd                                      | CUSIP: 759470AU1<br>LEI: 5493003UOETFYRONLG31 | Long             | DBT              | CORP              | IN        |    125000 | PA      | $123961.90    | 0.05%             | 2026-01-15      | Fixed         | 2.06%                 | No            |                  2 | On Loan: No      |
| BOARD OF TRADE OF THE CITY OF CHICAGO, INC.            | US 10YR ULTRA                                                | CUSIP: 000000000<br>LEI: 549300EX04Q2QBFQTQ27 | N/A              | DIR              | CORP              | US        |       -48 | NC      | $-26315.76    | -0.01%            |  |  |  | No            |                  1 | On Loan: No      |
| Freddie Mac                                            | Freddie Mac Non Gold Pool                                    | CUSIP: 3128QLRA1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      4719 | PA      | $4896.51      | 0.00%             | 2036-01-01      | Floating      | 6.55%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                             | Fannie Mae Pool                                              | CUSIP: 31416CBG0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     54354 | PA      | $55007.71     | 0.02%             | 2035-11-01      | Floating      | 6.05%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                             | Fannie Mae Pool                                              | CUSIP: 31407X3X7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     13187 | PA      | $13398.04     | 0.01%             | 2035-11-01      | Floating      | 5.89%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                             | Fannie Mae Pool                                              | CUSIP: 31410FXM2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     16810 | PA      | $17210.92     | 0.01%             | 2037-01-01      | Floating      | 6.58%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                            | Freddie Mac Non Gold Pool                                    | CUSIP: 3128JRNX0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      2622 | PA      | $2685.50      | 0.00%             | 2036-09-01      | Floating      | 6.95%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                             | Fannie Mae Pool                                              | CUSIP: 31418NBY5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     17182 | PA      | $17553.62     | 0.01%             | 2035-07-01      | Floating      | 6.55%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                            | Freddie Mac Non Gold Pool                                    | CUSIP: 3128S5ZW7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    229747 | PA      | $238839.72    | 0.10%             | 2037-09-01      | Floating      | 6.70%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                            | Freddie Mac Non Gold Pool                                    | CUSIP: 3128Q3RJ2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     74179 | PA      | $77081.35     | 0.03%             | 2035-12-01      | Floating      | 6.76%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                             | Fannie Mae Pool                                              | CUSIP: 31407FK66<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     35029 | PA      | $36004.01     | 0.01%             | 2035-09-01      | Floating      | 6.37%                 | No            |                  2 | On Loan: No      |
| FHLMC Multifamily Structured P                         | Freddie Mac Multifamily Structured Pass Through Certificates | CUSIP: 3137FKWZ5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    713203 | PA      | $713253.16    | 0.29%             | 2028-12-25      | Floating      | 5.01%                 | No            |                  2 | On Loan: No      |
| FHLMC Multifamily Structured P                         | Freddie Mac Multifamily Structured Pass Through Certificates | CUSIP: 3137HBBP8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1065156 | PA      | $1069153.62   | 0.43%             | 2030-10-25      | Floating      | 5.05%                 | No            |                  2 | On Loan: No      |
| FHLMC Multifamily Structured P                         | Freddie Mac Multifamily Structured Pass Through Certificates | CUSIP: 3137FTZZ3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1029054 | PA      | $1029498.85   | 0.42%             | 2030-05-25      | Floating      | 4.94%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                            | Freddie Mac Non Gold Pool                                    | CUSIP: 31347A2S2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    246342 | PA      | $254598.24    | 0.10%             | 2038-01-01      | Floating      | 6.47%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                             | Fannie Mae Pool                                              | CUSIP: 31410VQH6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     42061 | PA      | $42538.17     | 0.02%             | 2034-06-01      | Floating      | 6.20%                 | No            |                  2 | On Loan: No      |
| Fannie Mae or Freddie Mac                              | Fannie Mae or Freddie Mac                                    | CUSIP: 01F0526A5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   5000000 | PA      | $5041971.10   | 2.05%             | 2055-10-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                             | Fannie Mae Pool                                              | CUSIP: 31406PEL9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     11389 | PA      | $11731.22     | 0.00%             | 2035-06-01      | Floating      | 6.22%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                            | Freddie Mac REMICS                                           | CUSIP: 3137FWB90<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1306211 | PA      | $1048791.15   | 0.43%             | 2044-05-25      | Fixed         | 0.75%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                            | Freddie Mac Pool                                             | CUSIP: 3132DMBL8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    649653 | PA      | $624683.59    | 0.25%             | 2049-03-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                             | Fannie Mae Pool                                              | CUSIP: 31391TU55<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       766 | PA      | $780.66       | 0.00%             | 2032-12-01      | Floating      | 6.52%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                             | Fannie Mae Pool                                              | CUSIP: 31402CQF2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       132 | PA      | $132.93       | 0.00%             | 2039-09-01      | Floating      | 6.43%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                             | Fannie Mae Pool                                              | CUSIP: 31385XPP6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        46 | PA      | $46.08        | 0.00%             | 2033-09-01      | Floating      | 5.98%                 | No            |                  2 | On Loan: No      |
| FHLMC Multifamily Structured P                         | Freddie Mac Multifamily Structured Pass Through Certificates | CUSIP: 3137H7MK6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1613927 | PA      | $1609895.59   | 0.65%             | 2032-04-25      | Floating      | 4.80%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                            | Freddie Mac Non Gold Pool                                    | CUSIP: 31336CLE1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     11655 | PA      | $11920.85     | 0.00%             | 2033-07-01      | Floating      | 5.97%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                             | Fannie Mae Pool                                              | CUSIP: 31419AL88<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     28184 | PA      | $29273.27     | 0.01%             | 2040-09-01      | Floating      | 6.58%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                             | Fannie Mae Pool                                              | CUSIP: 31403EDZ7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       736 | PA      | $764.17       | 0.00%             | 2033-10-01      | Floating      | 7.24%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                             | Fannie Mae Pool                                              | CUSIP: 31417SA42<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     11907 | PA      | $12352.48     | 0.01%             | 2039-12-01      | Floating      | 6.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                             | Fannie Mae Pool                                              | CUSIP: 31385WVC0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       333 | PA      | $334.89       | 0.00%             | 2027-09-01      | Floating      | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                             | Fannie Mae Pool                                              | CUSIP: 31387UEK3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        60 | PA      | $60.38        | 0.00%             | 2030-12-01      | Floating      | 7.26%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                            | Freddie Mac Non Gold Pool                                    | CUSIP: 3128JRL61<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     15846 | PA      | $16419.51     | 0.01%             | 2035-03-01      | Floating      | 6.65%                 | No            |                  2 | On Loan: No      |
| Franklin Institutional US Government Money Market Fund | Franklin Institutional US Government Money Market Fund       | CUSIP: 457756500<br>LEI: 549300M4TP89K77LG374 | Long             | STIV             | RF                | US        |  16930296 | NS      | $16930295.59  | 6.88%             |  |  |  | No            |                  1 | On Loan: No      |
| Fannie Mae                                             | Fannie Mae Pool                                              | CUSIP: 31404NBP0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      3892 | PA      | $4013.50      | 0.00%             | 2035-02-01      | Floating      | 6.58%                 | No            |                  2 | On Loan: No      |
| BOARD OF TRADE OF THE CITY OF CHICAGO, INC.            | US 2YR NOTE (CBT)                                            | CUSIP: 000000000<br>LEI: 549300EX04Q2QBFQTQ27 | N/A              | DIR              | CORP              | US        |       235 | NC      | $-34942.15    | -0.01%            |  |  |  | No            |                  1 | On Loan: No      |
| Government National Mortgage A                         | Ginnie Mae II Pool                                           | CUSIP: 3618N5TP4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   5832989 | PA      | $5941497.31   | 2.42%             | 2055-08-20      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                             | Fannie Mae Pool                                              | CUSIP: 31403DLF4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     13596 | PA      | $13946.99     | 0.01%             | 2036-05-01      | Floating      | 6.18%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                             | Fannie Mae Pool                                              | CUSIP: 31385WZU6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     14736 | PA      | $15111.65     | 0.01%             | 2040-04-01      | Floating      | 6.23%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                             | Fannie Mae Pool                                              | CUSIP: 31402CXP2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        19 | PA      | $18.97        | 0.00%             | 2032-06-01      | Floating      | 6.67%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                             | Fannie Mae Pool                                              | CUSIP: 31406WDR2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     26971 | PA      | $27404.63     | 0.01%             | 2035-06-01      | Floating      | 5.99%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                             | Fannie Mae Pool                                              | CUSIP: 31406WRX4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     26798 | PA      | $27706.36     | 0.01%             | 2035-05-01      | Floating      | 6.80%                 | No            |                  2 | On Loan: No      |
| FHLMC Multifamily Structured P                         | Freddie Mac Multifamily Structured Pass Through Certificates | CUSIP: 3137H7KA0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   2141316 | PA      | $2134171.87   | 0.87%             | 2029-05-25      | Floating      | 4.72%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                             | Fannie Mae Pool                                              | CUSIP: 31410GME0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       244 | PA      | $251.78       | 0.00%             | 2037-09-01      | Floating      | 6.59%                 | No            |                  2 | On Loan: No      |
| US TREASURY N/B                                        | United States Treasury Note/Bond                             | CUSIP: 91282CMP3<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  10000000 | PA      | $10061132.80  | 4.09%             | 2027-02-28      | Fixed         | 4.12%                 | No            |                  2 | On Loan: No      |
| FHLMC Multifamily Structured P                         | Freddie Mac Multifamily Structured Pass Through Certificates | CUSIP: 3137BXR53<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     15552 | PA      | $15544.31     | 0.01%             | 2027-03-25      | Floating      | 4.84%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                             | Fannie Mae Pool                                              | CUSIP: 3138EGR30<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     62821 | PA      | $64652.87     | 0.03%             | 2035-11-01      | Floating      | 6.37%                 | No            |                  2 | On Loan: No      |
| Freddiemac Strip                                       | Freddie Mac Strips                                           | CUSIP: 3133Q3LF6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    719738 | PA      | $720844.36    | 0.29%             | 2054-05-25      | Floating      | 5.41%                 | No            |                  2 | On Loan: No      |
| FHLMC Multifamily Structured P                         | Freddie Mac Multifamily Structured Pass Through Certificates | CUSIP: 3137FUZR8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    247756 | PA      | $247602.27    | 0.10%             | 2027-06-25      | Floating      | 4.83%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                             | Fannie Mae Pool                                              | CUSIP: 31404NAJ5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      1572 | PA      | $1615.30      | 0.00%             | 2034-12-01      | Floating      | 6.41%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                             | Fannie Mae Pool                                              | CUSIP: 31384VJ60<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        97 | PA      | $97.26        | 0.00%             | 2028-07-01      | Floating      | 6.57%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                             | Fannie Mae Pool                                              | CUSIP: 31406BEZ9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      4989 | PA      | $5086.81      | 0.00%             | 2034-12-01      | Floating      | 6.48%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                             | Fannie Mae Pool                                              | CUSIP: 31385Y2D6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     12806 | PA      | $12918.80     | 0.01%             | 2040-06-01      | Floating      | 5.62%                 | No            |                  2 | On Loan: No      |
| EXP-IMP IMB                                            | Export-Import Bank of the United States                      | CUSIP: 302155BA3<br>LEI: 549300NMMHVYCBECJ059 | Long             | DBT              | USGA              | US        |    357096 | PA      | $352272.62    | 0.14%             | 2026-11-12      | Fixed         | 2.63%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                             | Fannie Mae Pool                                              | CUSIP: 31418FMK0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   2243406 | PA      | $2293401.67   | 0.93%             | 2055-07-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FHLMC Multifamily Structured P                         | Freddie Mac Multifamily Structured Pass Through Certificates | CUSIP: 3137FNXA3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    593264 | PA      | $594383.81    | 0.24%             | 2029-08-25      | Floating      | 4.99%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                             | Fannie Mae Pool                                              | CUSIP: 31405AQ55<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     24340 | PA      | $25233.81     | 0.01%             | 2034-12-01      | Floating      | 6.42%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                             | Fannie Mae Pool                                              | CUSIP: 31410GJK0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       719 | PA      | $725.22       | 0.00%             | 2032-01-01      | Floating      | 6.52%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                             | Fannie Mae Pool                                              | CUSIP: 31403DMZ9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      5597 | PA      | $5754.08      | 0.00%             | 2036-05-01      | Floating      | 6.14%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                            | Freddie Mac Non Gold Pool                                    | CUSIP: 3128JLW39<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      2287 | PA      | $2321.81      | 0.00%             | 2034-04-01      | Floating      | 6.75%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                             | Fannie Mae Pool                                              | CUSIP: 3138EPR63<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    100449 | PA      | $102518.80    | 0.04%             | 2040-04-01      | Floating      | 6.45%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                             | Fannie Mae Pool                                              | CUSIP: 31410GJV6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      1046 | PA      | $1052.92      | 0.00%             | 2033-09-01      | Floating      | 6.71%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                             | Fannie Mae Pool                                              | CUSIP: 3140JA5H7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    792887 | PA      | $823195.49    | 0.33%             | 2044-08-01      | Floating      | 6.59%                 | No            |                  2 | On Loan: No      |
| Fanniemae-Aces                                         | Fannie Mae-Aces                                              | CUSIP: 3136BBG30<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1529420 | PA      | $1475248.97   | 0.60%             | 2030-07-25      | Fixed         | 0.79%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                            | Freddie Mac Non Gold Pool                                    | CUSIP: 3128S4EH6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       406 | PA      | $414.00       | 0.00%             | 2036-09-01      | Floating      | 6.31%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                             | Fannie Mae Pool                                              | CUSIP: 31418EP38<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   5844722 | PA      | $5921209.44   | 2.41%             | 2053-03-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                             | Fannie Mae Pool                                              | CUSIP: 3138ENE21<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     89683 | PA      | $92940.59     | 0.04%             | 2040-12-01      | Floating      | 6.48%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                             | Fannie Mae Pool                                              | CUSIP: 31362RD79<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        22 | PA      | $22.11        | 0.00%             | 2027-10-01      | Floating      | 4.19%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                             | Fannie Mae REMICS                                            | CUSIP: 3136ABXB4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    792901 | PA      | $701709.77    | 0.29%             | 2043-01-25      | Fixed         | 1.75%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                             | Fannie Mae Pool                                              | CUSIP: 31404YDV1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     10028 | PA      | $10107.50     | 0.00%             | 2034-11-01      | Floating      | 6.39%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                             | Fannie Mae Pool                                              | CUSIP: 31409UWN1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      2727 | PA      | $2755.22      | 0.00%             | 2035-11-01      | Floating      | 6.20%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                             | Fannie Mae Pool                                              | CUSIP: 31417ACL1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       815 | PA      | $809.90       | 0.00%             | 2026-10-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                             | Fannie Mae Pool                                              | CUSIP: 31418FE29<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   4740931 | PA      | $4706710.32   | 1.91%             | 2054-12-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                             | Fannie Mae REMICS                                            | CUSIP: 3136AV6K0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    615797 | PA      | $602958.29    | 0.25%             | 2045-10-25      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                            | Freddie Mac Non Gold Pool                                    | CUSIP: 31349SGC1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      6228 | PA      | $6387.00      | 0.00%             | 2033-11-01      | Floating      | 6.55%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                             | Fannie Mae Pool                                              | CUSIP: 31406YDW7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     35379 | PA      | $36343.99     | 0.01%             | 2035-05-01      | Floating      | 6.89%                 | No            |                  2 | On Loan: No      |
| FHLMC Multifamily Structured P                         | Freddie Mac Multifamily Structured Pass Through Certificates | CUSIP: 3137F62A4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    693244 | PA      | $692613.26    | 0.28%             | 2030-09-25      | Floating      | 4.80%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                             | Fannie Mae Pool                                              | CUSIP: 31419AUA3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    178386 | PA      | $184879.02    | 0.08%             | 2040-10-01      | Floating      | 6.80%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                             | Fannie Mae REMICS                                            | CUSIP: 3136BUQG8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1235452 | PA      | $1237939.92   | 0.50%             | 2055-01-25      | Floating      | 5.31%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                            | Freddie Mac Non Gold Pool                                    | CUSIP: 31349SEZ2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      6167 | PA      | $6311.17      | 0.00%             | 2033-11-01      | Floating      | 6.75%                 | No            |                  2 | On Loan: No      |
| US TREASURY N/B                                        | United States Treasury Note/Bond                             | CUSIP: 91282CKZ3<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  10000000 | PA      | $10126757.80  | 4.12%             | 2027-07-15      | Fixed         | 4.38%                 | No            |                  2 | On Loan: No      |
| FHLMC Multifamily Structured P                         | Freddie Mac Multifamily Structured Pass Through Certificates | CUSIP: 3137F62K2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1233512 | PA      | $1229216.88   | 0.50%             | 2030-09-25      | Floating      | 4.79%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                             | Fannie Mae Pool                                              | CUSIP: 31407JNQ1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      3579 | PA      | $3686.50      | 0.00%             | 2035-07-01      | Floating      | 6.17%                 | No            |                  2 | On Loan: No      |
| FHLMC Multifamily Structured P                         | Freddie Mac Multifamily Structured Pass Through Certificates | CUSIP: 3137FQ3S0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     79252 | PA      | $79233.74     | 0.03%             | 2026-10-25      | Floating      | 4.97%                 | No            |                  2 | On Loan: No      |
| FHLMC Multifamily Structured P                         | Freddie Mac Multifamily Structured Pass Through Certificates | CUSIP: 3137FLYR9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    653791 | PA      | $653913.46    | 0.27%             | 2026-04-25      | Floating      | 4.95%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                             | Fannie Mae Pool                                              | CUSIP: 31406P5X3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     24826 | PA      | $25198.60     | 0.01%             | 2035-01-01      | Floating      | 6.15%                 | No            |                  2 | On Loan: No      |
| FHLMC Multifamily Structured P                         | Freddie Mac Multifamily Structured Pass Through Certificates | CUSIP: 3137H8AR2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   2058791 | PA      | $2053627.66   | 0.83%             | 2032-06-25      | Floating      | 4.89%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                             | Fannie Mae Pool                                              | CUSIP: 31409UWM3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    184114 | PA      | $189609.05    | 0.08%             | 2035-11-01      | Floating      | 6.20%                 | No            |                  2 | On Loan: No      |
| FHLMC Multifamily Structured P                         | Freddie Mac Multifamily Structured Pass Through Certificates | CUSIP: 3137F9Z46<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    987883 | PA      | $976326.57    | 0.40%             | 2030-12-25      | Floating      | 4.55%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                         | Ginnie Mae II Pool                                           | CUSIP: 3618N5A33<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   6739764 | PA      | $6715311.72   | 2.73%             | 2054-11-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                            | Freddie Mac REMICS                                           | CUSIP: 3137HLBG6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1185049 | PA      | $1188430.12   | 0.48%             | 2055-05-25      | Floating      | 5.51%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                             | Fannie Mae Pool                                              | CUSIP: 31403DDE6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      5179 | PA      | $5298.16      | 0.00%             | 2036-03-01      | Floating      | 6.48%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                            | Freddie Mac Non Gold Pool                                    | CUSIP: 31336CMM2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      3227 | PA      | $3325.82      | 0.00%             | 2035-01-01      | Floating      | 6.48%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                             | Fannie Mae Pool                                              | CUSIP: 3138ELWL3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     19712 | PA      | $20282.60     | 0.01%             | 2039-09-01      | Floating      | 6.55%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                             | Fannie Mae Pool                                              | CUSIP: 31386G6N8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      1460 | PA      | $1468.39      | 0.00%             | 2040-11-01      | Floating      | 5.62%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                             | Fannie Mae Pool                                              | CUSIP: 3138EKSY2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     11627 | PA      | $12070.70     | 0.00%             | 2037-12-01      | Floating      | 6.30%                 | No            |                  2 | On Loan: No      |
| FHLMC Multifamily Structured P                         | Freddie Mac Multifamily Structured Pass Through Certificates | CUSIP: 3137FQ2Q5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    221443 | PA      | $221482.19    | 0.09%             | 2029-09-25      | Floating      | 4.99%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                            | Freddie Mac Non Gold Pool                                    | CUSIP: 31337A5S1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       227 | PA      | $228.27       | 0.00%             | 2029-01-01      | Floating      | 6.96%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                            | Freddie Mac Non Gold Pool                                    | CUSIP: 31300MSE4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    514902 | PA      | $533265.66    | 0.22%             | 2036-09-01      | Floating      | 6.45%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                             | Fannie Mae Pool                                              | CUSIP: 31403CYV7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      1978 | PA      | $2010.50      | 0.00%             | 2035-11-01      | Floating      | 6.12%                 | No            |                  2 | On Loan: No      |
| FHLMC Multifamily Structured P                         | Freddie Mac Multifamily Structured Pass Through Certificates | CUSIP: 3137FEJN1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    383785 | PA      | $381824.89    | 0.16%             | 2028-01-25      | Floating      | 4.71%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                             | Fannie Mae Pool                                              | CUSIP: 31410QY39<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      5306 | PA      | $5477.18      | 0.00%             | 2035-05-01      | Floating      | 6.72%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                            | Freddie Mac Pool                                             | CUSIP: 3142J6BU6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   2444948 | PA      | $2499435.62   | 1.02%             | 2055-09-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                            | Freddie Mac Non Gold Pool                                    | CUSIP: 3128NCHJ6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      1058 | PA      | $1079.07      | 0.00%             | 2035-05-01      | Floating      | 6.62%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                             | Fannie Mae Pool                                              | CUSIP: 31418ET75<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1438658 | PA      | $1474752.49   | 0.60%             | 2053-07-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FHLMC Multifamily Structured P                         | Freddie Mac Multifamily Structured Pass Through Certificates | CUSIP: 3137FWGC8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    964031 | PA      | $961391.54    | 0.39%             | 2030-07-25      | Floating      | 4.77%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                             | Fannie Mae Pool                                              | CUSIP: 31406VHE9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      9085 | PA      | $9401.09      | 0.00%             | 2035-05-01      | Floating      | 6.63%                 | No            |                  2 | On Loan: No      |
| FHLMC Multifamily Structured P                         | Freddie Mac Multifamily Structured Pass Through Certificates | CUSIP: 3137FRZ61<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    974464 | PA      | $979863.15    | 0.40%             | 2030-03-25      | Floating      | 5.27%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                             | Fannie Mae Pool                                              | CUSIP: 31402RN62<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      3253 | PA      | $3319.32      | 0.00%             | 2035-07-01      | Floating      | 6.70%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                             | Fannie Mae Pool                                              | CUSIP: 31403DQW2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     21928 | PA      | $22374.66     | 0.01%             | 2036-07-01      | Floating      | 6.48%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                            | Freddie Mac REMICS                                           | CUSIP: 3137HKGL2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1116825 | PA      | $1125118.68   | 0.46%             | 2055-03-25      | Floating      | 5.51%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                             | Fannie Mae Pool                                              | CUSIP: 31418FKN6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   4267286 | PA      | $4305388.99   | 1.75%             | 2055-05-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                             | Fannie Mae Pool                                              | CUSIP: 3138EJ5B0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     19469 | PA      | $20016.62     | 0.01%             | 2040-12-01      | Floating      | 6.40%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                         | Government National Mortgage Association                     | CUSIP: 38376LRG6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1322278 | PA      | $1309720.60   | 0.53%             | 2041-06-20      | Floating      | 4.58%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                            | Freddie Mac Pool                                             | CUSIP: 3142J6A52<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   6939464 | PA      | $7001427.74   | 2.85%             | 2055-07-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                            | Freddie Mac Non Gold Pool                                    | CUSIP: 3128S4CR6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      4342 | PA      | $4482.99      | 0.00%             | 2036-01-01      | Floating      | 6.53%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                             | Fannie Mae Pool                                              | CUSIP: 3138ALMB0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      4751 | PA      | $4722.91      | 0.00%             | 2026-08-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| BOARD OF TRADE OF THE CITY OF CHICAGO, INC.            | US 5YR NOTE (CBT)                                            | CUSIP: 000000000<br>LEI: 549300EX04Q2QBFQTQ27 | N/A              | DIR              | CORP              | US        |      -122 | NC      | $33192.17     | 0.01%             |  |  |  | No            |                  1 | On Loan: No      |
| Fannie Mae                                             | Fannie Mae Pool                                              | CUSIP: 31400VP89<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       279 | PA      | $279.16       | 0.00%             | 2028-03-01      | Floating      | 5.79%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                             | Fannie Mae Pool                                              | CUSIP: 3138EG5G5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       147 | PA      | $146.55       | 0.00%             | 2026-10-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                             | Fannie Mae Pool                                              | CUSIP: 3138ERS68<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     70942 | PA      | $72763.32     | 0.03%             | 2038-07-01      | Floating      | 6.43%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                            | Freddie Mac Non Gold Pool                                    | CUSIP: 3128S4YN1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     23577 | PA      | $24137.06     | 0.01%             | 2037-06-01      | Floating      | 6.44%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                            | Freddie Mac Non Gold Pool                                    | CUSIP: 31349TAL5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      3839 | PA      | $3935.45      | 0.00%             | 2034-07-01      | Floating      | 6.25%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                             | Fannie Mae Pool                                              | CUSIP: 31410Q2C4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      7826 | PA      | $8197.49      | 0.00%             | 2036-03-01      | Floating      | 7.20%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                             | Fannie Mae Pool                                              | CUSIP: 31407XUW9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      8514 | PA      | $8692.60      | 0.00%             | 2035-11-01      | Floating      | 6.03%                 | No            |                  2 | On Loan: No      |
| FHLMC Multifamily Structured P                         | Freddie Mac Multifamily Structured Pass Through Certificates | CUSIP: 3137F8MQ3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1034698 | PA      | $1028974.89   | 0.42%             | 2030-12-25      | Floating      | 4.73%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                             | Fannie Mae Pool                                              | CUSIP: 31418FJU2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   4060943 | PA      | $4151441.65   | 1.69%             | 2055-04-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FHLMC Multifamily Structured P                         | Freddie Mac Multifamily Structured Pass Through Certificates | CUSIP: 3137FV2F8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    791846 | PA      | $791818.76    | 0.32%             | 2030-06-25      | Floating      | 4.84%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                             | Fannie Mae Pool                                              | CUSIP: 31402RLV9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      2016 | PA      | $2045.65      | 0.00%             | 2034-10-01      | Floating      | 6.58%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                             | Fannie Mae Pool                                              | CUSIP: 31402CR53<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       308 | PA      | $312.56       | 0.00%             | 2033-12-01      | Floating      | 6.99%                 | No            |                  2 | On Loan: No      |
| FHLMC Multifamily Structured P                         | Freddie Mac Multifamily Structured Pass Through Certificates | CUSIP: 3137H6LW3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1274012 | PA      | $1268160.42   | 0.52%             | 2032-02-25      | Floating      | 4.74%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                            | Freddie Mac Non Gold Pool                                    | CUSIP: 3128JRZE9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     19081 | PA      | $19159.63     | 0.01%             | 2029-09-01      | Floating      | 6.47%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                             | Fannie Mae Pool                                              | CUSIP: 31403DQN2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     29928 | PA      | $30770.83     | 0.01%             | 2036-08-01      | Floating      | 6.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                            | Freddie Mac Non Gold Pool                                    | CUSIP: 3128JPH86<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      1949 | PA      | $1993.21      | 0.00%             | 2035-07-01      | Floating      | 6.71%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                             | Fannie Mae Pool                                              | CUSIP: 31407XPG0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     18060 | PA      | $18386.60     | 0.01%             | 2035-11-01      | Floating      | 6.12%                 | No            |                  2 | On Loan: No      |
| FHLMC Multifamily Structured P                         | Freddie Mac Multifamily Structured Pass Through Certificates | CUSIP: 3137H0H92<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    596801 | PA      | $591770.79    | 0.24%             | 2031-04-25      | Floating      | 4.58%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                            | Freddie Mac Non Gold Pool                                    | CUSIP: 3128NHWA7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      1298 | PA      | $1327.41      | 0.00%             | 2037-01-01      | Floating      | 6.54%                 | No            |                  2 | On Loan: No      |
| FHLMC Multifamily Structured P                         | Freddie Mac Multifamily Structured Pass Through Certificates | CUSIP: 3137HHUV1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1945983 | PA      | $1948142.48   | 0.79%             | 2034-10-25      | Floating      | 4.92%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                             | Fannie Mae Pool                                              | CUSIP: 31418FNK9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   4499051 | PA      | $4599315.07   | 1.87%             | 2055-08-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                            | Freddie Mac REMICS                                           | CUSIP: 3137FR4D0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    760292 | PA      | $643307.69    | 0.26%             | 2050-02-25      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                            | Freddie Mac Non Gold Pool                                    | CUSIP: 31347A2Z6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    177612 | PA      | $184769.56    | 0.08%             | 2042-11-01      | Floating      | 6.80%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                             | Fannie Mae Pool                                              | CUSIP: 31403DMV8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      1287 | PA      | $1300.00      | 0.00%             | 2036-04-01      | Floating      | 6.12%                 | No            |                  2 | On Loan: No      |
| FHLMC Multifamily Structured P                         | Freddie Mac Multifamily Structured Pass Through Certificates | CUSIP: 3137FMCW0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1014382 | PA      | $1014315.44   | 0.41%             | 2029-05-25      | Floating      | 4.91%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                             | Fannie Mae Pool                                              | CUSIP: 31408EJ94<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     12046 | PA      | $12254.65     | 0.00%             | 2035-11-01      | Floating      | 6.17%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                             | Fannie Mae Pool                                              | CUSIP: 31400RDV0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     35099 | PA      | $35514.97     | 0.01%             | 2033-02-01      | Floating      | 6.13%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                             | Fannie Mae Pool                                              | CUSIP: 31406P3R8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      7804 | PA      | $8064.33      | 0.00%             | 2035-02-01      | Floating      | 6.31%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                             | Fannie Mae REMICS                                            | CUSIP: 3136A1NS0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    963247 | PA      | $959599.33    | 0.39%             | 2041-10-25      | Floating      | 4.92%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                             | Fannie Mae Pool                                              | CUSIP: 31419AZ59<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     91095 | PA      | $94684.48     | 0.04%             | 2041-01-01      | Floating      | 6.68%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                            | Freddie Mac Non Gold Pool                                    | CUSIP: 3128Q2D42<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      3845 | PA      | $3986.05      | 0.00%             | 2035-03-01      | Floating      | 6.51%                 | No            |                  2 | On Loan: No      |
| FHLMC Multifamily Structured P                         | Freddie Mac Multifamily Structured Pass Through Certificates | CUSIP: 3137FMUT7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    463201 | PA      | $463090.15    | 0.19%             | 2026-06-25      | Floating      | 4.91%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                             | Fannie Mae Pool                                              | CUSIP: 31406GW39<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      4821 | PA      | $4891.03      | 0.00%             | 2035-02-01      | Floating      | 6.54%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                             | Fannie Mae Pool                                              | CUSIP: 3138ETEJ1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     17586 | PA      | $17500.23     | 0.01%             | 2027-07-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                             | Fannie Mae Pool                                              | CUSIP: 3138ENEW5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    431968 | PA      | $448505.19    | 0.18%             | 2038-05-01      | Floating      | 6.62%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                         | Ginnie Mae II Pool                                           | CUSIP: 3618N5PL7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   5874932 | PA      | $6048830.99   | 2.46%             | 2055-06-20      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                             | Fannie Mae Pool                                              | CUSIP: 31402RBR9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      1288 | PA      | $1315.53      | 0.00%             | 2035-03-01      | Floating      | 6.65%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                             | Fannie Mae Pool                                              | CUSIP: 31407XWM9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      4750 | PA      | $4822.88      | 0.00%             | 2035-11-01      | Floating      | 6.04%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                             | Fannie Mae Pool                                              | CUSIP: 31406BJF8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      5774 | PA      | $5936.53      | 0.00%             | 2035-01-01      | Floating      | 6.51%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                             | Fannie Mae Pool                                              | CUSIP: 31402QX71<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     42218 | PA      | $42795.35     | 0.02%             | 2034-12-01      | Floating      | 6.71%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                             | Fannie Mae Pool                                              | CUSIP: 31402EM39<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      2199 | PA      | $2218.99      | 0.00%             | 2033-05-01      | Floating      | 6.17%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                             | Fannie Mae Pool                                              | CUSIP: 3138XXGE0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     15020 | PA      | $14933.65     | 0.01%             | 2027-01-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FHLMC Multifamily Structured P                         | Freddie Mac Multifamily Structured Pass Through Certificates | CUSIP: 3137FWHP8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    254895 | PA      | $254314.13    | 0.10%             | 2030-08-25      | Floating      | 4.77%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                             | Fannie Mae REMICS                                            | CUSIP: 3136BUCU2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    448817 | PA      | $450588.59    | 0.18%             | 2053-12-25      | Floating      | 5.51%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                             | Fannie Mae Pool                                              | CUSIP: 31418AEG9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     11515 | PA      | $11430.05     | 0.00%             | 2027-04-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                             | Fannie Mae Pool                                              | CUSIP: 31407GYA0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      4797 | PA      | $4934.02      | 0.00%             | 2035-06-01      | Floating      | 6.14%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                             | Fannie Mae Pool                                              | CUSIP: 3138EMFG1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     59317 | PA      | $60961.74     | 0.02%             | 2037-05-01      | Floating      | 6.74%                 | No            |                  2 | On Loan: No      |
| FHLMC Multifamily Structured P                         | Freddie Mac Multifamily Structured Pass Through Certificates | CUSIP: 3137FXLS5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    626913 | PA      | $626171.32    | 0.25%             | 2027-08-25      | Floating      | 4.76%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                            | Freddie Mac Pool                                             | CUSIP: 3142J6BJ1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   5866131 | PA      | $5918511.42   | 2.41%             | 2055-08-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                             | Fannie Mae REMICS                                            | CUSIP: 3136BSFC4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    636695 | PA      | $639346.88    | 0.26%             | 2054-01-25      | Floating      | 5.31%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                         | Ginnie Mae II Pool                                           | CUSIP: 3618N5KV0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   2177043 | PA      | $2168353.34   | 0.88%             | 2055-04-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                             | Fannie Mae Pool                                              | CUSIP: 31406L5A2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      6047 | PA      | $6205.07      | 0.00%             | 2036-05-01      | Floating      | 6.31%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                             | Fannie Mae REMICS                                            | CUSIP: 3136BWSC1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1178036 | PA      | $1179026.72   | 0.48%             | 2055-07-25      | Floating      | 5.46%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                             | Fannie Mae Pool                                              | CUSIP: 31416BKV9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     17822 | PA      | $18374.76     | 0.01%             | 2036-10-01      | Floating      | 6.44%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                            | Freddie Mac Non Gold Pool                                    | CUSIP: 3128Q3L90<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     15553 | PA      | $16162.33     | 0.01%             | 2036-02-01      | Floating      | 6.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                             | Fannie Mae Pool                                              | CUSIP: 31418EVA5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1309402 | PA      | $1341869.85   | 0.55%             | 2053-08-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                             | Fannie Mae Pool                                              | CUSIP: 3138EHZR6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     11434 | PA      | $11771.18     | 0.00%             | 2036-02-01      | Floating      | 6.27%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                             | Fannie Mae Pool                                              | CUSIP: 31371L7F0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      9452 | PA      | $9649.48      | 0.00%             | 2035-03-01      | Floating      | 6.66%                 | No            |                  2 | On Loan: No      |
| FHLMC Multifamily Structured P                         | Freddie Mac Multifamily Structured Pass Through Certificates | CUSIP: 3137FKQL3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    489051 | PA      | $489650.82    | 0.20%             | 2028-11-25      | Floating      | 5.03%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                            | Freddie Mac Non Gold Pool                                    | CUSIP: 3128QSU46<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     14203 | PA      | $14577.03     | 0.01%             | 2038-01-01      | Floating      | 6.46%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                            | Freddie Mac Non Gold Pool                                    | CUSIP: 31288QBT6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    559468 | PA      | $580531.13    | 0.24%             | 2043-07-01      | Floating      | 6.67%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                             | Fannie Mae Pool                                              | CUSIP: 31362M2N7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      4764 | PA      | $4710.81      | 0.00%             | 2028-08-01      | Floating      | 4.39%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                            | Freddie Mac Non Gold Pool                                    | CUSIP: 31300LL94<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     14930 | PA      | $15349.73     | 0.01%             | 2037-07-01      | Floating      | 6.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                             | Fannie Mae Pool                                              | CUSIP: 31404XEC4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      3296 | PA      | $3364.67      | 0.00%             | 2034-09-01      | Floating      | 7.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                             | Fannie Mae Pool                                              | CUSIP: 31402RHW2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     18388 | PA      | $18863.35     | 0.01%             | 2034-04-01      | Floating      | 6.33%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                             | Fannie Mae Pool                                              | CUSIP: 31385WZK8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      6122 | PA      | $6271.64      | 0.00%             | 2033-01-01      | Floating      | 6.41%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                            | Freddie Mac Non Gold Pool                                    | CUSIP: 31349SA45<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     42209 | PA      | $43217.18     | 0.02%             | 2033-10-01      | Floating      | 7.09%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                             | Fannie Mae Pool                                              | CUSIP: 31406LM96<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      3005 | PA      | $3087.66      | 0.00%             | 2034-11-01      | Floating      | 6.66%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                             | Fannie Mae Pool                                              | CUSIP: 31390S3K5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       342 | PA      | $343.49       | 0.00%             | 2032-05-01      | Floating      | 6.11%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                             | Fannie Mae Pool                                              | CUSIP: 31385XUU9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       159 | PA      | $158.20       | 0.00%             | 2033-11-01      | Floating      | 5.47%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                             | Fannie Mae Pool                                              | CUSIP: 31407PWM6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     49060 | PA      | $50212.63     | 0.02%             | 2035-10-01      | Floating      | 6.11%                 | No            |                  2 | On Loan: No      |
| US TREASURY N/B                                        | United States Treasury Note/Bond                             | CUSIP: 91282CLY5<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   5000000 | PA      | $5030273.45   | 2.04%             | 2026-11-30      | Fixed         | 4.25%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                             | Fannie Mae Pool                                              | CUSIP: 31410SHK6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      2583 | PA      | $2625.57      | 0.00%             | 2036-04-01      | Floating      | 6.19%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                             | Fannie Mae Pool                                              | CUSIP: 3138EQJL7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    105015 | PA      | $107825.53    | 0.04%             | 2042-03-01      | Floating      | 6.53%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                             | Fannie Mae Pool                                              | CUSIP: 31385HSB9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |         1 | PA      | $1.45         | 0.00%             | 2028-08-01      | Floating      | 6.21%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                            | Freddie Mac Non Gold Pool                                    | CUSIP: 3128S4AA5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      2029 | PA      | $2077.86      | 0.00%             | 2036-01-01      | Floating      | 6.75%                 | No            |                  2 | On Loan: No      |
| FHLMC Multifamily Structured P                         | Freddie Mac Multifamily Structured Pass Through Certificates | CUSIP: 3137FPHF5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    549892 | PA      | $550063.59    | 0.22%             | 2026-07-25      | Floating      | 4.96%                 | No            |                  2 | On Loan: No      |
| FHLMC Multifamily Structured P                         | Freddie Mac Multifamily Structured Pass Through Certificates | CUSIP: 3137F9CM1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    608717 | PA      | $608128.60    | 0.25%             | 2030-12-25      | Floating      | 4.64%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                             | Fannie Mae Pool                                              | CUSIP: 31391UD69<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      8947 | PA      | $9058.94      | 0.00%             | 2033-01-01      | Floating      | 6.47%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                             | Fannie Mae Pool                                              | CUSIP: 31402RTR0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     28135 | PA      | $28880.00     | 0.01%             | 2035-09-01      | Floating      | 6.59%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                             | Fannie Mae Pool                                              | CUSIP: 31408C2U9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      2643 | PA      | $2689.13      | 0.00%             | 2035-10-01      | Floating      | 6.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                             | Fannie Mae Pool                                              | CUSIP: 31385XHB6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       724 | PA      | $729.41       | 0.00%             | 2033-05-01      | Floating      | 6.47%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                             | Fannie Mae Pool                                              | CUSIP: 31402Q5W7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     21574 | PA      | $22179.82     | 0.01%             | 2035-01-01      | Floating      | 6.62%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                             | Fannie Mae REMICS                                            | CUSIP: 3136B5RR8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    308399 | PA      | $305074.06    | 0.12%             | 2040-05-25      | Floating      | 4.87%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                             | Fannie Mae Pool                                              | CUSIP: 31404XJX3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      2776 | PA      | $2841.00      | 0.00%             | 2034-12-01      | Floating      | 6.20%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                            | Freddie Mac Non Gold Pool                                    | CUSIP: 31349UEJ3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     11460 | PA      | $11839.71     | 0.00%             | 2034-11-01      | Floating      | 6.40%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                             | Fannie Mae Pool                                              | CUSIP: 3138EQBQ4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     42714 | PA      | $44307.08     | 0.02%             | 2036-08-01      | Floating      | 6.58%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                             | Fannie Mae Pool                                              | CUSIP: 31404NCS3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       646 | PA      | $655.36       | 0.00%             | 2035-03-01      | Floating      | 6.55%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                            | Freddie Mac Non Gold Pool                                    | CUSIP: 31300LWJ0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     76002 | PA      | $78826.35     | 0.03%             | 2035-05-01      | Floating      | 6.67%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                            | Freddie Mac REMICS                                           | CUSIP: 3137HMN89<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1162983 | PA      | $1165506.16   | 0.47%             | 2055-08-25      | Floating      | 5.46%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                             | Fannie Mae Pool                                              | CUSIP: 3138AVRP2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       244 | PA      | $242.78       | 0.00%             | 2026-10-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                             | Fannie Mae Pool                                              | CUSIP: 31402RPJ2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     13265 | PA      | $13603.96     | 0.01%             | 2035-07-01      | Floating      | 6.23%                 | No            |                  2 | On Loan: No      |
| FHLMC Multifamily Structured P                         | Freddie Mac Multifamily Structured Pass Through Certificates | CUSIP: 3137H7Z89<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   2280809 | PA      | $2275094.22   | 0.92%             | 2032-06-25      | Floating      | 4.83%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                            | Freddie Mac Non Gold Pool                                    | CUSIP: 31349SFL2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     14445 | PA      | $14791.83     | 0.01%             | 2033-11-01      | Floating      | 6.91%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                             | Fannie Mae Pool                                              | CUSIP: 3140J57M5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    348940 | PA      | $361859.71    | 0.15%             | 2042-09-01      | Floating      | 6.72%                 | No            |                  2 | On Loan: No      |
| FHLMC Multifamily Structured P                         | Freddie Mac Multifamily Structured Pass Through Certificates | CUSIP: 3137FUN59<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    864319 | PA      | $863996.50    | 0.35%             | 2030-06-25      | Floating      | 4.91%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                             | Fannie Mae Pool                                              | CUSIP: 31410EKC1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     12838 | PA      | $13310.23     | 0.01%             | 2036-09-01      | Floating      | 6.46%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                             | Fannie Mae Pool                                              | CUSIP: 31402DQR4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     30149 | PA      | $30994.61     | 0.01%             | 2034-10-01      | Floating      | 6.90%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                            | Freddie Mac Non Gold Pool                                    | CUSIP: 3128QS3L8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      2814 | PA      | $2870.06      | 0.00%             | 2036-10-01      | Floating      | 6.36%                 | No            |                  2 | On Loan: No      |
| RELIANCE INDUSTRIES LTD                                | Reliance Industries Ltd                                      | CUSIP: 759470AT4<br>LEI: 5493003UOETFYRONLG31 | Long             | DBT              | CORP              | IN        |     93750 | PA      | $93159.84     | 0.04%             | 2026-01-15      | Fixed         | 2.51%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                            | Freddie Mac Non Gold Pool                                    | CUSIP: 3128S4NP8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      5357 | PA      | $5537.50      | 0.00%             | 2036-11-01      | Floating      | 6.48%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                             | Fannie Mae Pool                                              | CUSIP: 31416CAU0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     57183 | PA      | $59132.56     | 0.02%             | 2037-09-01      | Floating      | 6.64%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                            | Freddie Mac Non Gold Pool                                    | CUSIP: 31348S6S8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       119 | PA      | $118.94       | 0.00%             | 2028-01-01      | Floating      | 6.89%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                            | Freddie Mac Non Gold Pool                                    | CUSIP: 3128NHM42<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     28751 | PA      | $29569.57     | 0.01%             | 2036-04-01      | Floating      | 6.46%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                             | Fannie Mae Pool                                              | CUSIP: 31403LLH2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     14709 | PA      | $14917.61     | 0.01%             | 2033-10-01      | Floating      | 6.75%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                            | Freddie Mac Non Gold Pool                                    | CUSIP: 31349ULB2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      8839 | PA      | $9167.60      | 0.00%             | 2035-02-01      | Floating      | 6.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                             | Fannie Mae Pool                                              | CUSIP: 31409XQX0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      1238 | PA      | $1275.87      | 0.00%             | 2036-03-01      | Floating      | 6.17%                 | No            |                  2 | On Loan: No      |
| US TREASURY N/B                                        | United States Treasury Note/Bond                             | CUSIP: 91282CFM8<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  10000000 | PA      | $10097460.90  | 4.10%             | 2027-09-30      | Fixed         | 4.12%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                            | Freddie Mac Non Gold Pool                                    | CUSIP: 3128JMFP7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     45724 | PA      | $46621.18     | 0.02%             | 2035-03-01      | Floating      | 6.74%                 | No            |                  2 | On Loan: No      |
| FHLMC Multifamily Structured P                         | Freddie Mac Multifamily Structured Pass Through Certificates | CUSIP: 3137FX4E5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    906408 | PA      | $904822.56    | 0.37%             | 2030-08-25      | Floating      | 4.82%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                            | Freddie Mac Non Gold Pool                                    | CUSIP: 3128QPMB5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      1012 | PA      | $1036.44      | 0.00%             | 2036-08-01      | Floating      | 6.79%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                             | Fannie Mae Pool                                              | CUSIP: 31407XZM6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      9119 | PA      | $9242.78      | 0.00%             | 2035-11-01      | Floating      | 6.09%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                             | Fannie Mae Pool                                              | CUSIP: 31400QX81<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      4029 | PA      | $4092.05      | 0.00%             | 2033-04-01      | Floating      | 6.44%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                            | Freddie Mac Non Gold Pool                                    | CUSIP: 3128S44P9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     49885 | PA      | $50876.35     | 0.02%             | 2035-12-01      | Floating      | 6.52%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                             | Fannie Mae Pool                                              | CUSIP: 31404JUQ6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     38659 | PA      | $39619.58     | 0.02%             | 2034-03-01      | Floating      | 6.43%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                            | Freddie Mac Pool                                             | CUSIP: 3131X6VK3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     14256 | PA      | $14179.81     | 0.01%             | 2026-06-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                             | Fannie Mae Pool                                              | CUSIP: 31401EAM1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     14887 | PA      | $15312.14     | 0.01%             | 2033-05-01      | Floating      | 6.29%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                             | Fannie Mae Pool                                              | CUSIP: 31410MHB9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      1379 | PA      | $1422.40      | 0.00%             | 2036-04-01      | Floating      | 6.29%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                            | Freddie Mac Non Gold Pool                                    | CUSIP: 31336CLF8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      4712 | PA      | $4791.03      | 0.00%             | 2033-08-01      | Floating      | 5.97%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                            | Freddie Mac Non Gold Pool                                    | CUSIP: 3128S4XE2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      8345 | PA      | $8509.08      | 0.00%             | 2036-09-01      | Floating      | 6.84%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                         | Ginnie Mae II Pool                                           | CUSIP: 3618N5RG6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   5943131 | PA      | $6050485.98   | 2.46%             | 2055-07-20      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                             | Fannie Mae Pool                                              | CUSIP: 3138A9BT0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      9100 | PA      | $9060.23      | 0.00%             | 2026-03-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                            | Freddie Mac Non Gold Pool                                    | CUSIP: 3128UHB53<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     53054 | PA      | $54355.43     | 0.02%             | 2034-08-01      | Floating      | 6.24%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                             | Fannie Mae Pool                                              | CUSIP: 31416WX64<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       568 | PA      | $566.67       | 0.00%             | 2025-10-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |

### Signature

**Date Signed:** 2025-11-26

**Name of Applicant:** Franklin ETF Trust

**Signature:** Monica Krogh

**Name of Signer:** Monica Krogh

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