# EDGAR Filing Document

**Accession Number:** 0000933691
**File Stem:** 0001145549-23-013478
**Filing Date:** 2023-2
**Character Count:** 147696
**Document Hash:** 346b2db3d10c2397a2312214d52a1a76
**Contains OCR:** False
**Source Format:** 

## Filing Content

## Filing Summary
**0001145549-23-013478.hdr.sgml**: 20230228

**ACCESSION NUMBER**: 0001145549-23-013478

**CONFORMED SUBMISSION TYPE**: NPORT-P

**PUBLIC DOCUMENT COUNT**: 1

**CONFORMED PERIOD OF REPORT**: 20221231

**FILED AS OF DATE**: 20230228

**DATE AS OF CHANGE**: 20230228

**PERIOD START**: 20221231

**FILER**: 

**COMPANY DATA:**
- **COMPANY CONFORMED NAME:** JNL SERIES TRUST
- **CENTRAL INDEX KEY:** 0000933691
- **IRS NUMBER:** 381659835
- **STATE OF INCORPORATION:** MA
- **FISCAL YEAR END:** 1231

**FILING VALUES:**
- **FORM TYPE:** NPORT-P
- **SEC ACT:** 1940 Act
- **SEC FILE NUMBER:** 811-08894
- **FILM NUMBER:** 23683202

**BUSINESS ADDRESS:**
- **STREET 1:** 1 CORPORATE WAY
- **CITY:** LANSING
- **STATE:** MI
- **ZIP:** 48951
- **BUSINESS PHONE:** (517) 367-4336

**MAIL ADDRESS:**
- **STREET 1:** 1 CORPORATE WAY
- **CITY:** LANSING
- **STATE:** MI
- **ZIP:** 48951

## Series and Classes Contracts Data

### JNL/JPMORGAN US GOVERNMENT & QUALITY BOND FUND (Series ID: S000001742)

| Class ID   | Class Name                                           | Ticker Symbol   |
|:---|:---|:---|
| C000004649 | JNL/JPMORGAN US GOVERNMENT & QUALITY BOND FUND (A)   |  |
| C000067980 | JNL/JPMORGAN U.S. GOVERNMENT & QUALITY BOND FUND (I) |  |

## Form NPORT-P: Monthly Portfolio Investments Report

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

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

- **a. Name of Registrant:** JNL Series Trust

- **b. Investment Company Act file number:** 811-8894

- **c. CIK number of Registrant:** 0000933691

- **d. LEI of Registrant:** 549300T5WIPN6IWM0D45

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

  - **Street Address 1:** 1 Corporate Way

  - **City:** Lansing

  - **State:** MI

  - **Foreign country:** US

  - **Zip / Postal Code:** 48951

  - **Telephone number:** 517-367-4336

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

- **a. Name of Series:** JNL/JPMorgan U.S. Government & Quality Bond Fund

- **b. EDGAR series identifier (if any):** S000001742

- **c. LEI of Series:** XC6IKZZ2G4MM0GFFQ252

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

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

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

**Item A.4. Final filing**

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

### Fund Information

**Total Assets:** $1605415827.11

**Total Liabilities:** $1231216.86

**Net Assets:** $1604184610.25

**Cash Not Reported:** $15020.86

**Currency Risk Metrics (dv01):**

- 

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

- **3-Month:** -1.487726482499 | **1-Year:** -23029.298748095454 | **5-Year:** -89471.283504056326 | **10-Year:** -195496.559730013167 | **30-Year:** -217707.787381125753

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

- **3-Month:** 0.000000000000 | **1-Year:** 0.000000000000 | **5-Year:** -46.733253332265 | **10-Year:** -625.616453638723 | **30-Year:** -194.732976252612

**Monthly Return Information**

| Class               | Month 1 Return (%)   | Month 2 Return (%)   | Month 3 Return (%)   |
|:---|:---|:---|:---|
| Class ID C000004649 | -1.21%               | 2.86%                | -0.64%               |
| Class ID C000067980 | -1.21%               | 2.92%                | -0.60%               |

**Monthly Gains & Losses**

| Period   | Net Realized Gain/Loss   | Net Unrealized Appreciation/Depreciation   |
|:---|:---|:---|
| Month 1  | $-2822430.51             | $-15984657.56                              |
| Month 2  | $-226983.87              | $41939189.91                               |
| Month 3  | $20330.17                | $-12985189.52                              |

### 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   |
|:---|:---|:---|:---|:---|:---|:---|---:|:---|:---|:---|:---|:---|:---|:---|---:|:---|
| Government National Mortgage Association                        | Government National Mortgage Association                        | CUSIP: 38376F2C5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    145811 | PA      | $144455.21    | 0.01%             | 2024-09-16      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                        | Government National Mortgage Association                        | CUSIP: 38376LL56<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-CBDO         | USGA              | US        |   1316751 | PA      | $141910.22    | 0.01%             | 2041-07-20      | Floating      | 1.78%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                        | Government National Mortgage Association                        | CUSIP: 38377QQD2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |  14124098 | PA      | $14221370.66  | 0.89%             | 2040-05-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                        | Government National Mortgage Association                        | CUSIP: 38377RVK8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    457189 | PA      | $447598.02    | 0.03%             | 2039-04-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association, Inc.                     | Federal National Mortgage Association, Inc.                     | CUSIP: 31410PNL3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |      4734 | PA      | $4874.82      | 0.00%             | 2036-08-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association, Inc.                     | Federal National Mortgage Association, Inc.                     | CUSIP: 31410RE21<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |     13656 | PA      | $14263.66     | 0.00%             | 2036-09-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Citigroup Commercial Mortgage Trust 2020-GC46                   | Citigroup Commercial Mortgage Trust 2020-GC46                   | CUSIP: 17328RAZ2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   8750000 | PA      | $7415202.38   | 0.46%             | 2030-02-15      | Fixed         | 2.72%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corporation                          | Federal Home Loan Mortgage Corporation                          | CUSIP: 31293NQ60<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |     12988 | PA      | $13534.10     | 0.00%             | 2029-04-01      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corporation                          | Federal Home Loan Mortgage Corporation                          | CUSIP: 3133AAFK3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |  14396249 | PA      | $11842898.68  | 0.74%             | 2050-09-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association, Inc.                     | Federal National Mortgage Association, Inc.                     | CUSIP: 3136AV6R5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |   8217927 | PA      | $7691100.56   | 0.48%             | 2027-06-25      | Fixed         | 2.90%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association, Inc.                     | Federal National Mortgage Association, Inc.                     | CUSIP: 31410RNM7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |      7464 | PA      | $7779.82      | 0.00%             | 2036-08-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Treasury, United States Department of                           | Treasury, United States Department of                           | CUSIP: 912810SL3<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  30000000 | PA      | $19851564.00  | 1.24%             | 2050-02-15      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association, Inc.                     | Federal National Mortgage Association, Inc.                     | CUSIP: 3136B8FR5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |   4879502 | PA      | $4317365.26   | 0.27%             | 2049-09-25      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association, Inc.                     | Federal National Mortgage Association, Inc.                     | CUSIP: 31385CWQ2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |       205 | PA      | $215.28       | 0.00%             | 2030-05-01      | Fixed         | 8.00%                 | No            |                  2 | On Loan: No      |
| Treasury, United States Department of                           | Treasury, United States Department of                           | CUSIP: 912810TC2<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  40000000 | PA      | $28593752.00  | 1.78%             | 2041-11-15      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Treasury, United States Department of                           | Treasury, United States Department of                           | CUSIP: 912810TF5<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  15000000 | PA      | $11449218.00  | 0.71%             | 2042-02-15      | Fixed         | 2.38%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association, Inc.                     | Federal National Mortgage Association, Inc.                     | CUSIP: 3138ENMB2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |  14913309 | PA      | $14393286.78  | 0.90%             | 2042-06-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association, Inc.                     | Federal National Mortgage Association, Inc.                     | CUSIP: 3138L8JT2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |   2305394 | PA      | $2197569.00   | 0.14%             | 2027-03-01      | Fixed         | 3.33%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association, Inc.                     | Federal National Mortgage Association, Inc.                     | CUSIP: 3138L8V68<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |   2747131 | PA      | $2606301.84   | 0.16%             | 2027-03-01      | Fixed         | 3.11%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association, Inc.                     | Federal National Mortgage Association, Inc.                     | CUSIP: 3138LA5S4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |   4740102 | PA      | $4710199.99   | 0.29%             | 2025-09-01      | Fixed         | 3.18%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association, Inc.                     | Federal National Mortgage Association, Inc.                     | CUSIP: 31408HXE0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |      3363 | PA      | $3473.33      | 0.00%             | 2036-04-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association, Inc.                     | Federal National Mortgage Association, Inc.                     | CUSIP: 3140H6EN5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |   1601546 | PA      | $1536996.40   | 0.10%             | 2048-03-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association, Inc.                     | Federal National Mortgage Association, Inc.                     | CUSIP: 3140XJR21<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |   4884544 | PA      | $4675843.46   | 0.29%             | 2050-12-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corporation                          | Federal Home Loan Mortgage Corporation                          | CUSIP: 35563PPE3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |   7752368 | PA      | $6809333.95   | 0.42%             | 2059-08-25      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                        | Government National Mortgage Association                        | CUSIP: 36201X7H5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      2005 | PA      | $2069.72      | 0.00%             | 2034-01-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association, Inc.                     | Federal National Mortgage Association, Inc.                     | CUSIP: 31408H4C6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |       486 | PA      | $501.54       | 0.00%             | 2036-04-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association, Inc.                     | Federal National Mortgage Association, Inc.                     | CUSIP: 3140HVY57<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |  10438832 | PA      | $8498442.75   | 0.53%             | 2034-10-01      | Fixed         | 2.41%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association, Inc.                     | Federal National Mortgage Association, Inc.                     | CUSIP: 31410DUT5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |      3619 | PA      | $3766.03      | 0.00%             | 2036-08-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association, Inc.                     | Federal National Mortgage Association, Inc.                     | CUSIP: 31410MXH8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |      5010 | PA      | $5235.71      | 0.00%             | 2036-06-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association, Inc.                     | Federal National Mortgage Association, Inc.                     | CUSIP: 31418DGM8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |    858546 | PA      | $792202.96    | 0.05%             | 2049-10-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Tennessee Valley Authority                                      | Tennessee Valley Authority                                      | CUSIP: 88059EPH1<br>LEI: 549300HE1ISW43LNKM54 | Long             | DBT              | USGA              | US        |   6000000 | PA      | $2966849.40   | 0.18%             | 2037-07-15      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| U.S. Department of Veterans Affairs                             | U.S. Department of Veterans Affairs                             | CUSIP: 911760QP4<br>LEI: 549300MGSV36CLTS9L88 | Long             | ABS-MBS          | CORP              | US        |    422196 | PA      | $436095.27    | 0.03%             | 2031-02-15      | Fixed         | 6.75%                 | No            |                  2 | On Loan: No      |
| Worldwide Plaza Trust 2017-WWP                                  | Worldwide Plaza Trust 2017-WWP                                  | CUSIP: 98162JAA4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   3939000 | PA      | $3304281.36   | 0.21%             | 2027-11-12      | Fixed         | 3.53%                 | No            |                  2 | On Loan: No      |
| Zoetis Inc.                                                     | Zoetis Inc.                                                     | CUSIP: 98978VAS2<br>LEI: 549300HD9Q1LOC9KLJ48 | Long             | DBT              | CORP              | US        |   2200000 | PA      | $1787080.24   | 0.11%             | 2030-05-15      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Ameren Illinois Company                                         | Ameren Illinois Company                                         | CUSIP: 02361DAZ3<br>LEI: RC71E2BZ6UOMFPDJSE79 | Long             | DBT              | CORP              | US        |    625000 | PA      | $687447.23    | 0.04%             | 2052-12-01      | Fixed         | 5.90%                 | No            |                  2 | On Loan: No      |
| AMERICAN HOMES 4 RENT                                           | AMERICAN HOMES 4 RENT                                           | CUSIP: 02665UAA3<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |   4280539 | PA      | $4093731.16   | 0.26%             | 2024-10-18      | Fixed         | 3.79%                 | No            |                  2 | On Loan: No      |
| Alternative Loan Trust 2006-OA17                                | Alternative Loan Trust 2006-OA17                                | CUSIP: 12668PAA0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    302868 | PA      | $250007.59    | 0.02%             | 2046-12-20      | Floating      | 4.55%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corporation                          | Federal Home Loan Mortgage Corporation                          | CUSIP: 31292K7A9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |    308684 | PA      | $306237.70    | 0.02%             | 2040-10-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association, Inc.                     | Federal National Mortgage Association, Inc.                     | CUSIP: 3136B86L8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |   9964450 | PA      | $7929200.83   | 0.49%             | 2035-03-25      | Fixed         | 2.01%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association, Inc.                     | Federal National Mortgage Association, Inc.                     | CUSIP: 3138Y7CQ3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |    826320 | PA      | $796113.91    | 0.05%             | 2045-09-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association, Inc.                     | Federal National Mortgage Association, Inc.                     | CUSIP: 31392B6V3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |   1600457 | PA      | $1702611.12   | 0.11%             | 2041-12-25      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association, Inc.                     | Federal National Mortgage Association, Inc.                     | CUSIP: 31392JYP8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |    475382 | PA      | $478323.76    | 0.03%             | 2042-06-25      | Fixed         | 5.75%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corporation                          | Federal Home Loan Mortgage Corporation                          | CUSIP: 31392XUX4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |     77471 | PA      | $76737.84     | 0.00%             | 2032-04-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association, Inc.                     | Federal National Mortgage Association, Inc.                     | CUSIP: 31393DQZ7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |     36555 | PA      | $35794.55     | 0.00%             | 2033-07-25      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association, Inc.                     | Federal National Mortgage Association, Inc.                     | CUSIP: 3136ART40<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |   2936424 | PA      | $2733276.97   | 0.17%             | 2045-07-25      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association, Inc.                     | Federal National Mortgage Association, Inc.                     | CUSIP: 31384AG85<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |       783 | PA      | $828.25       | 0.00%             | 2030-02-01      | Fixed         | 8.00%                 | No            |                  2 | On Loan: No      |
| Hyundai Capital America                                         | Hyundai Capital America                                         | CUSIP: 44891ABT3<br>LEI: 549300RIPPWJB5Z0FK07 | Long             | DBT              | CORP              | US        |   3875000 | PA      | $3175864.36   | 0.20%             | 2028-01-10      | Fixed         | 1.80%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association, Inc.                     | Federal National Mortgage Association, Inc.                     | CUSIP: 31393ELR8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |   1072750 | PA      | $1040481.93   | 0.06%             | 2043-06-25      | Fixed         | 4.68%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association, Inc.                     | Federal National Mortgage Association, Inc.                     | CUSIP: 31409ANT2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |     17382 | PA      | $18470.18     | 0.00%             | 2036-02-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association, Inc.                     | Federal National Mortgage Association, Inc.                     | CUSIP: 31409C4Z5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |      9882 | PA      | $10112.98     | 0.00%             | 2036-05-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association, Inc.                     | Federal National Mortgage Association, Inc.                     | CUSIP: 31409CHA6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |     37538 | PA      | $39897.83     | 0.00%             | 2036-03-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association, Inc.                     | Federal National Mortgage Association, Inc.                     | CUSIP: 31409CXJ9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |     98799 | PA      | $102844.79    | 0.01%             | 2036-07-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association, Inc.                     | Federal National Mortgage Association, Inc.                     | CUSIP: 31409FFG8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |      5330 | PA      | $5546.76      | 0.00%             | 2036-03-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| AT&T Inc.                                                       | AT&T Inc.                                                       | CUSIP: 00206RKG6<br>LEI: 549300Z40J86GGSTL398 | Long             | DBT              | CORP              | US        |   7515000 | PA      | $6356846.82   | 0.40%             | 2028-02-01      | Fixed         | 1.65%                 | No            |                  2 | On Loan: No      |
| AbbVie Inc.                                                     | AbbVie Inc.                                                     | CUSIP: 00287YBX6<br>LEI: FR5LCKFTG8054YNNRU85 | Long             | DBT              | CORP              | US        |   5000000 | PA      | $4515417.50   | 0.28%             | 2029-11-21      | Fixed         | 3.20%                 | No            |                  2 | On Loan: No      |
| Alternative Loan Trust 2006-OA9                                 | Alternative Loan Trust 2006-OA9                                 | CUSIP: 02146YAC0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    181317 | PA      | $137873.30    | 0.01%             | 2046-07-20      | Floating      | 4.77%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association, Inc.                     | Federal National Mortgage Association, Inc.                     | CUSIP: 3136A6MJ0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |    758966 | PA      | $722115.78    | 0.05%             | 2042-04-25      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association, Inc.                     | Federal National Mortgage Association, Inc.                     | CUSIP: 3136A8SS0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |   4000000 | PA      | $3258390.00   | 0.20%             | 2042-09-25      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association, Inc.                     | Federal National Mortgage Association, Inc.                     | CUSIP: 3138Y7CP5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |   3985401 | PA      | $3710751.13   | 0.23%             | 2045-09-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association, Inc.                     | Federal National Mortgage Association, Inc.                     | CUSIP: 31396PL90<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |    110015 | PA      | $109907.62    | 0.01%             | 2037-02-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corporation                          | Federal Home Loan Mortgage Corporation                          | CUSIP: 31397EQM0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |    860380 | PA      | $862535.46    | 0.05%             | 2027-01-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corporation                          | Federal Home Loan Mortgage Corporation                          | CUSIP: 31397JNJ9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |    346207 | PA      | $359114.84    | 0.02%             | 2037-07-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association, Inc.                     | Federal National Mortgage Association, Inc.                     | CUSIP: 31407PLG1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |     12985 | PA      | $13549.63     | 0.00%             | 2035-10-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association, Inc.                     | Federal National Mortgage Association, Inc.                     | CUSIP: 31410B7K4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |      1390 | PA      | $1402.01      | 0.00%             | 2036-05-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                        | Government National Mortgage Association                        | CUSIP: 3617K3K73<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   3412563 | PA      | $2964895.70   | 0.18%             | 2049-11-15      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                        | Government National Mortgage Association                        | CUSIP: 3617LJHA4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1177142 | PA      | $1022721.85   | 0.06%             | 2049-10-15      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                        | Government National Mortgage Association                        | CUSIP: 3617N65U9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |  10517797 | PA      | $9491365.30   | 0.59%             | 2050-04-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                        | Government National Mortgage Association                        | CUSIP: 3617WTN47<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   7627550 | PA      | $7007387.69   | 0.44%             | 2051-09-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| AMSR 2020-SFR3 Trust                                            | AMSR 2020-SFR3 Trust                                            | CUSIP: 001807AA4<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |   7388609 | PA      | $6592454.40   | 0.41%             | 2025-09-17      | Fixed         | 1.36%                 | No            |                  2 | On Loan: No      |
| CSAIL 2015-C3 Commercial Mortgage Trust                         | CSAIL 2015-C3 Commercial Mortgage Trust                         | CUSIP: 12635FAT1<br>LEI: 549300ZAGI6FKGY8O078 | Long             | ABS-MBS          | CORP              | US        |   8775000 | PA      | $8400910.34   | 0.52%             | 2025-07-17      | Fixed         | 3.72%                 | No            |                  2 | On Loan: No      |
| Cargill, Incorporated                                           | Cargill, Incorporated                                           | CUSIP: 141781BM5<br>LEI: QXZYQNMR4JZ5RIRN4T31 | Long             | DBT              | CORP              | US        |   2480000 | PA      | $2037745.15   | 0.13%             | 2030-04-23      | Fixed         | 2.13%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association, Inc.                     | Federal National Mortgage Association, Inc.                     | CUSIP: 31375QVC5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |       292 | PA      | $296.44       | 0.00%             | 2026-03-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corporation                          | Federal Home Loan Mortgage Corporation                          | CUSIP: 3137FAWS3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |   6557000 | PA      | $6150594.52   | 0.38%             | 2027-07-25      | Fixed         | 3.19%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corporation                          | Federal Home Loan Mortgage Corporation                          | CUSIP: 3137FKUN4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |   3302508 | PA      | $3209251.08   | 0.20%             | 2027-10-25      | Fixed         | 3.59%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association, Inc.                     | Federal National Mortgage Association, Inc.                     | CUSIP: 31407SES7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |     22892 | PA      | $23878.48     | 0.00%             | 2035-11-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association, Inc.                     | Federal National Mortgage Association, Inc.                     | CUSIP: 31407TE89<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |     14174 | PA      | $14287.35     | 0.00%             | 2035-09-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association, Inc.                     | Federal National Mortgage Association, Inc.                     | CUSIP: 31408FKM0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |    305615 | PA      | $314308.83    | 0.02%             | 2036-01-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association, Inc.                     | Federal National Mortgage Association, Inc.                     | CUSIP: 31410BHZ0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |      6512 | PA      | $6808.57      | 0.00%             | 2036-06-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association, Inc.                     | Federal National Mortgage Association, Inc.                     | CUSIP: 31410FCT0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |       706 | PA      | $725.10       | 0.00%             | 2036-07-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Bank of America Corporation                                     | Bank of America Corporation                                     | CUSIP: 06051GLC1<br>LEI: 9DJT3UXIJIZJI4WXO774 | Long             | DBT              | CORP              | US        |   8315000 | PA      | $8585569.27   | 0.54%             | 2028-11-10      | Fixed         | 6.20%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corporation                          | Federal Home Loan Mortgage Corporation                          | CUSIP: 31292HN42<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |      5473 | PA      | $5804.20      | 0.00%             | 2032-02-01      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corporation                          | Federal Home Loan Mortgage Corporation                          | CUSIP: 3137FBBX3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |   5000000 | PA      | $4754607.50   | 0.30%             | 2027-08-25      | Fixed         | 3.24%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association, Inc.                     | Federal National Mortgage Association, Inc.                     | CUSIP: 3138Y7DU3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |    838242 | PA      | $755874.01    | 0.05%             | 2046-03-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corporation                          | Federal Home Loan Mortgage Corporation                          | CUSIP: 31393VVF5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |    105918 | PA      | $105760.45    | 0.01%             | 2023-07-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corporation                          | Federal Home Loan Mortgage Corporation                          | CUSIP: 31393WZN2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |    429510 | PA      | $431259.76    | 0.03%             | 2033-07-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association, Inc.                     | Federal National Mortgage Association, Inc.                     | CUSIP: 31395B2U6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-CBDO         | USGA              | US        |    356319 | PA      | $280544.17    | 0.02%             | 2036-04-25      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corporation                          | Federal Home Loan Mortgage Corporation                          | CUSIP: 31395LE98<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |    627382 | PA      | $633437.88    | 0.04%             | 2035-01-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association, Inc.                     | Federal National Mortgage Association, Inc.                     | CUSIP: 31407HXQ4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |      4017 | PA      | $4141.48      | 0.00%             | 2036-04-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association, Inc.                     | Federal National Mortgage Association, Inc.                     | CUSIP: 31409TSX7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |      5122 | PA      | $5284.86      | 0.00%             | 2036-04-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association, Inc.                     | Federal National Mortgage Association, Inc.                     | CUSIP: 31409UFN0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |     17471 | PA      | $18548.47     | 0.00%             | 2036-02-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association, Inc.                     | Federal National Mortgage Association, Inc.                     | CUSIP: 31409VX32<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |     12867 | PA      | $13684.97     | 0.00%             | 2036-02-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association, Inc.                     | Federal National Mortgage Association, Inc.                     | CUSIP: 31409WVM0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |      1191 | PA      | $1238.12      | 0.00%             | 2036-05-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association, Inc.                     | Federal National Mortgage Association, Inc.                     | CUSIP: 31408GPU5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |     13316 | PA      | $13495.74     | 0.00%             | 2035-11-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                        | Government National Mortgage Association                        | CUSIP: 38379FBM0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |  12871883 | PA      | $10599642.96  | 0.66%             | 2045-10-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| The Kroger Co.                                                  | The Kroger Co.                                                  | CUSIP: 501044DQ1<br>LEI: 6CPEOKI6OYJ13Q6O7870 | Long             | DBT              | CORP              | US        |   5000000 | PA      | $3853914.00   | 0.24%             | 2031-01-15      | Fixed         | 1.70%                 | No            |                  2 | On Loan: No      |
| BA Credit Card Trust                                            | BA Credit Card Trust                                            | CUSIP: 05522RDF2<br>LEI: 5493006DQ60M1CRKHH19 | Long             | ABS-CBDO         | CORP              | US        |   8000000 | PA      | $8088437.60   | 0.50%             | 2025-11-17      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| BBCMS Trust 2015-VFM                                            | BBCMS Trust 2015-VFM                                            | CUSIP: 05546JAA6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1409508 | PA      | $1303616.05   | 0.08%             | 2026-03-12      | Fixed         | 2.47%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association, Inc.                     | Federal National Mortgage Association, Inc.                     | CUSIP: 3136B3XY1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |   3596424 | PA      | $3443470.85   | 0.21%             | 2028-09-25      | Variable      | 3.55%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association, Inc.                     | Federal National Mortgage Association, Inc.                     | CUSIP: 3136B9VJ3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |   7933143 | PA      | $7388292.39   | 0.46%             | 2030-05-25      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association, Inc.                     | Federal National Mortgage Association, Inc.                     | CUSIP: 3136BLW22<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |   7500000 | PA      | $5933425.50   | 0.37%             | 2031-11-25      | Variable      | 1.71%                 | No            |                  2 | On Loan: No      |
| The Walt Disney Company                                         | The Walt Disney Company                                         | CUSIP: 254687FL5<br>LEI: 549300GZKULIZ0WOW665 | Long             | DBT              | CORP              | US        |   3900000 | PA      | $3280907.76   | 0.20%             | 2029-09-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Enterprise Products Operating LLC                               | Enterprise Products Operating LLC                               | CUSIP: 29379VBH5<br>LEI: 5493004LGN656HWLDA30 | Long             | DBT              | CORP              | US        |   1013000 | PA      | $977224.69    | 0.06%             | 2026-02-15      | Fixed         | 3.70%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corporation                          | Federal Home Loan Mortgage Corporation                          | CUSIP: 3128M6LG1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |    724623 | PA      | $749371.67    | 0.05%             | 2038-07-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corporation                          | Federal Home Loan Mortgage Corporation                          | CUSIP: 3133ASH48<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |   8211807 | PA      | $6727114.95   | 0.42%             | 2051-09-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Federal Farm Credit Banks Funding Corporation                   | Federal Farm Credit Banks Funding Corporation                   | CUSIP: 3133EHHE6<br>LEI: N/A                  | Long             | DBT              | USGA              | US        |   7500000 | PA      | $6308396.25   | 0.39%             | 2037-04-28      | Fixed         | 3.33%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corporation                          | Federal Home Loan Mortgage Corporation                          | CUSIP: 3133KHGV2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |   2311455 | PA      | $2131395.89   | 0.13%             | 2050-01-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association, Inc.                     | Federal National Mortgage Association, Inc.                     | CUSIP: 31398GU23<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |     24612 | PA      | $18901.99     | 0.00%             | 2040-02-25      | Floating      | 1.71%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association, Inc.                     | Federal National Mortgage Association, Inc.                     | CUSIP: 31398NY24<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |    856362 | PA      | $841039.39    | 0.05%             | 2040-07-25      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association, Inc.                     | Federal National Mortgage Association, Inc.                     | CUSIP: 31398PNS4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |   1113555 | PA      | $1125045.95   | 0.07%             | 2039-09-25      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association, Inc.                     | Federal National Mortgage Association, Inc.                     | CUSIP: 31398SMF7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |   1398399 | PA      | $1384089.18   | 0.09%             | 2040-12-25      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Archer-Daniels-Midland Company                                  | Archer-Daniels-Midland Company                                  | CUSIP: 039482AB0<br>LEI: 549300LO13MQ9HYSTR83 | Long             | DBT              | CORP              | US        |   2625000 | PA      | $2360312.17   | 0.15%             | 2030-03-27      | Fixed         | 3.25%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association, Inc.                     | Federal National Mortgage Association, Inc.                     | CUSIP: 31403DRX9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |   1503384 | PA      | $1564992.82   | 0.10%             | 2036-07-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association, Inc.                     | Federal National Mortgage Association, Inc.                     | CUSIP: 31407FEN6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |      1157 | PA      | $1204.32      | 0.00%             | 2035-10-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Credit Suisse Securities (USA) LLC                              | Credit Suisse Securities (USA) LLC                              | CUSIP: 22541SZL5<br>LEI: 1V8Y6QCX6YMJ2OELII46 | Long             | ABS-MBS          | CORP              | US        |    148088 | PA      | $137147.64    | 0.01%             | 2034-09-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corporation                          | Federal Home Loan Mortgage Corporation                          | CUSIP: 3128HXMV4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |   5544662 | PA      | $5082819.04   | 0.32%             | 2042-07-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association, Inc.                     | Federal National Mortgage Association, Inc.                     | CUSIP: 3136B7AE1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |   2394594 | PA      | $2162858.91   | 0.13%             | 2048-05-25      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association, Inc.                     | Federal National Mortgage Association, Inc.                     | CUSIP: 3136ANVA2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |   4156205 | PA      | $3897832.02   | 0.24%             | 2035-05-25      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| GS Mortgage Securities Trust 2017-GS7                           | GS Mortgage Securities Trust 2017-GS7                           | CUSIP: 36254CAV2<br>LEI: 549300WZ62L3Y22NOZ64 | Long             | ABS-MBS          | CORP              | US        |  10500000 | PA      | $9664260.90   | 0.60%             | 2027-07-12      | Fixed         | 3.43%                 | No            |                  2 | On Loan: No      |
| Home Equity Mortgage Loan Asset-Backed Trust Series INDS 2006-A | Home Equity Mortgage Loan Asset-Backed Trust Series INDS 2006-A | CUSIP: 43709UAA5<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    627460 | PA      | $13248.63     | 0.00%             | 2036-06-25      | Floating      | 4.65%                 | No            |                  2 | On Loan: No      |
| JNL Government Money Market Fund                                | JNL Government Money Market Fund                                | CUSIP: 46628D437<br>LEI: N/A                  | Long             | STIV             | RF                | US        |  79718559 | NS      | $79718558.90  | 4.97%             |  |  |  | No            |                  1 | On Loan: No      |
| Government National Mortgage Association                        | Government National Mortgage Association                        | CUSIP: 36241KFD5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     45562 | PA      | $47233.05     | 0.00%             | 2035-07-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                        | Government National Mortgage Association                        | CUSIP: 36241KHK7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     89194 | PA      | $92487.24     | 0.01%             | 2036-01-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| ONEOK, Inc.                                                     | ONEOK, Inc.                                                     | CUSIP: 682680BG7<br>LEI: 2T3D6M0JSY48PSZI1Q41 | Long             | DBT              | CORP              | US        |   1520000 | PA      | $1524720.66   | 0.10%             | 2032-11-15      | Fixed         | 6.10%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association, Inc.                     | Federal National Mortgage Association, Inc.                     | CUSIP: 3136APDQ2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |   5051066 | PA      | $4580210.17   | 0.29%             | 2035-07-25      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association, Inc.                     | Federal National Mortgage Association, Inc.                     | CUSIP: 3136APNC2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |  10734092 | PA      | $9857884.17   | 0.61%             | 2035-07-25      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association, Inc.                     | Federal National Mortgage Association, Inc.                     | CUSIP: 3136AQE97<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |  13756569 | PA      | $11569940.35  | 0.72%             | 2045-11-25      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association, Inc.                     | Federal National Mortgage Association, Inc.                     | CUSIP: 3136AMN70<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |   3734744 | PA      | $3524148.88   | 0.22%             | 2035-04-25      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association, Inc.                     | Federal National Mortgage Association, Inc.                     | CUSIP: 31410BY24<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |     12265 | PA      | $12670.26     | 0.00%             | 2036-06-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association, Inc.                     | Federal National Mortgage Association, Inc.                     | CUSIP: 31410CAA0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |      1480 | PA      | $1517.33      | 0.00%             | 2036-05-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| GS Mortgage Securities Trust 2020-GC45                          | GS Mortgage Securities Trust 2020-GC45                          | CUSIP: 36258YBG2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |  10000000 | PA      | $8575529.00   | 0.53%             | 2029-12-14      | Fixed         | 2.91%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                        | Government National Mortgage Association                        | CUSIP: 36291EUP4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      3064 | PA      | $3181.65      | 0.00%             | 2034-09-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association, Inc.                     | Federal National Mortgage Association, Inc.                     | CUSIP: 3136B8G60<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |  10892608 | PA      | $9049406.68   | 0.56%             | 2050-03-25      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association, Inc.                     | Federal National Mortgage Association, Inc.                     | CUSIP: 31371MGH4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |     19377 | PA      | $20125.78     | 0.00%             | 2035-10-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association, Inc.                     | Federal National Mortgage Association, Inc.                     | CUSIP: 31371MRL3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |      7520 | PA      | $7741.49      | 0.00%             | 2031-02-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association, Inc.                     | Federal National Mortgage Association, Inc.                     | CUSIP: 31371MT31<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |      9045 | PA      | $9422.30      | 0.00%             | 2036-06-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association, Inc.                     | Federal National Mortgage Association, Inc.                     | CUSIP: 31394EFT0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |    109447 | PA      | $111007.51    | 0.01%             | 2035-07-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Eleven Madison Trust 2015-11MD Mortgage Trust                   | Eleven Madison Trust 2015-11MD Mortgage Trust                   | CUSIP: 556227AA4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2989000 | PA      | $2782303.18   | 0.17%             | 2025-09-11      | Variable      | 3.55%                 | No            |                  2 | On Loan: No      |
| MASTR Adjustable Rate Mortgages Trust 2004-10                   | MASTR Adjustable Rate Mortgages Trust 2004-10                   | CUSIP: 576433JG2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    203987 | PA      | $170534.72    | 0.01%             | 2034-02-25      | Variable      | 2.48%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley                                                  | Morgan Stanley                                                  | CUSIP: 6174468L6<br>LEI: IGJSJL3JD5P30I6NJZ34 | Long             | DBT              | CORP              | US        |   4300000 | PA      | $3562999.35   | 0.22%             | 2031-01-22      | Fixed         | 2.70%                 | No            |                  2 | On Loan: No      |
| Philip Morris International Inc.                                | Philip Morris International Inc.                                | CUSIP: 718172CX5<br>LEI: HL3H1H2BGXWVG3BSWR90 | Long             | DBT              | CORP              | US        |   5000000 | PA      | $5114165.55   | 0.32%             | 2032-11-17      | Fixed         | 5.75%                 | No            |                  2 | On Loan: No      |
| CF Hippolyta Issuer LLC                                         | CF Hippolyta Issuer LLC                                         | CUSIP: 12530MAA3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   4541509 | PA      | $3977618.85   | 0.25%             | 2025-07-15      | Fixed         | 1.69%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corporation                          | Federal Home Loan Mortgage Corporation                          | CUSIP: 31293EGS3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |     20255 | PA      | $20683.68     | 0.00%             | 2028-11-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association, Inc.                     | Federal National Mortgage Association, Inc.                     | CUSIP: 31375P2K1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |       682 | PA      | $697.92       | 0.00%             | 2026-05-01      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corporation                          | Federal Home Loan Mortgage Corporation                          | CUSIP: 31397EXZ3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |    564873 | PA      | $577639.41    | 0.04%             | 2036-07-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corporation                          | Federal Home Loan Mortgage Corporation                          | CUSIP: 31397RCQ7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |    178781 | PA      | $182089.96    | 0.01%             | 2037-04-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corporation                          | Federal Home Loan Mortgage Corporation                          | CUSIP: 31398ED84<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |    786970 | PA      | $782336.65    | 0.05%             | 2024-06-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association, Inc.                     | Federal National Mortgage Association, Inc.                     | CUSIP: 31407HXM3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |      2201 | PA      | $2254.52      | 0.00%             | 2036-04-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association, Inc.                     | Federal National Mortgage Association, Inc.                     | CUSIP: 3140HY4K1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |   5336631 | PA      | $3864916.80   | 0.24%             | 2037-06-01      | Fixed         | 2.04%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association, Inc.                     | Federal National Mortgage Association, Inc.                     | CUSIP: 3140HYB72<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |  15000000 | PA      | $10649454.00  | 0.66%             | 2035-05-01      | Fixed         | 1.78%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association, Inc.                     | Federal National Mortgage Association, Inc.                     | CUSIP: 3140KQUF6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |  11946059 | PA      | $9827279.38   | 0.61%             | 2050-10-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association, Inc.                     | Federal National Mortgage Association, Inc.                     | CUSIP: 3140XJQF3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |  27561838 | PA      | $26775532.20  | 1.67%             | 2052-08-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                        | Government National Mortgage Association                        | CUSIP: 36200AZ28<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       275 | PA      | $284.79       | 0.00%             | 2035-06-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                        | Government National Mortgage Association                        | CUSIP: 36291XZA0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       978 | PA      | $1015.20      | 0.00%             | 2035-05-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                        | Government National Mortgage Association                        | CUSIP: 36292BPD2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     75932 | PA      | $78736.11     | 0.00%             | 2035-07-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                        | Government National Mortgage Association                        | CUSIP: 38374CBC4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    361282 | PA      | $370125.74    | 0.02%             | 2033-09-20      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| SCF Equipment Leasing 2022-2 LLC                                | SCF Equipment Leasing 2022-2 LLC                                | CUSIP: 78397WAC0<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |   9850000 | PA      | $9901512.55   | 0.62%             | 2030-10-21      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| T-Mobile USA, Inc.                                              | T-Mobile USA, Inc.                                              | CUSIP: 87264ABF1<br>LEI: 549300V2JRLO5DIFGE82 | Long             | DBT              | CORP              | US        |  10000000 | PA      | $9091389.00   | 0.57%             | 2030-04-15      | Fixed         | 3.88%                 | No            |                  2 | On Loan: No      |
| Takeda Pharmaceutical Co Ltd                                    | Takeda Pharmaceutical Co Ltd                                    | CUSIP: 874060AX4<br>LEI: 549300ZLMVP4X0OGR454 | Long             | DBT              | CORP              | US        |   5000000 | PA      | $4080556.55   | 0.25%             | 2030-03-31      | Fixed         | 2.05%                 | No            |                  2 | On Loan: No      |
| Tricon American Homes 2020-SFR1 Trust                           | Tricon American Homes 2020-SFR1 Trust                           | CUSIP: 89613GAA4<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |  11676155 | PA      | $10126291.42  | 0.63%             | 2026-07-17      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corporation                          | Federal Home Loan Mortgage Corporation                          | CUSIP: 3137A0MG7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |    538973 | PA      | $522701.38    | 0.03%             | 2036-06-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corporation                          | Federal Home Loan Mortgage Corporation                          | CUSIP: 3137ABJQ5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |   1047465 | PA      | $1039005.94   | 0.06%             | 2026-06-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corporation                          | Federal Home Loan Mortgage Corporation                          | CUSIP: 3137AEH40<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |   1500000 | PA      | $1489255.50   | 0.09%             | 2026-08-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association, Inc.                     | Federal National Mortgage Association, Inc.                     | CUSIP: 31410CRV6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |      1058 | PA      | $1089.99      | 0.00%             | 2036-06-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corporation                          | Federal Home Loan Mortgage Corporation                          | CUSIP: 3137ASSG0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |   1799253 | PA      | $1790521.05   | 0.11%             | 2029-03-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association, Inc.                     | Federal National Mortgage Association, Inc.                     | CUSIP: 3138NJBJ6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |   3082259 | PA      | $2912505.98   | 0.18%             | 2027-06-01      | Variable      | 3.05%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association, Inc.                     | Federal National Mortgage Association, Inc.                     | CUSIP: 31410GJA2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |    507109 | PA      | $519951.74    | 0.03%             | 2035-02-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association, Inc.                     | Federal National Mortgage Association, Inc.                     | CUSIP: 31410SPC5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |       598 | PA      | $625.59       | 0.00%             | 2036-08-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association, Inc.                     | Federal National Mortgage Association, Inc.                     | CUSIP: 3138WGFX7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |   5481554 | PA      | $5096945.78   | 0.32%             | 2046-01-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association, Inc.                     | Federal National Mortgage Association, Inc.                     | CUSIP: 31410CMB5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |      9194 | PA      | $9451.14      | 0.00%             | 2036-06-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association, Inc.                     | Federal National Mortgage Association, Inc.                     | CUSIP: 31410CR46<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |      2417 | PA      | $2515.79      | 0.00%             | 2036-06-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association, Inc.                     | Federal National Mortgage Association, Inc.                     | CUSIP: 31410CSN3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |      1708 | PA      | $1764.65      | 0.00%             | 2036-06-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Treasury, United States Department of                           | Treasury, United States Department of                           | CUSIP: 912828U24<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  15000000 | PA      | $13863282.00  | 0.86%             | 2026-11-15      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Treasury, United States Department of                           | Treasury, United States Department of                           | CUSIP: 91282CEA5<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  10000000 | PA      | $9640625.00   | 0.60%             | 2024-02-29      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association, Inc.                     | Federal National Mortgage Association, Inc.                     | CUSIP: 31410E7L6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |       798 | PA      | $801.39       | 0.00%             | 2036-08-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                        | Government National Mortgage Association                        | CUSIP: 38375JDM4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    696453 | PA      | $707801.35    | 0.04%             | 2037-01-20      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Treasury, United States Department of                           | Treasury, United States Department of                           | CUSIP: 91282CED9<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  35000000 | PA      | $33058592.00  | 2.06%             | 2025-03-15      | Fixed         | 1.75%                 | No            |                  2 | On Loan: No      |
| Wells Fargo Commercial Mortgage Trust 2019-C53                  | Wells Fargo Commercial Mortgage Trust 2019-C53                  | CUSIP: 95002BAE3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   6000000 | PA      | $5225405.40   | 0.33%             | 2029-10-17      | Fixed         | 3.04%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                        | Government National Mortgage Association                        | CUSIP: 38375QKS7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-CBDO         | USGA              | US        |    791595 | PA      | $58470.36     | 0.00%             | 2038-05-16      | Floating      | 2.07%                 | No            |                  2 | On Loan: No      |
| PG&E Recovery Funding LLC                                       | PG&E Recovery Funding LLC                                       | CUSIP: 71710TAF5<br>LEI: 8YQ2GSDWYZXO2EDN3511 | Long             | DBT              | CORP              | US        |   5115000 | PA      | $5226097.80   | 0.33%             | 2047-07-15      | Fixed         | 5.54%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corporation                          | Federal Home Loan Mortgage Corporation                          | CUSIP: 31296LZK0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |     53488 | PA      | $53781.21     | 0.00%             | 2033-08-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corporation                          | Federal Home Loan Mortgage Corporation                          | CUSIP: 31297KHR6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |    343423 | PA      | $345974.82    | 0.02%             | 2034-12-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association, Inc.                     | Federal National Mortgage Association, Inc.                     | CUSIP: 3136A9XK9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |   3375742 | PA      | $3072559.01   | 0.19%             | 2042-11-25      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association, Inc.                     | Federal National Mortgage Association, Inc.                     | CUSIP: 31382LNQ5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |      2848 | PA      | $2972.44      | 0.00%             | 2029-03-01      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association, Inc.                     | Federal National Mortgage Association, Inc.                     | CUSIP: 31384KHS8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |      3517 | PA      | $3685.71      | 0.00%             | 2030-01-01      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association, Inc.                     | Federal National Mortgage Association, Inc.                     | CUSIP: 31384VNL2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |      2127 | PA      | $2240.64      | 0.00%             | 2030-01-01      | Fixed         | 8.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association, Inc.                     | Federal National Mortgage Association, Inc.                     | CUSIP: 31386JEK9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |      5775 | PA      | $6095.02      | 0.00%             | 2031-01-01      | Fixed         | 8.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association, Inc.                     | Federal National Mortgage Association, Inc.                     | CUSIP: 31407TGQ7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |      2158 | PA      | $2165.69      | 0.00%             | 2035-09-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Banco Santander, S.A.                                           | Banco Santander, S.A.                                           | CUSIP: 05971KAE9<br>LEI: 5493006QMFDDMYWIAM13 | Long             | DBT              | CORP              | US        |   2600000 | PA      | $2435032.60   | 0.15%             | 2025-05-28      | Fixed         | 2.75%                 | No            |                  2 | On Loan: No      |
| Bank of America Corporation                                     | Bank of America Corporation                                     | CUSIP: 06051GHF9<br>LEI: 9DJT3UXIJIZJI4WXO774 | Long             | DBT              | CORP              | US        |   5000000 | PA      | $4981899.50   | 0.31%             | 2024-03-05      | Fixed         | 3.55%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association, Inc.                     | Federal National Mortgage Association, Inc.                     | CUSIP: 3136B7S77<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |   9000000 | PA      | $7652428.20   | 0.48%             | 2034-04-25      | Fixed         | 2.85%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association, Inc.                     | Federal National Mortgage Association, Inc.                     | CUSIP: 3140FXKX9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |   5600181 | PA      | $5267034.50   | 0.33%             | 2042-06-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association, Inc.                     | Federal National Mortgage Association, Inc.                     | CUSIP: 3140HUUN4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |   7040000 | PA      | $5753004.93   | 0.36%             | 2034-09-01      | Fixed         | 2.52%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association, Inc.                     | Federal National Mortgage Association, Inc.                     | CUSIP: 31409FNQ7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |     44705 | PA      | $46643.01     | 0.00%             | 2036-03-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association, Inc.                     | Federal National Mortgage Association, Inc.                     | CUSIP: 31409GHL3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |      3297 | PA      | $3403.48      | 0.00%             | 2036-07-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association, Inc.                     | Federal National Mortgage Association, Inc.                     | CUSIP: 31409HAZ7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |       905 | PA      | $927.67       | 0.00%             | 2036-04-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association, Inc.                     | Federal National Mortgage Association, Inc.                     | CUSIP: 31409HBN3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |     15658 | PA      | $16152.80     | 0.00%             | 2036-05-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association, Inc.                     | Federal National Mortgage Association, Inc.                     | CUSIP: 31409JEW6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |      1825 | PA      | $1871.90      | 0.00%             | 2036-05-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association, Inc.                     | Federal National Mortgage Association, Inc.                     | CUSIP: 31409JQQ6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |     18660 | PA      | $19269.26     | 0.00%             | 2036-05-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association, Inc.                     | Federal National Mortgage Association, Inc.                     | CUSIP: 3140KRYQ6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |   7723288 | PA      | $6609018.00   | 0.41%             | 2050-10-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association, Inc.                     | Federal National Mortgage Association, Inc.                     | CUSIP: 3140LD2Y4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |  10000000 | PA      | $7681682.00   | 0.48%             | 2033-10-01      | Fixed         | 1.94%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association, Inc.                     | Federal National Mortgage Association, Inc.                     | CUSIP: 3140LEGK7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |  35000000 | PA      | $28083321.00  | 1.75%             | 2031-12-01      | Fixed         | 1.90%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association, Inc.                     | Federal National Mortgage Association, Inc.                     | CUSIP: 3140LQQG8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |  11444872 | PA      | $10153069.95  | 0.63%             | 2052-04-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association, Inc.                     | Federal National Mortgage Association, Inc.                     | CUSIP: 3140N14V2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |  24802902 | PA      | $23930985.52  | 1.49%             | 2052-09-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Tennessee Valley Authority                                      | Tennessee Valley Authority                                      | CUSIP: 880591EW8<br>LEI: 549300HE1ISW43LNKM54 | Long             | DBT              | USGA              | US        |   4500000 | PA      | $4121190.00   | 0.26%             | 2025-05-15      | Fixed         | 0.75%                 | No            |                  2 | On Loan: No      |
| Treasury, United States Department of                           | Treasury, United States Department of                           | CUSIP: 912810RF7<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  33250000 | PA      | $39042355.17  | 2.43%             | 2044-02-15      | Fixed         | 1.38%                 | No            |                  2 | On Loan: No      |
| Treasury, United States Department of                           | Treasury, United States Department of                           | CUSIP: 912810SA7<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  10000000 | PA      | $8201562.00   | 0.51%             | 2048-02-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association, Inc.                     | Federal National Mortgage Association, Inc.                     | CUSIP: 31364EBA1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | DBT              | USGA              | US        |   4000000 | PA      | $3227104.80   | 0.20%             | 2028-03-23      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association, Inc.                     | Federal National Mortgage Association, Inc.                     | CUSIP: 3136A3BT7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |   8052496 | PA      | $7742500.81   | 0.48%             | 2032-01-25      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association, Inc.                     | Federal National Mortgage Association, Inc.                     | CUSIP: 31411FQW7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |     29137 | PA      | $30475.16     | 0.00%             | 2036-12-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| CP Atlas Buyer, Inc.                                            | CP Atlas Buyer, Inc.                                            | CUSIP: 33767JAA0<br>LEI: 2549006ZZ07G0NDDCR36 | Long             | ABS-CBDO         | CORP              | US        |   8543938 | PA      | $7593135.84   | 0.47%             | 2025-11-17      | Fixed         | 1.27%                 | No            |                  2 | On Loan: No      |
| FirstKey Homes 2020-SFR1 Trust                                  | FirstKey Homes 2020-SFR1 Trust                                  | CUSIP: 33767MAA3<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |   6424807 | PA      | $5744890.24   | 0.36%             | 2025-09-18      | Fixed         | 1.34%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                        | Government National Mortgage Association                        | CUSIP: 3617K3HJ1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   4643961 | PA      | $4034756.25   | 0.25%             | 2050-01-15      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                        | Government National Mortgage Association                        | CUSIP: 3617K3HK8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1019834 | PA      | $879592.41    | 0.05%             | 2050-01-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                        | Government National Mortgage Association                        | CUSIP: 3617K3KR9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   5021539 | PA      | $4362802.55   | 0.27%             | 2049-09-15      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                        | Government National Mortgage Association                        | CUSIP: 3617K3LF4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   2073337 | PA      | $1788223.37   | 0.11%             | 2049-12-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                        | Government National Mortgage Association                        | CUSIP: 36290TA66<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     48796 | PA      | $50585.73     | 0.00%             | 2034-09-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Treasury, United States Department of                           | Treasury, United States Department of                           | CUSIP: 912828T91<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  25000000 | PA      | $24375000.00  | 1.52%             | 2023-10-31      | Fixed         | 1.63%                 | No            |                  2 | On Loan: No      |
| Treasury, United States Department of                           | Treasury, United States Department of                           | CUSIP: 91282CFQ9<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  10000000 | PA      | $9970312.00   | 0.62%             | 2024-10-31      | Fixed         | 4.38%                 | No            |                  2 | On Loan: No      |
| Bank 2020-BNK26                                                 | Bank 2020-BNK26                                                 | CUSIP: 06540JBG6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   5000000 | PA      | $4192398.50   | 0.26%             | 2030-02-15      | Fixed         | 2.40%                 | No            |                  2 | On Loan: No      |
| BNP Paribas                                                     | BNP Paribas                                                     | CUSIP: 09659W2N3<br>LEI: R0MUWSFPU8MPRO8K5P83 | Long             | DBT              | CORP              | US        |   6470000 | PA      | $5641102.42   | 0.35%             | 2027-01-13      | Fixed         | 1.32%                 | No            |                  2 | On Loan: No      |
| Boston Properties Limited Partnership                           | Boston Properties Limited Partnership                           | CUSIP: 10112RAY0<br>LEI: BVHHEFJI6SHNOKQT2572 | Long             | DBT              | CORP              | US        |   2580000 | PA      | $2322382.10   | 0.14%             | 2026-10-01      | Fixed         | 2.75%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corporation                          | Federal Home Loan Mortgage Corporation                          | CUSIP: 3137A0AV7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |    711792 | PA      | $721023.02    | 0.04%             | 2040-07-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corporation                          | Federal Home Loan Mortgage Corporation                          | CUSIP: 3137FQA37<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |   4471901 | PA      | $3964917.49   | 0.25%             | 2049-10-25      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corporation                          | Federal Home Loan Mortgage Corporation                          | CUSIP: 3137FQJK0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |   6462190 | PA      | $5659701.53   | 0.35%             | 2049-10-25      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association, Inc.                     | Federal National Mortgage Association, Inc.                     | CUSIP: 3138W2WH4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |   1956006 | PA      | $1775418.12   | 0.11%             | 2043-03-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association, Inc.                     | Federal National Mortgage Association, Inc.                     | CUSIP: 3138Y7C83<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |   2684720 | PA      | $2506417.00   | 0.16%             | 2045-11-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corporation                          | Federal Home Loan Mortgage Corporation                          | CUSIP: 31395JJS6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |     56432 | PA      | $56105.99     | 0.00%             | 2034-07-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corporation                          | Federal Home Loan Mortgage Corporation                          | CUSIP: 31396AVS0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |   2442238 | PA      | $2453416.98   | 0.15%             | 2035-02-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corporation                          | Federal Home Loan Mortgage Corporation                          | CUSIP: 31396GJN2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |    547492 | PA      | $548686.81    | 0.03%             | 2026-01-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association, Inc.                     | Federal National Mortgage Association, Inc.                     | CUSIP: 31407H3T1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |      2277 | PA      | $2369.30      | 0.00%             | 2036-06-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| SACO I Trust 2006-6                                             | SACO I Trust 2006-6                                             | CUSIP: 785779AA7<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     13478 | PA      | $13657.89     | 0.00%             | 2036-06-25      | Floating      | 4.65%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley Mortgage Loan Trust 2004-8AR                     | Morgan Stanley Mortgage Loan Trust 2004-8AR                     | CUSIP: 61748HEG2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     46930 | PA      | $41880.02     | 0.00%             | 2034-10-25      | Variable      | 3.79%                 | No            |                  2 | On Loan: No      |
| MultiCare Health System                                         | MultiCare Health System                                         | CUSIP: 62548LAA0<br>LEI: 549300OSCVFLGLKTTI33 | Long             | DBT              | CORP              | US        |   1250000 | PA      | $737987.04    | 0.05%             | 2050-08-15      | Fixed         | 2.80%                 | No            |                  2 | On Loan: No      |
| Nomura Credit & Capital, Inc.                                   | Nomura Credit & Capital, Inc.                                   | CUSIP: 62951MAA8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1253677 | PA      | $1008189.72   | 0.06%             | 2034-03-25      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corporation                          | Federal Home Loan Mortgage Corporation                          | CUSIP: 3133KJGM8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |   5014810 | PA      | $4454656.92   | 0.28%             | 2050-06-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association, Inc.                     | Federal National Mortgage Association, Inc.                     | CUSIP: 3136AY2C6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |   2107460 | PA      | $1973365.96   | 0.12%             | 2027-09-25      | Variable      | 2.93%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association, Inc.                     | Federal National Mortgage Association, Inc.                     | CUSIP: 31409YAS6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |      7993 | PA      | $8346.42      | 0.00%             | 2036-07-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association, Inc.                     | Federal National Mortgage Association, Inc.                     | CUSIP: 31409YGN1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |     13973 | PA      | $14550.63     | 0.00%             | 2036-07-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association, Inc.                     | Federal National Mortgage Association, Inc.                     | CUSIP: 31409YH91<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |      6502 | PA      | $6716.58      | 0.00%             | 2036-05-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                        | Government National Mortgage Association                        | CUSIP: 36291PBB1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      6792 | PA      | $7058.74      | 0.00%             | 2034-09-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                        | Government National Mortgage Association                        | CUSIP: 36291W6A4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      9727 | PA      | $10057.41     | 0.00%             | 2035-04-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                        | Government National Mortgage Association                        | CUSIP: 36291X3M9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     54275 | PA      | $56469.14     | 0.00%             | 2035-04-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Progress Residential 2020-SFR3 Trust                            | Progress Residential 2020-SFR3 Trust                            | CUSIP: 74333AAA8<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |  12952800 | PA      | $11475424.52  | 0.72%             | 2025-10-17      | Fixed         | 1.29%                 | No            |                  2 | On Loan: No      |
| UBS-BAMLL Trust                                                 | UBS-BAMLL Trust                                                 | CUSIP: 90269PAA9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    144507 | PA      | $131436.56    | 0.01%             | 2030-06-12      | Fixed         | 3.66%                 | No            |                  2 | On Loan: No      |
| Treasury, United States Department of                           | Treasury, United States Department of                           | CUSIP: 9128284A5<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  20000000 | PA      | $19937500.00  | 1.24%             | 2023-02-28      | Fixed         | 2.63%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association, Inc.                     | Federal National Mortgage Association, Inc.                     | CUSIP: 3136AASU0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |   2769246 | PA      | $2531173.09   | 0.16%             | 2032-12-25      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association, Inc.                     | Federal National Mortgage Association, Inc.                     | CUSIP: 3136AGG48<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |   6841457 | PA      | $6449515.16   | 0.40%             | 2033-10-25      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corporation                          | Federal Home Loan Mortgage Corporation                          | CUSIP: 3137AQSD1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |   2624161 | PA      | $2568121.24   | 0.16%             | 2041-01-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corporation                          | Federal Home Loan Mortgage Corporation                          | CUSIP: 3137BLMZ8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |   8067000 | PA      | $7703035.51   | 0.48%             | 2025-07-25      | Fixed         | 3.01%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corporation                          | Federal Home Loan Mortgage Corporation                          | CUSIP: 3137BPFL8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |   5594000 | PA      | $4492034.58   | 0.28%             | 2046-05-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corporation                          | Federal Home Loan Mortgage Corporation                          | CUSIP: 3137GAU39<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |    310036 | PA      | $309076.07    | 0.02%             | 2030-10-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association, Inc.                     | Federal National Mortgage Association, Inc.                     | CUSIP: 3138LCQM0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |  19672307 | PA      | $18842625.70  | 1.17%             | 2025-12-01      | Fixed         | 3.03%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association, Inc.                     | Federal National Mortgage Association, Inc.                     | CUSIP: 3140LGR53<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |   1822000 | PA      | $1670903.91   | 0.10%             | 2032-06-01      | Fixed         | 3.54%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association, Inc.                     | Federal National Mortgage Association, Inc.                     | CUSIP: 3140XG6Y0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |   8517620 | PA      | $7548236.36   | 0.47%             | 2052-04-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association, Inc.                     | Federal National Mortgage Association, Inc.                     | CUSIP: 3140XHH59<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |  10407889 | PA      | $9473130.09   | 0.59%             | 2052-04-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association, Inc.                     | Federal National Mortgage Association, Inc.                     | CUSIP: 3140XJLS0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |  23779487 | PA      | $23173911.11  | 1.44%             | 2052-10-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association, Inc.                     | Federal National Mortgage Association, Inc.                     | CUSIP: 31412BGV8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |     67042 | PA      | $69093.22     | 0.00%             | 2036-10-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                        | Government National Mortgage Association                        | CUSIP: 36200NBT7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      1252 | PA      | $1295.11      | 0.00%             | 2034-01-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                        | Government National Mortgage Association                        | CUSIP: 38375B4Y5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   3767832 | PA      | $3745433.19   | 0.23%             | 2063-07-20      | Floating      | 4.38%                 | No            |                  2 | On Loan: No      |
| Structured Asset Mortgage Investments II Trust 2006-AR7         | Structured Asset Mortgage Investments II Trust 2006-AR7         | CUSIP: 86361HAA2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    255178 | PA      | $197024.86    | 0.01%             | 2036-08-25      | Floating      | 4.81%                 | No            |                  2 | On Loan: No      |
| Treasury, United States Department of                           | Treasury, United States Department of                           | CUSIP: 912810RD2<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  40000000 | PA      | $37468752.00  | 2.34%             | 2043-11-15      | Fixed         | 3.75%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association, Inc.                     | Federal National Mortgage Association, Inc.                     | CUSIP: 3140QM4Y7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |   7403731 | PA      | $6292761.95   | 0.39%             | 2052-01-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association, Inc.                     | Federal National Mortgage Association, Inc.                     | CUSIP: 3140XJTT0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |  15962211 | PA      | $14145564.13  | 0.88%             | 2052-09-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                        | Government National Mortgage Association                        | CUSIP: 36210YRU1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       174 | PA      | $177.52       | 0.00%             | 2029-04-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                        | Government National Mortgage Association                        | CUSIP: 36213EAG1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       221 | PA      | $227.53       | 0.00%             | 2032-05-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Protective Life Global Funding                                  | Protective Life Global Funding                                  | CUSIP: 74368CAX2<br>LEI: 635400EVYITCJYWL2I50 | Long             | DBT              | CORP              | US        |   7790000 | PA      | $7004342.67   | 0.44%             | 2025-07-15      | Fixed         | 1.17%                 | No            |                  2 | On Loan: No      |
| Treasury, United States Department of                           | Treasury, United States Department of                           | CUSIP: 912810RM2<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  27500000 | PA      | $22648829.50  | 1.41%             | 2045-05-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Treasury, United States Department of                           | Treasury, United States Department of                           | CUSIP: 91282CDY4<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  15000000 | PA      | $12712500.00  | 0.79%             | 2032-02-15      | Fixed         | 1.88%                 | No            |                  2 | On Loan: No      |
| KeyBank National Association                                    | KeyBank National Association                                    | CUSIP: 49327M3F9<br>LEI: HUX2X73FUCYHUVH1BK78 | Long             | DBT              | CORP              | US        |   8000000 | PA      | $8233375.60   | 0.51%             | 2027-11-15      | Fixed         | 5.85%                 | No            |                  2 | On Loan: No      |
| Nutrien Ltd.                                                    | Nutrien Ltd.                                                    | CUSIP: 67077MAY4<br>LEI: 5493002QQ7GD21OWF963 | Long             | DBT              | CORP              | US        |   1225000 | PA      | $1247613.99   | 0.08%             | 2025-11-07      | Fixed         | 5.95%                 | No            |                  2 | On Loan: No      |
| Penske Truck Leasing Co., L.P.                                  | Penske Truck Leasing Co., L.P.                                  | CUSIP: 709599BR4<br>LEI: 549300ZX07JYMI8GHQ39 | Long             | DBT              | CORP              | US        |   5000000 | PA      | $5037558.30   | 0.31%             | 2027-11-15      | Fixed         | 5.88%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corporation                          | Federal Home Loan Mortgage Corporation                          | CUSIP: 31329NGV4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |   4369468 | PA      | $4051964.62   | 0.25%             | 2046-09-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association, Inc.                     | Federal National Mortgage Association, Inc.                     | CUSIP: 31371MY92<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |      1977 | PA      | $2062.49      | 0.00%             | 2036-10-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corporation                          | Federal Home Loan Mortgage Corporation                          | CUSIP: 31335A5C8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |   2348412 | PA      | $2122584.41   | 0.13%             | 2047-01-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corporation                          | Federal Home Loan Mortgage Corporation                          | CUSIP: 3133A42T2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |   9057856 | PA      | $7765195.81   | 0.48%             | 2050-05-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association, Inc.                     | Federal National Mortgage Association, Inc.                     | CUSIP: 31398GA33<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |     64249 | PA      | $63391.01     | 0.00%             | 2040-02-25      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association, Inc.                     | Federal National Mortgage Association, Inc.                     | CUSIP: 31384WCC2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |       232 | PA      | $244.92       | 0.00%             | 2031-01-01      | Fixed         | 8.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association, Inc.                     | Federal National Mortgage Association, Inc.                     | CUSIP: 31385V5J6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |       717 | PA      | $759.20       | 0.00%             | 2030-10-01      | Fixed         | 8.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association, Inc.                     | Federal National Mortgage Association, Inc.                     | CUSIP: 31386M3S7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |      2499 | PA      | $2661.24      | 0.00%             | 2031-02-01      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association, Inc.                     | Federal National Mortgage Association, Inc.                     | CUSIP: 3138LCT54<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |   7500000 | PA      | $7186785.00   | 0.45%             | 2026-01-01      | Fixed         | 3.10%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association, Inc.                     | Federal National Mortgage Association, Inc.                     | CUSIP: 3138LCTQ8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |  10577761 | PA      | $10058866.89  | 0.63%             | 2026-01-01      | Fixed         | 2.94%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association, Inc.                     | Federal National Mortgage Association, Inc.                     | CUSIP: 3140X5V75<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |   2140339 | PA      | $1903270.15   | 0.12%             | 2050-02-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association, Inc.                     | Federal National Mortgage Association, Inc.                     | CUSIP: 3140X86L6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |   8677768 | PA      | $8309029.59   | 0.52%             | 2047-11-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| State Street Corporation                                        | State Street Corporation                                        | CUSIP: 857477BN2<br>LEI: 549300ZFEEJ2IP5VME73 | Long             | DBT              | CORP              | US        |   2000000 | PA      | $1758956.88   | 0.11%             | 2031-03-30      | Fixed         | 3.15%                 | No            |                  2 | On Loan: No      |
| Toyota Motor Credit Corporation                                 | Toyota Motor Credit Corporation                                 | CUSIP: 89236TKL8<br>LEI: Z2VZBHUMB7PWWJ63I008 | Long             | DBT              | CORP              | US        |   3500000 | PA      | $3582731.29   | 0.22%             | 2027-11-10      | Fixed         | 5.45%                 | No            |                  2 | On Loan: No      |
| FHLBanks Office of Finance                                      | FHLBanks Office of Finance                                      | CUSIP: 3133XG6E9<br>LEI: 2549001DPIFGXC1TOL40 | Long             | DBT              | USGA              | US        |   5000000 | PA      | $5227174.00   | 0.33%             | 2026-06-12      | Fixed         | 5.75%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association, Inc.                     | Federal National Mortgage Association, Inc.                     | CUSIP: 3136ARX86<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |   5617703 | PA      | $5127587.06   | 0.32%             | 2036-05-25      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corporation                          | Federal Home Loan Mortgage Corporation                          | CUSIP: 3137ASW26<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |   2500000 | PA      | $2310924.00   | 0.14%             | 2042-08-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corporation                          | Federal Home Loan Mortgage Corporation                          | CUSIP: 3137B2G87<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |   3474454 | PA      | $3191850.95   | 0.20%             | 2033-05-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corporation                          | Federal Home Loan Mortgage Corporation                          | CUSIP: 3137BGD55<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |   5143000 | PA      | $4184629.72   | 0.26%             | 2045-02-15      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corporation                          | Federal Home Loan Mortgage Corporation                          | CUSIP: 3137BKLV0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |   3715000 | PA      | $3176973.27   | 0.20%             | 2045-07-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corporation                          | Federal Home Loan Mortgage Corporation                          | CUSIP: 3137FQXD0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |   5567742 | PA      | $4902955.48   | 0.31%             | 2049-09-25      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association, Inc.                     | Federal National Mortgage Association, Inc.                     | CUSIP: 31417YSA6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |    136026 | PA      | $134174.03    | 0.01%             | 2025-09-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association, Inc.                     | Federal National Mortgage Association, Inc.                     | CUSIP: 31418AQ35<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |   5089213 | PA      | $4732133.29   | 0.29%             | 2043-03-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association, Inc.                     | Federal National Mortgage Association, Inc.                     | CUSIP: 31418MUN0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |   2886831 | PA      | $2916335.76   | 0.18%             | 2039-12-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association, Inc.                     | Federal National Mortgage Association, Inc.                     | CUSIP: 31418PFK6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |    181964 | PA      | $179684.62    | 0.01%             | 2025-02-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association, Inc.                     | Federal National Mortgage Association, Inc.                     | CUSIP: 31419JR83<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |   1699187 | PA      | $1719817.20   | 0.11%             | 2040-11-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                        | Government National Mortgage Association                        | CUSIP: 36211SD95<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     47926 | PA      | $49684.54     | 0.00%             | 2035-05-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Progress Residential 2022-SFR3 Trust                            | Progress Residential 2022-SFR3 Trust                            | CUSIP: 74331UAA6<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |   4080000 | PA      | $3676713.22   | 0.23%             | 2027-04-19      | Variable      | 3.20%                 | No            |                  2 | On Loan: No      |
| Treasury, United States Department of                           | Treasury, United States Department of                           | CUSIP: 9128282R0<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  40000000 | PA      | $36993752.00  | 2.31%             | 2027-08-15      | Fixed         | 2.25%                 | No            |                  2 | On Loan: No      |
| Treasury, United States Department of                           | Treasury, United States Department of                           | CUSIP: 91282CAL5<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  15000000 | PA      | $12639843.00  | 0.79%             | 2027-09-30      | Fixed         | 0.38%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association, Inc.                     | Federal National Mortgage Association, Inc.                     | CUSIP: 3136AW5J2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |   3511874 | PA      | $3178682.31   | 0.20%             | 2047-07-25      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association, Inc.                     | Federal National Mortgage Association, Inc.                     | CUSIP: 3136AYEY5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |   5061314 | PA      | $4405128.31   | 0.27%             | 2037-10-25      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association, Inc.                     | Federal National Mortgage Association, Inc.                     | CUSIP: 31371H4K1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |       788 | PA      | $828.34       | 0.00%             | 2029-12-01      | Fixed         | 8.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association, Inc.                     | Federal National Mortgage Association, Inc.                     | CUSIP: 31371JXB5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |       239 | PA      | $255.07       | 0.00%             | 2031-03-01      | Fixed         | 8.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association, Inc.                     | Federal National Mortgage Association, Inc.                     | CUSIP: 31393XV87<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |   2274420 | PA      | $2244331.00   | 0.14%             | 2034-05-25      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Resolution Funding Corporation                                  | Resolution Funding Corporation                                  | CUSIP: 76116FAB3<br>LEI: N/A                  | Long             | DBT              | USGA              | US        |  20660000 | PA      | $15051196.34  | 0.94%             | 2030-01-15      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corporation                          | Federal Home Loan Mortgage Corporation                          | CUSIP: 3137AKV32<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |   1154948 | PA      | $1126384.53   | 0.07%             | 2031-04-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corporation                          | Federal Home Loan Mortgage Corporation                          | CUSIP: 3137BCP85<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |   3334662 | PA      | $3112049.25   | 0.19%             | 2040-01-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corporation                          | Federal Home Loan Mortgage Corporation                          | CUSIP: 3137FWGJ3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |   4620048 | PA      | $4326669.39   | 0.27%             | 2050-05-25      | Variable      | 1.17%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corporation                          | Federal Home Loan Mortgage Corporation                          | CUSIP: 3137H7QH9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |   4265000 | PA      | $3658409.95   | 0.23%             | 2032-05-25      | Fixed         | 2.58%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association, Inc.                     | Federal National Mortgage Association, Inc.                     | CUSIP: 31410CAN2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |      7417 | PA      | $7618.95      | 0.00%             | 2036-06-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                        | Government National Mortgage Association                        | CUSIP: 38374EW60<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    520802 | PA      | $528958.98    | 0.03%             | 2033-12-16      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                        | Government National Mortgage Association                        | CUSIP: 38374UC74<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1221869 | PA      | $1205646.82   | 0.08%             | 2039-06-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Treasury, United States Department of                           | Treasury, United States Department of                           | CUSIP: 912810SJ8<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   5000000 | PA      | $3520312.50   | 0.22%             | 2049-08-15      | Fixed         | 2.25%                 | No            |                  2 | On Loan: No      |
| Treasury, United States Department of                           | Treasury, United States Department of                           | CUSIP: 9128286A3<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  25000000 | PA      | $23886720.00  | 1.49%             | 2026-01-31      | Fixed         | 2.63%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association, Inc.                     | Federal National Mortgage Association, Inc.                     | CUSIP: 31394AP59<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |     73006 | PA      | $72585.54     | 0.00%             | 2024-10-25      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association, Inc.                     | Federal National Mortgage Association, Inc.                     | CUSIP: 31394UPE6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |   1024083 | PA      | $1044883.72   | 0.07%             | 2035-11-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corporation                          | Federal Home Loan Mortgage Corporation                          | CUSIP: 31283HPA7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |       138 | PA      | $145.89       | 0.00%             | 2031-10-01      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corporation                          | Federal Home Loan Mortgage Corporation                          | CUSIP: 31283HQ32<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |      4413 | PA      | $4675.78      | 0.00%             | 2032-03-01      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corporation                          | Federal Home Loan Mortgage Corporation                          | CUSIP: 31283HR72<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |       421 | PA      | $445.09       | 0.00%             | 2032-04-01      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corporation                          | Federal Home Loan Mortgage Corporation                          | CUSIP: 31287TPP4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |       187 | PA      | $197.65       | 0.00%             | 2032-06-01      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association, Inc.                     | Federal National Mortgage Association, Inc.                     | CUSIP: 3136B5RA5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |  14861000 | PA      | $13140527.17  | 0.82%             | 2048-04-25      | Fixed         | 3.07%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association, Inc.                     | Federal National Mortgage Association, Inc.                     | CUSIP: 3136B5VN2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |  10721965 | PA      | $9648749.96   | 0.60%             | 2049-07-25      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association, Inc.                     | Federal National Mortgage Association, Inc.                     | CUSIP: 3136B6ZZ9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |   6418277 | PA      | $5863419.18   | 0.37%             | 2046-07-25      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association, Inc.                     | Federal National Mortgage Association, Inc.                     | CUSIP: 31398F7A3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |    166985 | PA      | $173055.38    | 0.01%             | 2049-12-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association, Inc.                     | Federal National Mortgage Association, Inc.                     | CUSIP: 31410SNJ2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |      4261 | PA      | $4390.39      | 0.00%             | 2036-07-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Treasury, United States Department of                           | Treasury, United States Department of                           | CUSIP: 912828ZB9<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  65000000 | PA      | $57778903.00  | 3.60%             | 2027-02-28      | Fixed         | 1.13%                 | No            |                  2 | On Loan: No      |
| Treasury, United States Department of                           | Treasury, United States Department of                           | CUSIP: 912828ZC7<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  75000000 | PA      | $69996090.00  | 4.36%             | 2025-02-28      | Fixed         | 1.13%                 | No            |                  2 | On Loan: No      |
| Treasury, United States Department of                           | Treasury, United States Department of                           | CUSIP: 912828ZE3<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  25000000 | PA      | $21691405.00  | 1.35%             | 2027-03-31      | Fixed         | 0.63%                 | No            |                  2 | On Loan: No      |
| Treasury, United States Department of                           | Treasury, United States Department of                           | CUSIP: 91282CDL2<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  25000000 | PA      | $21703125.00  | 1.35%             | 2028-11-30      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association, Inc.                     | Federal National Mortgage Association, Inc.                     | CUSIP: 3136ANYX9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |   2139599 | PA      | $2021284.74   | 0.13%             | 2034-09-25      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association, Inc.                     | Federal National Mortgage Association, Inc.                     | CUSIP: 3136AP2K7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |   8035303 | PA      | $7510841.14   | 0.47%             | 2035-08-25      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association, Inc.                     | Federal National Mortgage Association, Inc.                     | CUSIP: 3136APBP6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |   9979782 | PA      | $9150324.39   | 0.57%             | 2035-06-25      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association, Inc.                     | Federal National Mortgage Association, Inc.                     | CUSIP: 31407YER6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |     13183 | PA      | $13278.73     | 0.00%             | 2035-12-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                        | Government National Mortgage Association                        | CUSIP: 38379VPS7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1284000 | PA      | $1124570.21   | 0.07%             | 2046-02-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                        | Government National Mortgage Association                        | CUSIP: 38380V3Y5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-CBDO         | USGA              | US        |   4713586 | PA      | $3711166.05   | 0.23%             | 2048-03-20      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| Healthpeak Properties, Inc.                                     | Healthpeak Properties, Inc.                                     | CUSIP: 40414LAM1<br>LEI: PZ9HF5U52KPF0MH0QN75 | Long             | DBT              | CORP              | US        |     93000 | PA      | $89401.80     | 0.01%             | 2025-02-01      | Fixed         | 3.40%                 | No            |                  2 | On Loan: No      |

### Signature

**Date Signed:** 2023-02-28

**Name of Applicant:** JNL Series Trust

**Signature:** Andrew Tedeschi

**Name of Signer:** Andrew Tedeschi

**Title:** Principal Financial Officer