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REPO TRIPA MORTG 0.05 11/01/2021 TRIPARTY2 U.S. Government Agency Repurchase Agreement, collateralized only by U.S. Government Agency securities, U.S. Treasuries, and cash Y N GNMA 2030-04-20 3.0000% 797832.41 147317.05 Agency Mortgage-Backed Securities GNMA 2046-09-20 5.0000% 743984.47 172576.42 Agency Mortgage-Backed Securities GNMA 2046-10-20 3.0000% 599987.20 171162.23 Agency Mortgage-Backed Securities GNMA 2047-01-20 3.0000% 522021.75 158852.03 Agency Mortgage-Backed Securities GNMA 2051-03-20 4.5000% 190268.91 176795.21 Agency Mortgage-Backed Securities GNMA 2050-08-20 4.0000% 159593.61 153614.82 Agency Mortgage-Backed Securities GNMA 2050-08-20 4.0000% 266512.96 190641.05 Agency Mortgage-Backed Securities GNMA 2050-08-20 4.0000% 168541.14 181292.18 Agency Mortgage-Backed Securities GNMA 2050-08-20 4.0000% 136688.24 148369.53 Agency Mortgage-Backed Securities GNMA 2050-08-20 4.0000% 141555.34 153191.79 Agency Mortgage-Backed Securities GNMA 2050-11-20 2.0000% 151588.16 147275.37 Agency Mortgage-Backed Securities GNMA 2051-04-20 2.5000% 163049.34 166077.35 Agency Mortgage-Backed Securities GNMA 2051-04-20 2.5000% 182282.21 186885.56 Agency Mortgage-Backed Securities GNMA 2051-08-20 2.5000% 153881.85 159275.47 Agency Mortgage-Backed Securities GNMA 2051-08-20 3.5000% 134921.52 146216.46 Agency Mortgage-Backed Securities GNMA 2051-02-20 2.0000% 158145.94 156880.43 Agency Mortgage-Backed Securities GNMA 2051-04-20 2.5000% 149854.47 154725.17 Agency Mortgage-Backed Securities GNMA 2051-04-20 2.5000% 149890.21 154378.47 Agency Mortgage-Backed Securities GNMA 2051-02-20 3.5000% 176155.81 170817.42 Agency Mortgage-Backed Securities GNMA 2051-05-20 3.5000% 162329.14 174454.30 Agency Mortgage-Backed Securities GNMA 2051-04-20 3.5000% 2541.26 2750.28 Agency Mortgage-Backed Securities GNMA 2051-06-20 3.0000% 193568.50 200122.97 Agency Mortgage-Backed Securities GNMA 2051-07-20 2.5000% 139573.52 144646.04 Agency Mortgage-Backed Securities GNMA 2051-08-20 3.0000% 170847.83 181146.44 Agency Mortgage-Backed Securities GNMA 2051-08-20 3.5000% 164178.59 174695.64 Agency Mortgage-Backed Securities GNMA 2051-10-20 2.5000% 165024.13 171989.71 Agency Mortgage-Backed Securities GNMA 2051-10-20 2.5000% 186471.23 193994.30 Agency Mortgage-Backed Securities GNMA 2051-10-20 2.5000% 187077.26 193346.30 Agency Mortgage-Backed Securities GNMA 2051-08-20 3.0000% 169850.06 176302.55 Agency Mortgage-Backed Securities GNMA 2051-09-20 3.5000% 180889.67 194559.61 Agency Mortgage-Backed Securities GNMA 2051-09-20 3.5000% 167277.21 181469.29 Agency Mortgage-Backed Securities GNMA 2051-09-20 3.5000% 140938.93 152936.43 Agency Mortgage-Backed Securities GNMA 2051-08-20 3.5000% 134007.84 143901.84 Agency Mortgage-Backed Securities GNMA 2051-08-20 3.0000% 159412.02 168801.31 Agency Mortgage-Backed Securities GNMA 2051-09-20 3.0000% 163698.77 174368.71 Agency Mortgage-Backed Securities GNMA 2051-10-20 2.5000% 146729.92 154017.03 Agency Mortgage-Backed Securities GNMA 2051-10-20 2.5000% 161053.64 167851.63 Agency Mortgage-Backed Securities GNMA 2051-10-20 2.5000% 144039.31 149403.39 Agency Mortgage-Backed Securities GNMA 2051-10-20 2.5000% 155899.88 161124.63 Agency Mortgage-Backed Securities GNMA 2051-10-20 2.5000% 169471.09 175150.48 Agency Mortgage-Backed Securities GNMA 2051-08-20 2.5000% 156788.67 162469.22 Agency Mortgage-Backed Securities GNMA 2051-08-20 2.5000% 166064.59 172456.31 Agency Mortgage-Backed Securities GNMA 2051-09-20 3.0000% 189636.94 197173.18 Agency Mortgage-Backed Securities GNMA 2051-09-20 3.0000% 180108.43 191614.97 Agency Mortgage-Backed Securities GNMA 2051-09-20 3.0000% 148381.67 157641.03 Agency Mortgage-Backed Securities GNMA 2051-09-20 3.0000% 135288.20 143722.12 Agency Mortgage-Backed Securities GNMA 2051-09-20 2.5000% 153546.28 160311.62 Agency Mortgage-Backed Securities GNMA 2051-10-20 3.0000% 172551.52 186395.04 Agency Mortgage-Backed Securities GNMA 2051-10-20 3.0000% 172719.23 184270.57 Agency Mortgage-Backed Securities GNMA 2051-10-20 3.0000% 171613.75 183091.34 Agency Mortgage-Backed Securities GNMA 2051-10-20 2.5000% 143012.42 147272.11 Agency Mortgage-Backed Securities GNMA 2051-08-20 3.5000% 163824.59 175904.33 Agency Mortgage-Backed Securities GNMA 2051-07-20 3.5000% 147160.27 157796.45 Agency Mortgage-Backed Securities GNMA 2051-09-20 3.0000% 165861.70 172420.49 Agency Mortgage-Backed Securities GNMA 2051-10-20 2.5000% 182011.58 189355.10 Agency Mortgage-Backed Securities GNMA 2051-09-20 3.0000% 149419.65 158724.43 Agency Mortgage-Backed Securities GNMA 2051-09-20 3.0000% 152708.71 163236.16 Agency Mortgage-Backed Securities GNMA 2051-09-20 3.5000% 147119.74 154412.42 Agency Mortgage-Backed Securities GNMA 2051-09-20 3.0000% 167531.32 177989.94 Agency Mortgage-Backed Securities GNMA 2051-09-20 3.0000% 178887.91 191220.67 Agency Mortgage-Backed Securities GNMA 2051-09-20 3.5000% 139756.30 151884.29 Agency Mortgage-Backed Securities GNMA 2051-09-20 3.5000% 145032.05 157792.23 Agency Mortgage-Backed Securities GNMA 2051-08-20 2.5000% 139417.30 145232.22 Agency Mortgage-Backed Securities GNMA 2051-09-20 3.0000% 142772.11 149597.73 Agency Mortgage-Backed Securities GNMA 2051-09-20 2.5000% 164660.40 171895.76 Agency Mortgage-Backed Securities GNMA 2051-08-20 2.5000% 176834.77 182598.39 Agency Mortgage-Backed Securities GNMA 2051-08-20 3.5000% 149168.49 157523.62 Agency Mortgage-Backed Securities GNMA 2051-09-20 2.5000% 153842.59 158153.62 Agency Mortgage-Backed Securities GNMA 2051-09-20 2.5000% 190542.72 197792.26 Agency Mortgage-Backed Securities GNMA 2051-08-20 3.5000% 186796.98 195736.48 Agency Mortgage-Backed Securities GNMA 2051-08-20 3.0000% 133650.01 144277.37 Agency Mortgage-Backed Securities GNMA 2051-09-20 2.5000% 141122.99 146802.98 Agency Mortgage-Backed Securities GNMA 2051-09-20 2.5000% 166690.89 173110.77 Agency Mortgage-Backed Securities GNMA 2051-08-20 3.0000% 168024.46 174413.57 Agency Mortgage-Backed Securities GNMA 2051-09-20 3.0000% 145520.16 156176.51 Agency Mortgage-Backed Securities GNMA 2051-10-20 2.5000% 187209.86 193832.68 Agency Mortgage-Backed Securities GNMA 2051-10-20 2.5000% 167135.60 173878.93 Agency Mortgage-Backed Securities GNMA 2051-10-20 3.0000% 170788.63 180408.70 Agency Mortgage-Backed Securities GNMA 2051-10-20 3.0000% 157412.65 167940.15 Agency Mortgage-Backed Securities GNMA 2051-10-20 3.0000% 146980.84 156400.15 Agency Mortgage-Backed Securities GNMA 2051-09-20 3.0000% 154855.76 165510.80 Agency Mortgage-Backed Securities GNMA 2051-09-20 2.5000% 171385.41 176186.97 Agency Mortgage-Backed Securities GNMA 2051-09-20 3.0000% 182374.76 193758.13 Agency Mortgage-Backed Securities GNMA 2051-09-20 3.0000% 146992.80 157115.82 Agency Mortgage-Backed Securities GNMA 2051-09-20 3.0000% 170832.83 180170.49 Agency Mortgage-Backed Securities GNMA 2051-09-20 3.0000% 155246.70 161508.10 Agency Mortgage-Backed Securities GNMA 2051-09-20 2.5000% 142354.76 148393.38 Agency Mortgage-Backed Securities GNMA 2051-10-20 3.5000% 164914.99 177635.25 Agency Mortgage-Backed Securities GNMA 2051-09-20 3.0000% 171249.94 178036.12 Agency Mortgage-Backed Securities GNMA 2051-10-20 3.5000% 139670.54 152695.82 Agency Mortgage-Backed Securities GNMA 2051-09-20 2.5000% 169207.09 173925.55 Agency Mortgage-Backed Securities GNMA 2051-09-20 2.5000% 150114.08 155886.47 Agency Mortgage-Backed Securities GNMA 2051-10-20 3.0000% 153054.33 162435.54 Agency Mortgage-Backed Securities GNMA 2051-09-20 3.0000% 154478.23 164544.30 Agency Mortgage-Backed Securities GNMA 2051-09-20 2.5000% 148344.41 154055.15 Agency Mortgage-Backed Securities GNMA 2051-10-20 2.5000% 152345.06 159343.10 Agency Mortgage-Backed Securities GNMA 2051-10-20 2.5000% 177486.20 186300.06 Agency Mortgage-Backed Securities GNMA 2051-10-20 2.5000% 189697.90 196055.14 Agency Mortgage-Backed Securities GNMA 2051-10-20 3.5000% 160342.13 175294.55 Agency Mortgage-Backed Securities GNMA 2051-09-20 3.0000% 140032.59 145590.77 Agency Mortgage-Backed Securities GNMA 2051-10-20 2.5000% 156966.67 163299.40 Agency Mortgage-Backed Securities GNMA 2051-10-20 2.5000% 158747.11 164658.60 Agency Mortgage-Backed Securities GNMA 2051-08-20 2.5000% 164362.49 170691.90 Agency Mortgage-Backed Securities GNMA 2051-10-20 3.0000% 172204.71 184362.59 Agency Mortgage-Backed Securities GNMA 2051-09-20 3.0000% 171733.43 181649.38 Agency Mortgage-Backed Securities GNMA 2051-09-20 3.5000% 69772.20 75741.38 Agency Mortgage-Backed Securities GNMA 2051-08-20 3.0000% 134962.29 143364.44 Agency Mortgage-Backed Securities GNMA 2051-10-20 3.5000% 161954.00 176053.26 Agency Mortgage-Backed Securities GNMA 2051-10-20 2.5000% 194091.16 199872.06 Agency Mortgage-Backed Securities GNMA 2051-10-20 3.0000% 191121.23 199038.68 Agency Mortgage-Backed Securities GNMA 2051-10-20 3.0000% 191863.38 199811.57 Agency Mortgage-Backed Securities GNMA 2051-10-20 2.5000% 175470.31 181568.69 Agency Mortgage-Backed Securities GNMA 2051-10-20 2.5000% 154553.22 159156.50 Agency Mortgage-Backed Securities GNMA 2051-10-20 2.5000% 140513.13 146967.80 Agency Mortgage-Backed Securities GNMA 2051-10-20 2.5000% 170889.08 176615.99 Agency Mortgage-Backed Securities GNMA 2051-10-20 3.0000% 147577.69 154886.08 Agency Mortgage-Backed Securities GNMA 2051-10-20 2.5000% 186819.24 192383.55 Agency Mortgage-Backed Securities GNMA 2051-10-20 2.5000% 174767.02 182794.85 Agency Mortgage-Backed Securities GNMA 2051-10-20 2.5000% 174468.95 181507.98 Agency Mortgage-Backed Securities GNMA 2051-10-20 2.5000% 180205.69 185573.01 Agency Mortgage-Backed Securities GNMA 2051-10-20 3.0000% 184511.91 192156.11 Agency Mortgage-Backed Securities GNMA 2051-10-20 2.5000% 180575.24 187299.77 Agency Mortgage-Backed Securities GNMA 2051-10-20 3.0000% 140365.85 146180.69 Agency Mortgage-Backed Securities GNMA 2051-10-20 2.5000% 190841.83 197474.43 Agency Mortgage-Backed Securities GNMA 2051-10-20 2.5000% 165466.53 172142.19 Agency Mortgage-Backed Securities GNMA 2051-10-20 2.5000% 157526.26 163392.30 Agency Mortgage-Backed Securities GNMA 2051-10-20 2.5000% 187728.93 195652.67 Agency Mortgage-Backed Securities GNMA 2051-10-20 2.5000% 140798.67 147266.60 Agency Mortgage-Backed Securities GNMA 2051-10-20 3.0000% 142653.23 154097.49 Agency Mortgage-Backed Securities GNMA 2051-10-20 3.5000% 167904.39 184395.66 Agency Mortgage-Backed Securities GNMA 2051-10-20 2.5000% 157837.90 164500.15 Agency Mortgage-Backed Securities GNMA 2051-10-20 3.0000% 161341.58 171681.05 Agency Mortgage-Backed Securities GNMA 2051-10-20 3.0000% 163407.09 173878.92 Agency Mortgage-Backed Securities Y 2021-11-01 2021-11-01 2021-11-01 N N N 0.0005 21893000.00 21893000.00 0.2750 N Y Y N N/A CITIGROUP GLOBAL MARKETS INC. REPO TRIPA MORTG 0.06 11/01/2021 TRIPARTY2 U.S. Government Agency Repurchase Agreement, collateralized only by U.S. Government Agency securities, U.S. Treasuries, and cash Y N FMAC 2047-04-01 2.5800% 41643.53 17028.03 Agency Mortgage-Backed Securities FMAC 2040-07-01 2.1300% 1252085.77 16044.22 Agency Mortgage-Backed Securities FMAC 2037-09-01 2.1450% 1384092.83 55835.91 Agency Mortgage-Backed Securities FMAC 2035-09-01 2.2500% 2289401.65 31348.78 Agency Mortgage-Backed Securities FMAC 2036-07-01 2.2600% 2534442.73 49660.19 Agency Mortgage-Backed Securities FMAC 2038-11-01 2.1200% 206294.36 10787.68 Agency Mortgage-Backed Securities FMAC 2039-11-01 2.3550% 1556301.83 25506.69 Agency Mortgage-Backed Securities FMAC 2037-09-01 1.6940% 240850.12 18683.99 Agency Mortgage-Backed Securities FMAC 2037-08-01 2.0550% 400168.33 87526.25 Agency Mortgage-Backed Securities FMAC 2038-06-01 2.1970% 1205634.40 14073.00 Agency Mortgage-Backed Securities FMAC 2038-02-01 2.1310% 911892.49 37137.78 Agency Mortgage-Backed Securities FMAC 2039-12-01 2.0960% 16486.75 2782.41 Agency Mortgage-Backed Securities FMAC 2041-05-01 2.1450% 869385.07 20373.96 Agency Mortgage-Backed Securities FMAC 2041-10-01 2.3800% 572080.44 16596.82 Agency Mortgage-Backed Securities FMAC 2040-05-01 2.0310% 162204.33 4767.13 Agency Mortgage-Backed Securities FMAC 2040-09-01 2.0630% 1171742.42 19263.30 Agency Mortgage-Backed Securities FMAC 2044-10-01 1.8450% 963088.24 29785.32 Agency Mortgage-Backed Securities FMAC 2043-05-01 1.8800% 335864.35 7115.37 Agency Mortgage-Backed Securities FMAC 2043-06-01 1.9000% 352490.29 11787.71 Agency Mortgage-Backed Securities FNMA 2031-02-01 5.5390% 2454607.78 5918.31 Agency Mortgage-Backed Securities FNMA 2041-08-01 2.0000% 334698.51 23293.41 Agency Mortgage-Backed Securities FNMA 2041-07-01 2.0000% 183467.80 2883.89 Agency Mortgage-Backed Securities FNMA 2027-05-01 2.8310% 12520.15 7930.79 Agency Mortgage-Backed Securities FNMA 2045-08-01 1.8380% 372563.08 26370.09 Agency Mortgage-Backed Securities FNMA 2027-07-01 3.0680% 12520.15 12625.09 Agency Mortgage-Backed Securities FNMA 2022-08-01 2.3100% 5068.89 4886.11 Agency Mortgage-Backed Securities FNMA 2030-11-01 4.1800% 42840.55 44661.94 Agency Mortgage-Backed Securities FNMA 2034-09-01 3.7000% 30717.45 31030.07 Agency Mortgage-Backed Securities FNMA 2029-10-01 3.6300% 127218.89 125973.63 Agency Mortgage-Backed Securities FNMA 2030-02-01 3.5500% 63361.07 70602.99 Agency Mortgage-Backed Securities FNMA 2030-02-01 3.1700% 34102.04 34985.38 Agency Mortgage-Backed Securities FNMA 2027-03-01 3.0100% 17934.48 17156.60 Agency Mortgage-Backed Securities FNMA 2025-11-01 2.9900% 17487.65 18644.67 Agency Mortgage-Backed Securities FNMA 2035-12-01 3.5000% 108981.04 94131.50 Agency Mortgage-Backed Securities FNMA 2035-12-01 3.7600% 21542.76 22966.93 Agency Mortgage-Backed Securities FNMA 2025-12-01 3.2200% 274733.59 283432.05 Agency Mortgage-Backed Securities FNMA 2046-08-01 3.2400% 186602.65 203410.53 Agency Mortgage-Backed Securities FNMA 2036-12-01 3.0900% 81102.17 91179.06 Agency Mortgage-Backed Securities FNMA 2028-08-01 3.3200% 460240.76 456351.89 Agency Mortgage-Backed Securities FNMA 2028-12-01 3.1600% 315175.90 346346.72 Agency Mortgage-Backed Securities FNMA 2037-02-01 3.6900% 86171.05 88418.74 Agency Mortgage-Backed Securities FNMA 2033-03-01 3.3900% 60826.63 67646.39 Agency Mortgage-Backed Securities FNMA 2037-07-01 3.2100% 421680.58 461501.42 Agency Mortgage-Backed Securities FNMA 2037-09-01 3.4600% 228099.85 261555.50 Agency Mortgage-Backed Securities FNMA 2032-06-01 3.2600% 532891.93 576234.99 Agency Mortgage-Backed Securities FNMA 2047-09-01 3.4200% 57024.96 61139.59 Agency Mortgage-Backed Securities FNMA 2028-01-01 3.0800% 6589.55 7150.80 Agency Mortgage-Backed Securities FNMA 2027-12-01 3.1100% 210561.50 220457.66 Agency Mortgage-Backed Securities FNMA 2029-12-01 3.2250% 50688.85 56131.13 Agency Mortgage-Backed Securities FNMA 2030-01-01 3.1200% 25344.43 26093.22 Agency Mortgage-Backed Securities FNMA 2030-04-01 3.5150% 544144.85 610263.29 Agency Mortgage-Backed Securities FNMA 2048-04-01 3.7800% 431690.41 477321.95 Agency Mortgage-Backed Securities FNMA 2030-03-01 3.1100% 26358.20 28964.74 Agency Mortgage-Backed Securities FNMA 2028-02-01 3.1300% 516494.08 534542.68 Agency Mortgage-Backed Securities FNMA 2030-04-01 3.3300% 205239.17 216318.99 Agency Mortgage-Backed Securities FNMA 2033-05-01 3.6800% 587027.62 683795.15 Agency Mortgage-Backed Securities FNMA 2030-06-01 3.5800% 253444.27 287657.84 Agency Mortgage-Backed Securities FNMA 2048-07-01 4.0400% 101377.71 118427.43 Agency Mortgage-Backed Securities FNMA 2033-06-01 3.8800% 388783.51 427147.13 Agency Mortgage-Backed Securities FNMA 2047-09-01 3.0430% 101377.71 24190.17 Agency Mortgage-Backed Securities FNMA 2033-10-01 3.6900% 320860.45 373246.05 Agency Mortgage-Backed Securities FNMA 2028-09-01 3.7050% 53411.30 60280.62 Agency Mortgage-Backed Securities FNMA 2028-11-01 3.7200% 657197.68 744433.00 Agency Mortgage-Backed Securities FNMA 2028-11-01 3.7700% 25584.49 29099.60 Agency Mortgage-Backed Securities FNMA 2029-01-01 3.8300% 339024.29 387263.01 Agency Mortgage-Backed Securities FNMA 2029-01-01 3.7800% 395361.91 449331.19 Agency Mortgage-Backed Securities FNMA 2029-01-01 3.7100% 1636996.56 1857869.23 Agency Mortgage-Backed Securities FNMA 2029-01-01 3.6950% 751981.78 853439.83 Agency Mortgage-Backed Securities FNMA 2034-03-01 3.7400% 72890.57 85539.19 Agency Mortgage-Backed Securities FNMA 2029-02-01 3.6200% 860499.16 974000.34 Agency Mortgage-Backed Securities FNMA 2034-06-01 3.3700% 226011.01 255824.15 Agency Mortgage-Backed Securities FNMA 2031-05-01 3.5300% 280755.58 317617.54 Agency Mortgage-Backed Securities FNMA 2034-06-01 3.5600% 15543.33 17952.87 Agency Mortgage-Backed Securities FNMA 2037-08-01 1.7670% 1215105.82 454140.80 Agency Mortgage-Backed Securities FNMA 2048-05-01 2.6520% 1359947.25 822149.93 Agency Mortgage-Backed Securities FNMA 2047-03-01 1.9720% 29559.61 21776.79 Agency Mortgage-Backed Securities FNMA 2048-06-01 2.7980% 644337.10 513344.83 Agency Mortgage-Backed Securities FNMA 2033-04-01 2.2700% 53223.30 55289.83 Agency Mortgage-Backed Securities FNMA 2033-05-01 2.2100% 307681.35 316438.23 Agency Mortgage-Backed Securities FNMA 2033-06-01 2.1500% 189424.25 193691.45 Agency Mortgage-Backed Securities FNMA 2033-07-01 2.2000% 60319.74 61982.94 Agency Mortgage-Backed Securities FNMA 2033-07-01 2.0500% 69697.17 70803.71 Agency Mortgage-Backed Securities FNMA 2033-08-01 2.1100% 86171.05 88114.55 Agency Mortgage-Backed Securities FNMA 2033-09-01 1.9100% 423758.82 421160.57 Agency Mortgage-Backed Securities FNMA 2039-11-01 2.1250% 663236.64 13436.85 Agency Mortgage-Backed Securities FNMA 2040-01-01 2.2100% 422276.12 16913.49 Agency Mortgage-Backed Securities FNMA 2040-08-01 2.0400% 343467.68 17250.29 Agency Mortgage-Backed Securities GNMA 2063-09-20 4.6570% 7096.44 4930.11 Agency Mortgage-Backed Securities GNMA 2064-01-20 4.6220% 6589.55 3438.91 Agency Mortgage-Backed Securities GNMA 2064-04-20 4.6250% 10898.10 10407.47 Agency Mortgage-Backed Securities GNMA 2065-07-20 4.6690% 8617.11 2564.92 Agency Mortgage-Backed Securities GNMA 2060-06-15 4.4350% 257320.04 297872.10 Agency Mortgage-Backed Securities GNMA 2061-05-15 3.6600% 40835.30 44235.52 Agency Mortgage-Backed Securities GNMA 2062-11-15 2.6000% 25805.34 27087.23 Agency Mortgage-Backed Securities GNMA 2059-01-15 2.9000% 5484.84 5840.65 Agency Mortgage-Backed Securities GNMA 2058-10-15 3.0000% 1211.06 1292.61 Agency Mortgage-Backed Securities GNMA 2063-05-15 2.7200% 38940.70 40944.34 Agency Mortgage-Backed Securities GNMA 2065-04-20 4.5780% 3294.78 2655.13 Agency Mortgage-Backed Securities GNMA 2065-05-20 4.4510% 9630.88 7992.30 Agency Mortgage-Backed Securities GNMA 2027-03-20 3.0000% 608266.25 38435.74 Agency Mortgage-Backed Securities GNMA 2039-08-20 5.0000% 245131.30 4989.24 Agency Mortgage-Backed Securities GNMA 2039-12-20 5.0000% 1267221.36 26291.34 Agency Mortgage-Backed Securities GNMA 2040-10-20 4.0000% 245840.94 9258.93 Agency Mortgage-Backed Securities GNMA 2040-10-20 4.5000% 1520665.64 61584.67 Agency Mortgage-Backed Securities GNMA 2027-09-15 6.2500% 50368.65 7372.56 Agency Mortgage-Backed Securities GNMA 2068-07-20 4.4280% 123060.73 7873.11 Agency Mortgage-Backed Securities U.S. TREASURY 2022-08-15 7.2500% 1808755.74 1936808.08 U.S. Treasuries (including strips) U.S. TREASURY 2039-05-15 4.2500% 1793604.84 2483892.83 U.S. Treasuries (including strips) Y 2021-11-01 2021-11-01 2021-11-01 N N N 0.0006 21700000.00 21700000.00 0.2725 N Y Y N N/A ROYAL BANK OF CANADA REPO TRIPA MORTG 0.05 11/01/2021 TRIPARTY2 U.S. Government Agency Repurchase Agreement, collateralized only by U.S. Government Agency securities, U.S. Treasuries, and cash Y N U.S. TREASURY 2022-02-24 0.0000% 7353550.77 7352087.42 U.S. Treasuries (including strips) U.S. TREASURY 2039-05-15 4.2500% 446423.98 617606.46 U.S. Treasuries (including strips) U.S. TREASURY 2028-05-15 2.8750% 4774307.80 5274826.54 U.S. Treasuries (including strips) U.S. TREASURY 2022-03-31 0.3750% 139909.74 140123.34 U.S. Treasuries (including strips) U.S. TREASURY 2022-06-30 0.1250% 8744351.48 8749449.49 U.S. Treasuries (including strips) Y 2021-11-01 2021-11-01 2021-11-01 N N N 0.0005 21700000.00 21700000.00 0.2725 N Y Y N N/A Putnam Variable Trust 2021-11-04 /s/ Janet C. Smith Janet C. Smith Principal Accounting Officer