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Collateralized Mortgage Obligation GNMA_16-17 2043-11-20 4.500000 20365637.00 306130.92 Agency Collateralized Mortgage Obligation GNMA_16-90 2046-07-20 3.000000 18800000.00 12985602.65 Agency Collateralized Mortgage Obligation GNMA_13-170 2043-11-20 3.649870 10741000.00 431352.53 Agency Collateralized Mortgage Obligation FANNIE MAE B1V7KEBTPIMZEU4LTD58 2048-08-01 3.102000 10313908.00 10106832.18 Agency Mortgage-Backed Securities GNMA_18-53B 2040-06-20 4.029870 10006400.00 1428401.78 Agency Collateralized Mortgage Obligation GINNIE MAE II 2047-10-20 4.000000 6116240.00 5435709.08 Agency Mortgage-Backed Securities GINNIE MAE II 2047-10-20 4.000000 5539732.00 5346551.19 Agency Mortgage-Backed Securities GINNIE MAE I 2045-05-15 4.000000 5176310.00 3236531.37 Agency Mortgage-Backed Securities GINNIE MAE II 2040-05-20 3.625000 3000000.00 349312.17 Agency Mortgage-Backed Securities GNMA_15-94 2045-07-20 5.500000 2784202.00 287765.28 Agency Collateralized Mortgage Obligation GINNIE MAE II 2048-09-20 5.000000 1838993.00 1955512.63 Agency Mortgage-Backed Securities GINNIE MAE II 2041-11-20 3.125000 1775083.00 239187.11 Agency Mortgage-Backed Securities GINNIE MAE II 2043-11-20 3.000000 1379146.00 164250.44 Agency Mortgage-Backed Securities GINNIE MAE II 2034-03-20 3.375000 1305000.00 48772.48 Agency Mortgage-Backed Securities GINNIE MAE II 2042-10-20 3.125000 1300000.00 209808.97 Agency Mortgage-Backed Securities GINNIE MAE II 2037-01-20 3.375000 1000000.00 53380.98 Agency Mortgage-Backed Securities GINNIE MAE II 2044-07-20 3.750000 1000000.00 143925.45 Agency Mortgage-Backed Securities GINNIE MAE II 2043-02-20 3.375000 1000000.00 175916.90 Agency Mortgage-Backed Securities GINNIE MAE II 2048-09-20 4.000000 6498010.00 6672975.71 Agency Mortgage-Backed Securities GINNIE MAE II 2047-09-20 4.500000 426710.00 321355.82 Agency Mortgage-Backed Securities GINNIE MAE II 2045-07-20 3.000000 101346.00 33762.78 Agency Mortgage-Backed Securities GINNIE MAE II 2048-07-20 3.500000 100000.00 99473.69 Agency Mortgage-Backed Securities GINNIE MAE I 2047-11-15 3.500000 70552.00 67180.12 Agency Mortgage-Backed Securities FNMA_18-32A 2048-05-25 2.806250 1000.00 942.39 Agency Collateralized Mortgage Obligation UNITED STATES TREASURY 254900HROIFWPRGM1V77 2037-05-15 0.000000 0.42 0.24 U.S. Treasuries (including strips) FNMA_10-76 2040-07-25 4.500000 1432.00 417.13 Agency Collateralized Mortgage Obligation GINNIE MAE I 2046-01-15 3.500000 28500.00 27191.27 Agency Mortgage-Backed Securities FNMA_18-73C 2048-10-25 3.643750 142532.00 28326.98 Agency Collateralized Mortgage Obligation GINNIE MAE I 2047-07-15 5.000000 226276.00 204733.15 Agency Mortgage-Backed Securities GINNIE MAE II 2040-11-20 3.125000 256720.00 39323.10 Agency Mortgage-Backed Securities GINNIE MAE II 2035-01-20 5.500000 519000.00 33578.67 Agency Mortgage-Backed Securities GINNIE MAE I 2047-09-15 4.000000 564661.00 503171.95 Agency Mortgage-Backed Securities FNMA_18-73A 2048-10-25 2.806250 734385.00 713988.47 Agency Collateralized Mortgage Obligation GINNIE MAE II 2040-01-20 3.375000 1000000.00 144199.84 Agency Mortgage-Backed Securities GINNIE MAE II 2041-09-20 3.750000 1001900.00 135763.88 Agency Mortgage-Backed Securities GNMA_16-69 2046-05-20 4.000000 1409000.00 142258.13 Agency Collateralized Mortgage Obligation GNMA_12-92 2042-04-20 3.500000 1436000.00 31445.92 Agency Collateralized Mortgage Obligation GINNIE MAE II 2041-06-20 3.625000 2008731.00 226400.19 Agency Mortgage-Backed Securities GINNIE MAE II 2046-06-20 3.500000 2257792.00 1544123.24 Agency Mortgage-Backed Securities GNMA_14-132 2044-06-20 5.000000 2365312.00 148999.59 Agency Collateralized Mortgage Obligation GINNIE MAE II 2044-08-20 3.000000 3622200.00 586002.64 Agency Mortgage-Backed Securities GINNIE MAE II 2047-05-20 3.000000 4363776.00 3353764.53 Agency Mortgage-Backed Securities GINNIE MAE II 2048-01-20 4.000000 4607228.00 4478736.57 Agency Mortgage-Backed Securities GINNIE MAE II 2043-01-20 3.584000 7038385.00 6318821.56 Agency Mortgage-Backed Securities GINNIE MAE II 2048-09-20 5.000000 7210184.00 7497022.12 Agency Mortgage-Backed Securities GNMA_17-60A 2038-10-20 4.029870 13891689.00 1301378.31 Agency Collateralized Mortgage Obligation GINNIE MAE II 2025-02-20 3.375000 14712555.00 49048.85 Agency Mortgage-Backed Securities GINNIE MAE I 2040-01-15 5.500000 16061857.00 1053262.24 Agency Mortgage-Backed Securities GNMA_16-61Q 2046-05-20 3.000000 22134274.00 12002101.02 Agency Collateralized Mortgage Obligation FNMA_18-4B 2047-12-25 4.000000 22819242.00 3656614.33 Agency Collateralized Mortgage Obligation FHLMC_48-55 2040-09-15 3.544870 23518560.00 3232790.70 Agency Collateralized Mortgage Obligation FNMA_13-100C 2043-10-25 0.000000 29563210.00 14331032.61 Agency Collateralized Mortgage Obligation GNMA_16-33G 2046-03-20 3.579870 32043075.00 3030601.82 Agency Collateralized Mortgage Obligation FHLMC_30-27 2029-05-15 3.694870 32800000.00 117113.50 Agency Collateralized Mortgage Obligation GNMA_14-96C 2044-07-16 3.144870 42500768.00 2044050.76 Agency Collateralized Mortgage Obligation FHLMC_43-50A 2039-01-15 1.210830 44760023.00 568024.32 Agency Collateralized Mortgage Obligation GNMA_14-57 2044-04-20 3.729870 59850432.00 5290438.23 Agency Collateralized Mortgage Obligation GNMA_17-132C 2040-02-20 0.833830 60685062.00 1870977.49 Agency Collateralized Mortgage Obligation FHLMC_37-26 2040-09-15 3.544870 66130718.00 2279580.86 Agency Collateralized Mortgage Obligation FNMA_11-126 2041-12-25 3.443750 91453852.00 2652764.15 Agency Collateralized Mortgage Obligation FNMA_12-86A 2042-08-25 2.993750 99083758.00 5530875.17 Agency Collateralized Mortgage Obligation GNMA_15-1 2045-01-20 3.129870 102297401.00 8020408.61 Agency Collateralized Mortgage Obligation GINNIE MAE I 2035-11-15 6.000000 37592.00 6384.43 Agency Mortgage-Backed Securities FNMA_03-49E 2023-06-25 4.593750 46558.00 88.90 Agency Collateralized Mortgage Obligation GINNIE MAE II 2041-05-20 4.000000 94741.00 17458.94 Agency Mortgage-Backed Securities GINNIE MAE II 2047-10-20 4.000000 313160.00 315244.14 Agency Mortgage-Backed Securities GINNIE MAE II 2038-05-20 5.500000 385000.00 17428.99 Agency Mortgage-Backed Securities G2 5/1 1Y CMT ARM 2041-10-20 3.125000 812547.00 111774.39 Agency Mortgage-Backed Securities GINNIE MAE II 2046-10-20 3.500000 869205.00 846537.37 Agency Mortgage-Backed Securities GNMA_18-66F 2043-08-20 3.679870 1057472.00 141178.26 Agency Collateralized Mortgage Obligation GINNIE MAE II 2039-10-20 3.125000 1250000.00 122173.99 Agency Mortgage-Backed Securities GINNIE MAE II 2039-08-20 4.000000 1300000.00 91600.98 Agency Mortgage-Backed Securities GINNIE MAE II 2048-05-20 3.500000 1496999.00 1510018.52 Agency Mortgage-Backed Securities GNMA_13-183 2039-10-20 3.500000 1502000.00 33275.64 Agency Collateralized Mortgage Obligation FHLMC_41-36 2042-10-15 3.500000 1703000.00 89612.77 Agency Collateralized Mortgage Obligation GINNIE MAE I 2036-06-15 6.000000 2566744.00 1744633.43 Agency Mortgage-Backed Securities GINNIE MAE II 2043-05-20 3.563000 2753898.00 2609769.75 Agency Mortgage-Backed Securities GINNIE MAE II 2048-05-20 3.000000 16421630.00 16091785.10 Agency Mortgage-Backed Securities GINNIE MAE II 2044-05-20 3.500000 5000000.00 698496.07 Agency Mortgage-Backed Securities GINNIE MAE II 2039-10-20 3.125000 5250000.00 399515.87 Agency Mortgage-Backed Securities GNMA_12-50 2040-08-20 4.500000 8790444.00 447239.08 Agency Collateralized Mortgage Obligation GINNIE MAE II 2023-02-20 3.375000 9800000.00 33237.28 Agency Mortgage-Backed Securities GNMA_15-65 2045-03-20 2.000000 10117500.00 5860883.07 Agency Collateralized Mortgage Obligation FNMA_11-131 2041-12-25 6.500000 17108805.00 348830.01 Agency Collateralized Mortgage Obligation FNMA_16-31B 2036-06-25 3.500000 18084212.00 1720695.52 Agency Collateralized Mortgage Obligation FNMA_14-49 2054-08-25 6.000000 24114527.00 1669789.35 Agency Collateralized Mortgage Obligation FNMA_13-35 2033-04-25 3.000000 24874298.00 1437059.14 Agency Collateralized Mortgage Obligation FNMA_14-47 2044-08-25 1.559310 34202775.00 599687.02 Agency Collateralized Mortgage Obligation GNMA_18-148B 2048-10-20 1.369870 36220879.00 1817790.63 Agency Collateralized Mortgage Obligation GNMA_17-93A 2047-06-20 3.729870 37439336.00 5636529.33 Agency Collateralized Mortgage Obligation FNMA_12-113 2042-01-25 4.243750 48104900.00 2444204.26 Agency Collateralized Mortgage Obligation FNMA_18-73D 2048-10-25 3.693750 50885895.00 7537429.13 Agency Collateralized Mortgage Obligation GNMA_14-20 2043-07-20 3.629870 52531806.00 2098974.99 Agency Collateralized Mortgage Obligation FNMA_10-136 2040-12-25 3.493750 68886400.00 2254667.10 Agency Collateralized Mortgage Obligation GNMA_14-99 2036-11-20 0.863000 72459294.00 1202027.40 Agency Collateralized Mortgage Obligation GNMA_10-9 2040-01-16 4.344870 116000000.00 2323221.30 Agency Collateralized Mortgage Obligation FNMA_11-10 2040-10-25 5.500000 136363636.00 1013235.78 Agency Collateralized Mortgage Obligation Y Fitch F1 Moody's P-1 Standard & Poor's A-1 2019-01-02 2019-01-07 2019-01-07 Y BNP PARIBAS SA 1.0000 7 N Fitch A+ Moody's Aa3 Standard & Poor's A N N 0.0246 600000000.00 600000000.00 0.0067 N N Y N Mizuho Securities USA LLC Mizuho Securities USA LLC 2.652 7TK5RJIZDFROZCA6XF66 0001513005 BRT5U36D4 U.S. Government Agency Repurchase Agreement, collateralized only by U.S. Government Agency securities, U.S. Treasuries, and cash Y N FNMS 03.000 CIMA3558 2033-12-01 3.000000 938048.00 937285.37 Agency Mortgage-Backed Securities FNMS 04.000 CLBK4764 2048-08-01 4.000000 30640710.00 30631906.45 Agency Mortgage-Backed Securities FNRA CL113SA R10F113 2040-10-25 4.284000 111111111.00 1183861.91 Agency Collateralized Mortgage Obligation FNRM CL022IO R03F022 2033-04-25 6.000000 499962.00 1300.06 Agency Collateralized Mortgage Obligation FGRA 4848ZQ 12/15/48 2048-12-15 4.500000 5666000.00 5603705.03 Agency Collateralized Mortgage Obligation FGRA 4120ST 10/15/42 2042-10-15 3.843000 40522133.00 3443756.21 Agency Collateralized Mortgage Obligation FGRA 4103DS 09/15/40 2040-09-15 3.843000 26800000.00 831525.50 Agency Collateralized Mortgage Obligation FGRA 3936AS 09/15/25 2025-09-15 4.393000 25000000.00 35205.89 Agency Collateralized Mortgage Obligation FGRA 03918S 09/15/41 2041-09-15 3.723000 60000000.00 1228250.58 Agency Collateralized Mortgage Obligation FGRA 3860SP 06/15/40 2040-06-15 4.293500 38960149.00 519986.50 Agency Collateralized Mortgage Obligation FNRM RC065ZL R18F065 2048-09-25 3.500000 13465000.00 13126007.46 Agency Collateralized Mortgage Obligation FNRM CL060MZ R18F060 2048-06-25 3.250000 248000.00 220859.04 Agency Collateralized Mortgage Obligation FNRA CL027SA R18F027 2048-05-25 3.884900 15000000.00 2112323.05 Agency Collateralized Mortgage Obligation FNRA CL065AS R16F065 2046-09-25 3.784000 12500000.00 1162483.21 Agency Collateralized Mortgage Obligation FNRA CL056ST R16F056 2046-08-25 3.684000 27309346.00 3717974.37 Agency Collateralized Mortgage Obligation FNRA CL124LS R12F124 2040-07-25 3.884000 58333333.00 2425369.01 Agency Collateralized Mortgage Obligation FNRA CL111SC R12F111 2042-10-25 4.284900 62644183.00 3926430.11 Agency Collateralized Mortgage Obligation FNRA CL122LS R12F122 2042-11-25 3.784900 21200000.00 1638006.82 Agency Collateralized Mortgage Obligation FNRA CL033SB R12F033 2042-04-25 4.184000 57142857.00 2586382.55 Agency Collateralized Mortgage Obligation FNRM CL051OK R12F051 2042-05-25 0.000000 52487412.00 18973856.81 Agency Collateralized Mortgage Obligation FNRA CL002SA R12F002 2042-02-25 4.184000 15333333.00 762500.59 Agency Collateralized Mortgage Obligation FMST SIO 0350 900201 2040-09-15 1.489000 99612500.00 2302214.62 Agency Collateralized Mortgage Obligation 04.500 FGPC Q55257 G 2048-04-01 4.500000 3428072.00 3429083.54 Agency Mortgage-Backed Securities GNMI SF AX8715 X 2046-12-15 4.000000 5431115.00 5432284.05 Agency Mortgage-Backed Securities FNMS 04.500 CLMA3444 2048-08-01 4.500000 50000000.00 50122751.19 Agency Mortgage-Backed Securities FNMS 04.500 CLCA1711 2048-05-01 4.500000 73939.00 73979.95 Agency Mortgage-Backed Securities FGRA 03403S 12/15/37 2037-12-15 3.973000 60357142.00 556958.82 Agency Collateralized Mortgage Obligation FNST TR0413 C33 RC 2042-07-01 4.500000 84981631.00 6407662.25 Agency Collateralized Mortgage Obligation FGRA 4313MS 04/15/39 2039-04-15 3.843500 45607266.00 1731146.41 Agency Collateralized Mortgage Obligation FGRA 4224PS 01/15/43 2043-01-15 3.793000 43293333.00 2634077.52 Agency Collateralized Mortgage Obligation FGRA 3984SA 01/15/42 2042-01-15 4.143500 14135000.00 769423.55 Agency Collateralized Mortgage Obligation FGRA 3956CS 11/15/41 2041-11-15 4.143500 23259000.00 1351737.60 Agency Collateralized Mortgage Obligation FGRA 3919TS 08/15/30 2030-08-15 4.343000 29629224.00 395876.16 Agency Collateralized Mortgage Obligation FNRM CL075NZ R18F075 2048-10-25 3.500000 3065.00 1467.30 Agency Collateralized Mortgage Obligation FNRM CL047ZU R18F047 2048-03-25 4.000000 4192277.00 983806.98 Agency Collateralized Mortgage Obligation FNRM CL060ZP R18F060 2048-08-25 4.000000 4419552.00 3162110.76 Agency Collateralized Mortgage Obligation FNRA CL065SA R17F065 2047-09-25 3.584900 44922500.00 5220927.76 Agency Collateralized Mortgage Obligation FNRA CL023SA R17F023 2047-04-25 3.784900 31231594.00 2101791.45 Agency Collateralized Mortgage Obligation FNRM CL050YO R13F050 2033-01-25 0.000000 6152400.00 3956424.47 Agency Collateralized Mortgage Obligation FNRA CL002CS R13F002 2043-02-25 3.834900 43458217.00 3056214.63 Agency Collateralized Mortgage Obligation FNRA CL128SL R12F128 2042-11-25 3.834000 29250000.00 2653788.90 Agency Collateralized Mortgage Obligation FNRM CL056OK R12F056 2042-06-25 0.000000 230769231.00 70867920.49 Agency Collateralized Mortgage Obligation FNRA CL030TS R12F030 2042-04-25 4.134000 30166666.00 1678980.48 Agency Collateralized Mortgage Obligation FNRA CL031SB R12F031 2042-04-25 3.634000 75700000.00 3186760.38 Agency Collateralized Mortgage Obligation FNRA CL134SM R11F134 2041-12-25 3.684000 43684549.00 1693954.22 Agency Collateralized Mortgage Obligation FNRA CL105SP R11F105 2041-06-25 3.784000 18499124.00 513155.90 Agency Collateralized Mortgage Obligation FNRA CL117AS R11F117 2041-11-25 4.234000 30000000.00 1363407.22 Agency Collateralized Mortgage Obligation FNRA CL123SE R10F123 2040-11-25 3.704000 90000000.00 1473947.85 Agency Collateralized Mortgage Obligation FGRA 3501SJ 01/15/39 2039-01-15 4.143000 50000000.00 1009820.28 Agency Collateralized Mortgage Obligation FNRA CL063SW R11F063 2041-07-25 4.364000 105000000.00 1578871.94 Agency Collateralized Mortgage Obligation FGRA 4818GZ 08/15/48 2048-08-15 4.000000 4782000.00 4898852.16 Agency Collateralized Mortgage Obligation FGRA 4635SE 12/15/46 2046-12-15 3.793000 75232769.00 6524731.12 Agency Collateralized Mortgage Obligation FGRA 4461SA 04/15/45 2045-04-15 3.893000 38192242.00 2934530.70 Agency Collateralized Mortgage Obligation FGRA 4057ES 12/15/41 2041-12-15 4.343000 31809750.00 1181632.16 Agency Collateralized Mortgage Obligation FGRA 04063S 06/15/42 2042-06-15 3.643000 29000000.00 1565628.38 Agency Collateralized Mortgage Obligation FGRA 3996SP 07/15/39 2039-07-15 4.243500 23214916.00 161192.95 Agency Collateralized Mortgage Obligation FGRA 03815S 02/15/41 2041-02-15 3.513000 100000000.00 552378.61 Agency Collateralized Mortgage Obligation FNST TR0407 C8 WL 2039-01-01 5.500000 123955778.00 2213584.83 Agency Collateralized Mortgage Obligation FNRA CL043SE R18F043 2038-09-25 3.934000 22331447.00 2824519.86 Agency Collateralized Mortgage Obligation FNRA CL112AS R17F112 2047-09-25 3.884000 12833459.00 2029021.05 Agency Collateralized Mortgage Obligation FNRA CL066JS R17F066 2057-09-25 3.784900 12000000.00 1908017.78 Agency Collateralized Mortgage Obligation FNRA CL004SA R16F004 2046-02-25 3.334900 129074902.00 7188751.37 Agency Collateralized Mortgage Obligation FNRA CL092SX 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Mortgage-Backed Securities FGRA 4830ZC 10/15/48 2048-10-15 4.000000 2296000.00 2172641.21 Agency Collateralized Mortgage Obligation FGRA 4672SP 04/15/47 2047-04-15 3.793500 8173414.00 1094738.19 Agency Collateralized Mortgage Obligation FGRA 4122SJ 12/15/40 2040-12-15 3.843000 116666666.00 4891353.30 Agency Collateralized Mortgage Obligation FGRA 4095SB 04/15/39 2039-04-15 3.793000 26927380.00 870456.52 Agency Collateralized Mortgage Obligation FGRA 4066SC 12/15/38 2038-12-15 4.343000 27038200.00 629754.76 Agency Collateralized Mortgage Obligation FGRA 3907SA 08/15/41 2041-08-15 4.143500 17264000.00 687880.80 Agency Collateralized Mortgage Obligation FGRA 3819SH 06/15/40 2040-06-15 4.163500 11484000.00 232074.81 Agency Collateralized Mortgage Obligation FNRA CL025ST R18F025 2042-03-25 3.734000 21141594.00 2346755.41 Agency Collateralized Mortgage Obligation FNRA CL014SA R18F014 2048-03-25 3.884000 30500000.00 4584078.04 Agency Collateralized Mortgage Obligation FNRA CL112SC R17F112 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74467.43 Agency Collateralized Mortgage Obligation FHSTR_202 2029-04-01 6.500000 48061632.00 41033.58 Agency Collateralized Mortgage Obligation FHLMC_4446A 2045-03-15 3.144870 54019600.00 4140575.11 Agency Collateralized Mortgage Obligation FNMA_13-19 2041-10-25 3.693750 55511552.00 3132190.85 Agency Collateralized Mortgage Obligation FHLMC_4319C 2044-03-15 3.614870 56682560.00 3060306.87 Agency Collateralized Mortgage Obligation FHLMC_48-33 2044-10-15 3.544870 66453760.00 10529749.00 Agency Collateralized Mortgage Obligation FNMA_07-30 2037-04-25 3.603750 67130240.00 86545.77 Agency Collateralized Mortgage Obligation FNR_13-65 2043-06-25 3.643750 69321472.00 4227001.25 Agency Collateralized Mortgage Obligation FHLMC_4427 2045-01-15 3.144870 82000000.00 5334715.09 Agency Collateralized Mortgage Obligation FHLMC_46-41 2044-02-15 4.000000 85685760.00 6991161.90 Agency Collateralized Mortgage Obligation GNMA_18-27F 2048-02-20 4.500000 97268608.00 14974531.34 Agency Collateralized Mortgage 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Collateralized Mortgage Obligation GNMA_12-108 2042-03-16 4.294870 2118428.00 117245.10 Agency Collateralized Mortgage Obligation FNSTR_383 2037-05-25 6.500000 2276000.00 14285.81 Agency Collateralized Mortgage Obligation FNSTR_383 2037-09-25 7.000000 2751000.00 22581.54 Agency Collateralized Mortgage Obligation FNSTR_386 2037-12-25 7.000000 2796000.00 17065.86 Agency Collateralized Mortgage Obligation GNMA_11-69 2041-05-20 2.909870 2855000.00 50927.20 Agency Collateralized Mortgage Obligation FNSTR_383 2037-09-25 7.500000 3499000.00 20657.43 Agency Collateralized Mortgage Obligation FNMA_18-83A 2048-11-25 4.000000 3591604.00 644950.67 Agency Collateralized Mortgage Obligation FNSTR_383 2037-09-25 6.500000 3707000.00 27099.22 Agency Collateralized Mortgage Obligation FNMA_11-59 2041-07-25 5.500000 4310000.00 5545471.90 Agency Collateralized Mortgage Obligation FNSTR_07-385 2037-11-01 4.500000 4386696.00 39718.63 Agency Collateralized Mortgage Obligation FHLMC_39-57 2041-11-15 4.000000 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Securities GNII SF 002619 M 2028-07-20 8.000000 60000.00 62.30 Agency Mortgage-Backed Securities GNII SF 001598 M 2021-04-20 10.000000 40000.00 19.25 Agency Mortgage-Backed Securities GNMI SF AV8043 X 2046-09-15 3.000000 20000.00 17889.28 Agency Mortgage-Backed Securities GNII SF AK8620 C 2044-12-20 4.000000 203340.00 64740.59 Agency Mortgage-Backed Securities GNMI SF AD4960 X 2046-10-15 4.500000 1045100.00 957054.20 Agency Mortgage-Backed Securities GNII SF BK4065 C 2048-12-20 4.500000 4186818.00 4382710.84 Agency Mortgage-Backed Securities GNII SF BK4080 C 2048-12-20 4.500000 1222516.00 1285804.43 Agency Mortgage-Backed Securities GNII SF BJ7744 C 2048-12-20 5.000000 52388973.00 55264691.04 Agency Mortgage-Backed Securities GNPL PN BJ5567 2053-11-15 4.040000 897060.00 929464.23 Agency Mortgage-Backed Securities GNII SF BJ5112 C 2048-12-20 4.500000 3664553.00 3823946.40 Agency Mortgage-Backed Securities GNMI SF BB3650 X 2047-10-15 4.500000 1596120.00 1459365.37 Agency Mortgage-Backed Securities GNII SF MA5655 M 2038-06-20 6.000000 1115726.00 1189106.19 Agency Mortgage-Backed Securities GNII SF MA5435 M 2033-08-20 3.000000 1604510.00 1580119.67 Agency Mortgage-Backed Securities GNII SF MA4512 M 2047-06-20 4.500000 2435000.00 1593220.13 Agency Mortgage-Backed Securities GNII SF MA4266 M 2047-02-20 5.500000 115000.00 59642.27 Agency Mortgage-Backed Securities GNII SF MA4124 M 2044-05-20 2.000000 316180.00 266605.01 Agency Mortgage-Backed Securities GNII SF MA3599 M 2046-04-20 4.500000 30000.00 11279.21 Agency Mortgage-Backed Securities GNII SF MA3596 M 2046-04-20 3.000000 15845430.00 10516150.37 Agency Mortgage-Backed Securities GNMI SF 776422 X 2042-01-15 4.000000 1486870.00 514090.34 Agency Mortgage-Backed Securities UNITED STATES TREASURY 2048-11-15 0.000000 770.00 311.73 U.S. Treasuries (including strips) GNMI SP 782067 X 2032-11-15 7.000000 149600.00 17094.38 Agency Mortgage-Backed Securities GNMI SP 784312 X 2045-09-15 5.500000 171220.00 130229.94 Agency Mortgage-Backed Securities GNMI SP 780580 X 2027-06-15 7.500000 25000.00 66.50 Agency Mortgage-Backed Securities GNMI SF 564706 X 2031-07-15 7.000000 25000.00 62.81 Agency Mortgage-Backed Securities GNMI SF 539894 X 2030-10-15 8.500000 320400.00 15210.76 Agency Mortgage-Backed Securities GNMI SF 453330 X 2027-09-15 7.500000 25000.00 61.10 Agency Mortgage-Backed Securities GNMI SF 422508 X 2026-03-15 7.000000 100000.00 100.54 Agency Mortgage-Backed Securities GNII SF 005108 M 2026-07-20 4.500000 4265930.00 669439.86 Agency Mortgage-Backed Securities GNII JM 004675 M 2040-04-20 5.500000 25000.00 1886.79 Agency Mortgage-Backed Securities GNII JM 004513 M 2039-08-20 5.000000 30000.00 1118.64 Agency Mortgage-Backed Securities GNII SF 003625 M 2034-10-20 6.000000 70000.00 3777.37 Agency Mortgage-Backed Securities GNII SF 003200 M 2032-02-20 6.000000 115000.00 1761.36 Agency Mortgage-Backed Securities GNII SF 002999 M 2030-11-20 7.500000 25000.00 64.43 Agency Mortgage-Backed Securities GNII SF 001633 M 2021-06-20 9.500000 300000.00 18.99 Agency Mortgage-Backed Securities GNII SF 001472 M 2020-09-20 10.000000 630000.00 63.55 Agency Mortgage-Backed Securities GNMI SF AF0489 X 2043-08-15 2.500000 67660.00 37299.70 Agency Mortgage-Backed Securities GNMI SF AD3522 X 2043-05-15 2.500000 28080.00 10246.43 Agency Mortgage-Backed Securities GNII SF BL2106 C 2048-12-20 5.500000 1290318.00 1385474.22 Agency Mortgage-Backed Securities GNII SF BK4062 C 2048-12-20 4.500000 1750028.00 1844681.76 Agency Mortgage-Backed Securities GNII SF BK4073 C 2048-12-20 5.000000 7573681.00 7989420.55 Agency Mortgage-Backed Securities GNII SF BK4498 C 2048-11-20 5.000000 3374763.00 3555796.83 Agency Mortgage-Backed Securities GNII SF BJ7704 C 2048-12-20 4.500000 9000005.00 9431249.24 Agency Mortgage-Backed Securities GNII SF BJ5114 C 2048-12-20 5.000000 1608182.00 1705733.78 Agency Mortgage-Backed Securities GNII SF BJ5097 C 2048-12-20 4.500000 1628931.00 1699779.72 Agency Mortgage-Backed Securities GNII SF MA5651 M 2048-11-20 4.000000 80925885.00 83049892.75 Agency Mortgage-Backed Securities GNII JM MA5457 M 2048-09-20 4.000000 7877275.00 7939456.61 Agency Mortgage-Backed Securities GNII SF MA4198 M 2047-01-20 4.500000 2482280.00 1367066.45 Agency Mortgage-Backed Securities GNII SF MA4066 M 2038-05-20 2.000000 433050.00 316324.71 Agency Mortgage-Backed Securities GNII SF MA4003 M 2046-10-20 3.000000 48181920.00 37680253.54 Agency Mortgage-Backed Securities GNII SF MA3598 M 2046-04-20 4.000000 31220600.00 16029197.36 Agency Mortgage-Backed Securities GNII SF MA2519 M 2045-01-20 2.500000 5126620.00 2845970.38 Agency Mortgage-Backed Securities GNII SF MA2075 M 2044-07-20 4.500000 42000.00 11575.43 Agency Mortgage-Backed Securities UNITED STATES TREASURY 2021-02-28 2.000000 5267600.00 5243634.17 U.S. Treasuries (including strips) UNITED STATES TREASURY 2047-11-15 0.000000 1878200.00 772034.11 U.S. Treasuries (including strips) GNMI SF 339452 X 2022-12-15 7.500000 25000.00 54.11 Agency Mortgage-Backed Securities GNMI SF 320361 X 2022-09-15 8.000000 80000.00 31.92 Agency Mortgage-Backed Securities GNMI SF 292597 X 2020-11-15 9.500000 100000.00 16.20 Agency Mortgage-Backed Securities GNMI SF 506817 X 2029-11-15 7.500000 40000.00 85.95 Agency Mortgage-Backed Securities GNMI SF 740751 X 2041-01-15 4.000000 85000.00 10471.06 Agency Mortgage-Backed Securities GNMI SF 737539 X 2040-10-15 4.000000 2135000.00 392873.43 Agency Mortgage-Backed Securities GNMI SF 403965 X 2024-09-15 8.000000 60000.00 48.11 Agency Mortgage-Backed Securities GNMI SF 376116 X 2024-09-15 8.000000 25000.00 148.76 Agency Mortgage-Backed Securities GNMI SF 354660 X 2023-10-15 7.000000 28000.00 63.62 Agency Mortgage-Backed Securities GNII JM 004217 M 2038-08-20 6.500000 25000.00 82.95 Agency Mortgage-Backed Securities GNII SF 004028 M 2037-09-20 6.000000 60800.00 1929.56 Agency Mortgage-Backed Securities GNII SF 002909 M 2030-04-20 8.000000 50000.00 166.92 Agency Mortgage-Backed Securities GNII SF 002756 M 2029-05-20 7.500000 30000.00 60.92 Agency Mortgage-Backed Securities GNII SF 002362 M 2027-01-20 8.000000 33000.00 75.39 Agency Mortgage-Backed Securities GNII SF 001309 M 2019-12-20 9.500000 200000.00 8.70 Agency Mortgage-Backed Securities GNII SF 001718 M 2024-05-20 8.000000 60000.00 61.83 Agency Mortgage-Backed Securities GNMI SF 596747 X 2032-12-15 6.000000 100000.00 2374.03 Agency Mortgage-Backed Securities GNII SF BK6741 C 2048-12-20 5.000000 1098313.00 1164936.30 Agency Mortgage-Backed Securities GNII SF BK7109 C 2048-12-20 4.500000 1932772.00 2023200.60 Agency Mortgage-Backed Securities GNII SF BK2100 C 2048-12-20 5.000000 1053144.00 1119580.19 Agency Mortgage-Backed Securities GNII SF BK0222 C 2048-12-20 5.000000 1103663.00 1170609.73 Agency Mortgage-Backed Securities GNII SF BJ2304 C 2048-11-20 3.500000 10382630.00 10339922.04 Agency Mortgage-Backed Securities GNMI SF BE3837 X 2048-05-15 5.000000 400326.00 414637.35 Agency Mortgage-Backed Securities GNMI SF BD4515 X 2047-12-15 5.000000 531820.00 377541.50 Agency Mortgage-Backed Securities GNII SF MA4904 M 2047-12-20 5.500000 127760.00 88366.42 Agency Mortgage-Backed Securities GNII SF MA4782 M 2047-10-20 5.500000 32000.00 21388.14 Agency Mortgage-Backed Securities GNII SF MA4656 M 2047-08-20 5.500000 87000.00 54812.26 Agency Mortgage-Backed Securities GNII SF MA3662 M 2046-05-20 3.000000 6640160.00 4614622.37 Agency Mortgage-Backed Securities GNII SF MA3105 M 2045-09-20 3.500000 1537700.00 812508.78 Agency Mortgage-Backed Securities GNII SF MA1286 M 2043-09-20 4.000000 25490.00 6724.17 Agency Mortgage-Backed Securities GNII SF MA0222 M 2042-07-20 4.500000 3840650.00 757109.15 Agency Mortgage-Backed Securities UNITED STATES TREASURY 2019-04-18 0.000000 3868000.00 3839736.52 U.S. Treasuries (including strips) GNMI SF 658017 X 2036-07-15 5.500000 55700.00 2464.60 Agency Mortgage-Backed Securities GNMI SP 784544 X 2047-09-15 3.500000 38619240.00 36319763.12 Agency Mortgage-Backed Securities GNMI SF 297640 X 2022-10-15 7.500000 50000.00 40.03 Agency Mortgage-Backed Securities GNMI SF 269306 X 2019-05-15 10.000000 120000.00 16.50 Agency Mortgage-Backed Securities GNMI SF 719238 X 2040-07-15 4.000000 12000000.00 1595985.38 Agency Mortgage-Backed Securities GNMI SF 466473 X 2029-05-15 7.000000 70000.00 34.17 Agency Mortgage-Backed Securities GNMI SF 612936 X 2033-07-15 5.500000 25000.00 1238.20 Agency Mortgage-Backed Securities GNII SF 005203 M 2041-10-20 4.000000 591400.00 123539.68 Agency Mortgage-Backed Securities GNII SF 004945 M 2041-02-20 4.000000 100000.00 22609.69 Agency Mortgage-Backed Securities GNII SF 003858 M 2021-06-20 6.000000 45000.00 1213.37 Agency Mortgage-Backed Securities GNII SF 003701 M 2035-04-20 5.000000 1375000.00 81770.99 Agency Mortgage-Backed Securities GNII SF 003415 M 2033-07-20 5.500000 40600.00 1755.88 Agency Mortgage-Backed Securities GNII SF 002136 M 2025-12-20 7.000000 470000.00 1915.95 Agency Mortgage-Backed Securities GNII SF 001904 M 2024-11-20 9.000000 230000.00 56.43 Agency Mortgage-Backed Securities GNMI SF AX2578 X 2046-12-15 2.500000 226420.00 207147.46 Agency Mortgage-Backed Securities GNII SF AM8047 C 2045-05-20 3.000000 201110.00 136554.53 Agency Mortgage-Backed Securities GNII SF BK4933 C 2048-12-20 5.000000 5943242.00 6328653.32 Agency Mortgage-Backed Securities GNII SF BK4734 C 2048-12-20 5.000000 1170683.00 1244531.63 Agency Mortgage-Backed Securities GNII SF BK4056 C 2048-12-20 5.000000 3153209.00 3294531.62 Agency Mortgage-Backed Securities GNII SF BJ8944 C 2048-11-20 4.500000 1145521.00 1202809.26 Agency Mortgage-Backed Securities GNII SF BJ7721 C 2048-12-20 5.000000 7000373.00 7441975.20 Agency Mortgage-Backed Securities GNII SF BJ7670 C 2048-11-20 5.000000 3235401.00 3427688.70 Agency Mortgage-Backed Securities GNMI SF BC1164 X 2047-08-15 3.500000 127560.00 118417.30 Agency Mortgage-Backed Securities GNAR AF MA5662 M 2048-12-20 3.000000 544569.00 546642.72 Agency Mortgage-Backed Securities GNII SF MA4582 M 2043-05-20 1.500000 139970.00 114336.73 Agency Mortgage-Backed Securities GNII SF MA4264 M 2047-02-20 4.500000 1050000.00 609601.33 Agency Mortgage-Backed Securities GNII SF MA4127 M 2046-12-20 3.500000 4922910.00 3792385.46 Agency Mortgage-Backed Securities GNII SF MA2963 M 2045-07-20 4.500000 27049540.00 8950791.06 Agency Mortgage-Backed Securities GNII SF MA2753 M 2045-04-20 3.000000 325000.00 177067.15 Agency Mortgage-Backed Securities GNII SF MA3597 M 2046-04-20 3.500000 2938500.00 1849028.80 Agency Mortgage-Backed Securities GNMI SF AA8274 X 2042-07-15 3.500000 2500000.00 686124.10 Agency Mortgage-Backed Securities GNMI SF AA3342 X 2042-10-15 3.000000 365000.00 134921.10 Agency Mortgage-Backed Securities GNMI SF 763874 X 2043-08-15 4.500000 2658807.00 1620714.57 Agency Mortgage-Backed Securities UNITED STATES TREASURY 2019-05-15 0.000000 169000.00 167458.72 U.S. Treasuries (including strips) UNITED STATES TREASURY 2044-02-15 0.000000 4502700.00 2082813.94 U.S. Treasuries (including strips) GNMI SF 713866 X 2039-09-15 5.000000 3250000.00 562375.60 Agency Mortgage-Backed Securities GNMI SF 324900 X 2022-03-15 7.500000 30000.00 25.74 Agency Mortgage-Backed Securities GNMI SF 307547 X 2021-06-15 8.500000 56000.00 74.59 Agency Mortgage-Backed Securities GNMI SF 289316 X 2020-11-15 9.500000 40000.00 9.89 Agency Mortgage-Backed Securities GNMI SF 738111 X 2041-03-15 4.000000 1083880.00 186355.30 Agency Mortgage-Backed Securities GNMI SF 737520 X 2040-10-15 4.000000 525000.00 199283.97 Agency Mortgage-Backed Securities GNMI SF 370932 X 2023-11-15 7.500000 25000.00 62.83 Agency Mortgage-Backed Securities GNMI SF 352050 X 2023-10-15 7.000000 120000.00 89.19 Agency Mortgage-Backed Securities GNAR AR 008983 M 2026-09-20 3.750000 31000.00 111.05 Agency Mortgage-Backed Securities GNII SF 004178 M 2023-07-20 5.500000 1000000.00 48857.22 Agency Mortgage-Backed Securities GNII SF 003918 M 2036-11-20 5.000000 25000.00 871.95 Agency Mortgage-Backed Securities GNII SF 003819 M 2036-02-20 5.500000 75100.00 3621.88 Agency Mortgage-Backed Securities GNII SF 002486 M 2027-09-20 8.000000 25000.00 60.41 Agency Mortgage-Backed Securities GNII SF 002285 M 2026-09-20 8.000000 605000.00 1824.03 Agency Mortgage-Backed Securities GNMI SF 594054 X 2033-07-15 5.500000 271800.00 8858.52 Agency Mortgage-Backed Securities GNII SF AZ3297 C 2047-03-20 4.000000 236370.00 235275.15 Agency Mortgage-Backed Securities GNII SF BK6712 C 2048-12-20 5.000000 1024332.00 1090757.54 Agency Mortgage-Backed Securities GNII SF BK5605 C 2048-12-20 5.000000 1941784.00 2048371.76 Agency Mortgage-Backed Securities GNII SF BK4736 C 2048-12-20 5.000000 5474205.00 5774693.24 Agency Mortgage-Backed Securities GNII SF BK2580 C 2048-11-20 4.500000 2177543.00 2275992.03 Agency Mortgage-Backed Securities GNII SF BK0218 C 2048-12-20 4.500000 1404289.00 1465369.95 Agency Mortgage-Backed Securities GNII SF BJ7729 C 2048-12-20 4.500000 5021963.00 5269123.93 Agency Mortgage-Backed Securities GNMI SF BD7185 X 2047-11-15 5.000000 289170.00 200055.63 Agency Mortgage-Backed Securities GNMI SF BC9135 X 2048-01-15 5.000000 835280.00 494803.61 Agency Mortgage-Backed Securities GNII SF MA4748 M 2032-10-20 2.500000 25700.00 21789.63 Agency Mortgage-Backed Securities GNII SF MA4588 M 2047-07-20 4.500000 2835880.00 1975165.57 Agency Mortgage-Backed Securities GNII SF MA3661 M 2046-05-20 2.500000 111000.00 84559.99 Agency Mortgage-Backed Securities GNII SF MA3104 M 2045-08-20 3.000000 600000.00 376737.47 Agency Mortgage-Backed Securities GNII SF MA2962 M 2045-07-20 4.000000 940000.00 398482.70 Agency Mortgage-Backed Securities GNII SF MA0460 M 2042-10-20 2.500000 65000.00 32560.98 Agency Mortgage-Backed Securities GNII SF MA0090 M 2042-05-20 4.500000 104940.00 18695.89 Agency Mortgage-Backed Securities GNII SF AA5754 C 2042-10-20 3.000000 2227960.00 1507393.20 Agency Mortgage-Backed Securities UNITED STATES TREASURY 2025-08-15 2.000000 100.00 96.83 U.S. Treasuries (including strips) GNII SP 784119 M 2046-02-20 3.000000 525520.00 351540.46 Agency Mortgage-Backed Securities GNMI SP 780463 X 2026-11-15 7.000000 20000.00 85.36 Agency Mortgage-Backed Securities GNMI SF 550380 X 2031-03-15 7.000000 25000.00 103.01 Agency Mortgage-Backed Securities GNMI SF 540043 X 2030-09-15 6.500000 25000.00 143.24 Agency Mortgage-Backed Securities GNMI SF 487221 X 2029-05-15 7.000000 222000.00 1133.43 Agency Mortgage-Backed Securities GNMI SF 442191 X 2026-12-15 8.000000 50000.00 63.87 Agency Mortgage-Backed Securities GNMI SF 414965 X 2026-01-15 7.500000 25000.00 64.39 Agency Mortgage-Backed Securities GNMI SF 389819 X 2024-06-15 7.500000 30000.00 510.84 Agency Mortgage-Backed Securities GNII FS 004648 M 2040-03-20 4.000000 65000.00 14808.89 Agency Mortgage-Backed Securities GNII SF 005306 M 2042-02-20 4.500000 69130.00 12869.58 Agency Mortgage-Backed Securities GNII SF 003199 M 2032-02-20 5.500000 76100.00 1404.89 Agency Mortgage-Backed Securities GNII SF 002945 M 2030-07-20 7.500000 51000.00 87.51 Agency Mortgage-Backed Securities GNII SF 002908 M 2030-04-20 7.500000 50000.00 132.02 Agency Mortgage-Backed Securities GNII SF 001580 M 2021-03-20 10.000000 1200000.00 82.04 Agency Mortgage-Backed Securities GNII SF 001327 M 2020-01-20 9.500000 400000.00 39.38 Agency Mortgage-Backed Securities GNII SF 001052 M 2023-04-20 8.500000 25000.00 27.22 Agency Mortgage-Backed Securities GNMI SF AE3297 X 2046-10-15 2.500000 220530.00 201025.55 Agency Mortgage-Backed Securities GNMI SF AD1713 X 2043-02-15 2.500000 38140.00 18315.29 Agency Mortgage-Backed Securities GNII SF BL0253 C 2048-12-20 5.000000 7469507.00 7940718.36 Agency Mortgage-Backed Securities GNII SF BK3792 C 2048-12-20 4.500000 2165400.00 2259588.40 Agency Mortgage-Backed Securities GNII SF BK2838 C 2048-12-20 4.500000 3224961.00 3375847.25 Agency Mortgage-Backed Securities GNII SF BJ5113 C 2048-12-20 4.500000 4250904.00 4427431.29 Agency Mortgage-Backed Securities GNII SF BJ5108 C 2048-12-20 5.000000 1253080.00 1329091.42 Agency Mortgage-Backed Securities GNII SF BI9107 C 2048-11-20 4.500000 2046543.00 2150807.07 Agency Mortgage-Backed Securities GNII SF MA5533 M 2048-10-20 6.500000 31858.00 34858.05 Agency Mortgage-Backed Securities GNII SF MA5080 M 2048-03-20 5.000000 287860.00 253198.82 Agency Mortgage-Backed Securities GNII SF MA4841 M 2047-11-20 5.500000 847460.00 602621.44 Agency Mortgage-Backed Securities GNII SF MA4008 M 2046-10-20 5.500000 1114800.00 555245.36 Agency Mortgage-Backed Securities GNII SF MA3878 M 2046-08-20 5.500000 30000.00 14196.72 Agency Mortgage-Backed Securities GNII SF MA2442 M 2044-01-20 2.000000 478650.00 383015.41 Agency Mortgage-Backed Securities GNII SF MA1919 M 2044-05-20 3.500000 100000.00 36429.69 Agency Mortgage-Backed Securities Y Fitch NR Moody's NR Standard & Poor's A-1 2019-01-02 2019-01-02 2019-01-02 N N N 0.0300 1000000000.00 1000000000.00 0.0111 N Y Y N Credit Agricole Corporate and Investment Bank SA Credit Agricole Corporate and Investment Bank 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47820338.54 U.S. Treasuries (including strips) Y Fitch F1+ Moody's P-1 Standard & Poor's A-1+ 2019-01-02 2019-01-02 2019-01-02 N N N 0.0301 46875000.00 46875000.00 0.0005 N Y Y N NTI Prudential Insurance Co. of America NTI Prudential Insurance Co. of America 3.010 X574KRZ6V5A7UBU45C31 US912833Z526 BRTPEUEJ6 U.S. Treasury Repurchase Agreement, if collateralized only by U.S. Treasuries (including Strips) and cash Y N UNITED STATES TREASURY 2037-08-15 0.000000 34000000.00 19553885.23 U.S. Treasuries (including strips) Y Fitch F1+ Moody's P-1 Standard & Poor's A-1+ 2019-01-02 2019-01-02 2019-01-02 N N N 0.0301 19167500.00 19167500.00 0.0002 N Y Y N NTI Prudential Insurance Co. of America NTI Prudential Insurance Co. of America 3.010 X574KRZ6V5A7UBU45C31 US912803DG53 BRTPEUE80 U.S. Treasury Repurchase Agreement, if collateralized only by U.S. Treasuries (including Strips) and cash Y N UNITED STATES TREASURY 2039-05-15 0.000000 215000000.00 118716659.44 U.S. Treasuries (including strips) Y 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Andrews Neal J. Andrews Chief Financial Officer