# EDGAR Filing Document

**Accession Number:** 0000844779
**File Stem:** 0001752724-23-072037
**Filing Date:** 2023-3
**Character Count:** 580587
**Document Hash:** 748eb27016b292d72b43623b8ada5dd3
**Contains OCR:** False
**Source Format:** 

## Filing Content

## Filing Summary
**0001752724-23-072037.hdr.sgml**: 20230329

**ACCESSION NUMBER**: 0001752724-23-072037

**CONFORMED SUBMISSION TYPE**: NPORT-P

**PUBLIC DOCUMENT COUNT**: 2

**CONFORMED PERIOD OF REPORT**: 20230131

**FILED AS OF DATE**: 20230329

**DATE AS OF CHANGE**: 20230329

**PERIOD START**: 20231031

**FILER**: 

**COMPANY DATA:**
- **COMPANY CONFORMED NAME:** BLACKROCK FUNDS
- **CENTRAL INDEX KEY:** 0000844779
- **IRS NUMBER:** 510318674
- **STATE OF INCORPORATION:** MA
- **FISCAL YEAR END:** 0930

**FILING VALUES:**
- **FORM TYPE:** NPORT-P
- **SEC ACT:** 1940 Act
- **SEC FILE NUMBER:** 811-05742
- **FILM NUMBER:** 23774167

**BUSINESS ADDRESS:**
- **STREET 1:** 100 BELLEVUE PARKWAY
- **CITY:** WILMINGTON
- **STATE:** DE
- **ZIP:** 19809
- **BUSINESS PHONE:** 800-441-7762

**MAIL ADDRESS:**
- **STREET 1:** 100 BELLEVUE PARKWAY
- **CITY:** WILMINGTON
- **STATE:** DE
- **ZIP:** 19809

**FORMER COMPANY:**
- **FORMER CONFORMED NAME:** COMPASS CAPITAL FUNDS\
- **DATE OF NAME CHANGE:** 19961114

**FORMER COMPANY:**
- **FORMER CONFORMED NAME:** PNC FUND
- **DATE OF NAME CHANGE:** 19920703

**FORMER COMPANY:**
- **FORMER CONFORMED NAME:** NCP FUNDS
- **DATE OF NAME CHANGE:** 19890511

## Series and Classes Contracts Data

### iShares U.S. Securitized Bond Index Fund (Series ID: S000075207)

| Class ID   | Class Name                               | Ticker Symbol   |
|:---|:---|:---|
| C000234051 | iShares U.S. Securitized Bond Index Fund |  |

## Nport-Ex

---

| | |
|:---|:---|
| Schedule of Investments (unaudited)<br> January 31, 2023 | **iShares U.S. Securitized Bond Index Fund**<br> **(Percentages shown are based on Net Assets)** |

---

---

| | | | |
|:---|:---|:---|:---|
| *Security* | *Par<br> (000)* | *Par<br> (000)* | *Value* |
|  **Asset-Backed Securities** | **Asset-Backed Securities** | **Asset-Backed Securities** |  |
|  American Express Credit Account Master Trust |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; Series 2022-1, Class A, 2.21%, 03/15/27 | $| 3750 | $3574467 |
| &nbsp;&nbsp;&nbsp;&nbsp; Series 2022-2, Class A, 3.39%, 05/15/27 |  | 8302 | 8110393 |
|  BA Credit Card Trust, Series 2021, Class A1, 0.44%, 09/15/26 |  | 4166 | 3954035 |
|  Carmax Auto Owner Trust |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; Series 2021-1, Class A3, 0.34%, 12/15/25 |  | 1305 | 1259467 |
| &nbsp;&nbsp;&nbsp;&nbsp; Series 2021-1, Class A4, 0.53%, 10/15/26 |  | 852 | 780419 |
|  GM Financial Consumer Automobile Receivables Trust, Series 2020-2, Class A4, 1.74%, 08/18/25 |  | 1962 | 1903941 |
|  Honda Auto Receivables Owner Trust, |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; Series 2020-2, Class A4, 1.09%, 10/15/26 |  | 4150 | 4034064 |
|  Hyundai Auto Receivables Trust |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; Series 2022-B, Class A3, 3.72%, 11/16/26 |  | 620 | 609887 |
| &nbsp;&nbsp;&nbsp;&nbsp; Series 2022-B, Class A4, 3.80%, 08/15/28 |  | 450 | 441275 |
|  Santander Drive Auto Receivables Trust, |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; Series 2022-4, Class A3, 4.14%, 02/16/27 |  | 790 | 781562 |
|  Toyota Auto Receivables Owner Trust |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; Series 2021-B, Class A3, 0.26%, 11/17/25 |  | 3016 | 2904642 |
| &nbsp;&nbsp;&nbsp;&nbsp; Series 2021-B, Class A4, 0.53%, 10/15/26 |  | 2073 | 1906073 |
| &nbsp;&nbsp;&nbsp;&nbsp; Series 2022-B, Class A3, 2.93%, 09/15/26 |  | 10000 | 9707796 |
|  Verizon Master Trust, Series 2021-1, Class A, 0.50%, 05/20/27 |  | 2382 | 2249179 |
|  **Total Asset-Backed Securities — 1.0%<br>(Cost: $43,670,070)** | **Total Asset-Backed Securities — 1.0%<br>(Cost: $43,670,070)** | **Total Asset-Backed Securities — 1.0%<br>(Cost: $43,670,070)** | 42217200 |
|  **Non-Agency Mortgage-Backed Securities** | **Non-Agency Mortgage-Backed Securities** | **Non-Agency Mortgage-Backed Securities** |  |
| **Commercial Mortgage-Backed Securities — 3.2%** | **Commercial Mortgage-Backed Securities — 3.2%** | **Commercial Mortgage-Backed Securities — 3.2%** |  |
|  Bank |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; Series 2019-BN18, Class A4, 3.58%, 05/15/62 |  | 1659 | 1553064 |
| &nbsp;&nbsp;&nbsp;&nbsp; Series 2019-BN21, Class A5, 2.85%, 10/17/52 |  | 4564 | 4083262 |
| &nbsp;&nbsp;&nbsp;&nbsp; Series 2020-BN27, Class A5, 2.14%, 04/15/63 |  | 4515 | 3819397 |
|  BBCMS Mortgage Trust |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; Series 2017-C1, Class A4, 3.67%, 02/15/50 |  | 1908 | 1820245 |
| &nbsp;&nbsp;&nbsp;&nbsp; Series 2020-C7, Class A5, 2.04%, 04/15/53 |  | 5536 | 4660013 |
|  BBCMS Trust, Series 2021-C10, Class A5, 2.49%, 07/15/54 |  | 7713 | 6587182 |
|  Benchmark Mortgage Trust |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; Series 2018-B5, Class A4, 4.21%, 07/15/51 |  | 2489 | 2427723 |
| &nbsp;&nbsp;&nbsp;&nbsp; Series 2019-B10, Class A4, 3.72%, 03/15/62 |  | 2654 | 2513536 |
| &nbsp;&nbsp;&nbsp;&nbsp; Series 2019-B11, Class A4, 3.28%, 05/15/52 |  | 3319 | 3061652 |
| &nbsp;&nbsp;&nbsp;&nbsp; Series 2019-B13, Class A4, 2.95%, 08/15/57 |  | 7093 | 6373641 |
| &nbsp;&nbsp;&nbsp;&nbsp; Series 2019-B9, Class A5, 4.02%, 03/15/52 |  | 2489 | 2390707 |
| &nbsp;&nbsp;&nbsp;&nbsp; Series 2020-B19, Class B, 2.35%, 09/15/53 |  | 937 | 731684 |
| &nbsp;&nbsp;&nbsp;&nbsp; Series 2020-B21, Class A4, 1.70%, 12/17/53 |  | 2988 | 2446265 |
| &nbsp;&nbsp;&nbsp;&nbsp; Series 2020-B21, Class A5, 1.98%, 12/17/53 |  | 1990 | 1636576 |
| &nbsp;&nbsp;&nbsp;&nbsp; Series 2021-B29, Class A5, 2.39%, 09/15/54 |  | 2763 | 2322244 |
|  Citigroup Commercial Mortgage Trust |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; Series 2013-GC17, Class A4, 4.13%, 11/10/46 |  | 620 | 611997 |
| &nbsp;&nbsp;&nbsp;&nbsp; Series 2014-GC25, Class A4, 3.64%, 10/10/47 |  | 413 | 402315 |
| &nbsp;&nbsp;&nbsp;&nbsp; Series 2014-GC25, Class AS, 4.02%, 10/10/47 |  | 1243 | 1192019 |
| &nbsp;&nbsp;&nbsp;&nbsp; Series 2016-GC37, Class A4, 3.31%, 04/10/49 |  | 2903 | 2764196 |
| &nbsp;&nbsp;&nbsp;&nbsp; Series 2016-P5, Class A4, 2.94%, 10/10/49 |  | 829 | 773950 |
| &nbsp;&nbsp;&nbsp;&nbsp; Series 2017-C4, Class A4, 3.47%, 10/12/50 |  | 7905 | 7443056 |
| &nbsp;&nbsp;&nbsp;&nbsp; Series 2017-P7, Class A4, 3.71%, 04/14/50 |  | 1866 | 1777299 |
|  Commercial Mortgage Trust |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; Series 2013-CR12, Class A4, 4.05%, 10/10/46 |  | 1077 | 1059246 |
| &nbsp;&nbsp;&nbsp;&nbsp; Series 2013-CR9, Class A4, 4.27%, 07/10/45<sup>(a)</sup>  |  | 1626 | 1622074 |

---

---

| | | | |
|:---|:---|:---|:---|
| *Security* | *Par<br> (000)* | *Par<br> (000)* | *Value* |
| **Commercial Mortgage-Backed Securities (continued)** | **Commercial Mortgage-Backed Securities (continued)** | **Commercial Mortgage-Backed Securities (continued)** |  |
|  Commercial Mortgage Trust (continued) |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; Series 2014-CR20, Class A3, 3.33%, 11/10/47 | $| 3429 | $3288854 |
| &nbsp;&nbsp;&nbsp;&nbsp; Series 2014-UBS2, Class A5, 3.96%, 03/10/47 |  | 413 | 405805 |
| &nbsp;&nbsp;&nbsp;&nbsp; Series 2015-PC1, Class A5, 3.90%, 07/10/50 |  | 1243 | 1209166 |
| &nbsp;&nbsp;&nbsp;&nbsp; Series 2016-CR28, Class A4, 3.76%, 02/10/49 |  | 620 | 596783 |
|  CSAIL Commercial Mortgage Trust |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; Series 2015-C3, Class A4, 3.72%, 08/15/48 |  | 829 | 800940 |
| &nbsp;&nbsp;&nbsp;&nbsp; Series 2016-C7, Class A5, 3.50%, 11/15/49 |  | 3984 | 3783511 |
| &nbsp;&nbsp;&nbsp;&nbsp; Series 2018-CX11, Class A5, 4.03%, 04/15/51<sup>(a)</sup>  |  | 3319 | 3189408 |
|  DBJPM Mortgage Trust, Series 2016-C3, Class A5, 2.89%, 08/10/49 |  | 6225 | 5793530 |
|  Federal Home Loan Mortgage Corp. Multifamily |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; Structured Pass-Through Certificates, |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; Series K146, Class A2, 2.92%, 06/25/32 |  | 2000 | 1826374 |
|  GS Mortgage Securities Corp. II, Series 2018-GS10, Class A5, 4.16%, 07/10/51<sup>(a)</sup>  |  | 2489 | 2410529 |
|  GS Mortgage Securities Trust |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; Series 2014-GC24, Class A5, 3.93%, 09/10/47 |  | 5809 | 5658317 |
| &nbsp;&nbsp;&nbsp;&nbsp; Series 2015-GC30, Class A4, 3.38%, 05/10/50 |  | 496 | 476005 |
| &nbsp;&nbsp;&nbsp;&nbsp; Series 2015-GS1, Class A3, 3.73%, 11/10/48 |  | 1908 | 1834136 |
|  JP Morgan Chase Commercial Mortgage Securities Trust, Series 2014-C20, Class A5, 3.80%, 07/15/47 |  | 1160 | 1130999 |
|  JPMBB Commercial Mortgage Securities Trust |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; Series 2014-C18, Class A5, 4.08%, 02/15/47 |  | 163 | 159841 |
| &nbsp;&nbsp;&nbsp;&nbsp; Series 2014-C22, Class A4, 3.80%, 09/15/47 |  | 225 | 218664 |
| &nbsp;&nbsp;&nbsp;&nbsp; Series 2015-C31, Class A3, 3.80%, 08/15/48 |  | 1620 | 1561705 |
|  JPMCC Commercial Mortgage Securities Trust, Series 2017-JP7, Class A5, 3.45%, 09/15/50 |  | 2903 | 2733842 |
|  JPMDB Commercial Mortgage Securities Trust, Series 2017-C7, Class A5, 3.41%, 10/15/50 |  | 4979 | 4687199 |
|  Morgan Stanley Bank of America Merrill Lynch Trust |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; Series 2013-C10, Class AS, 4.07%, 07/15/46<sup>(a)</sup>  |  | 2073 | 2049032 |
| &nbsp;&nbsp;&nbsp;&nbsp; Series 2014-C16, Class A4, 3.60%, 06/15/47 |  | 2385 | 2329953 |
| &nbsp;&nbsp;&nbsp;&nbsp; Series 2015-C24, Class A4, 3.73%, 05/15/48 |  | 620 | 598735 |
| &nbsp;&nbsp;&nbsp;&nbsp; Series 2016-C28, Class A4, 3.54%, 01/15/49 |  | 5621 | 5370255 |
|  Morgan Stanley Capital I Trust |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; Series 2015-UBS8, Class A4, 3.81%, 12/15/48 |  | 978 | 942776 |
| &nbsp;&nbsp;&nbsp;&nbsp; Series 2018-H3, Class A4, 3.91%, 07/15/51 |  | 2489 | 2390885 |
| &nbsp;&nbsp;&nbsp;&nbsp; Series 2019-H6, Class A4, 3.42%, 06/15/52 |  | 488 | 448336 |
| &nbsp;&nbsp;&nbsp;&nbsp; Series 2019-L3, Class AS, 3.49%, 11/15/52 |  | 628 | 550861 |
|  Wells Fargo Commercial Mortgage Trust |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; Series 2015-C27, Class A5, 3.45%, 02/15/48 |  | 1243 | 1197790 |
| &nbsp;&nbsp;&nbsp;&nbsp; Series 2015-SG1, Class A4, 3.79%, 09/15/48 |  | 4028 | 3885655 |
| &nbsp;&nbsp;&nbsp;&nbsp; Series 2019-C49, Class A5, 4.02%, 03/15/52 |  | 3195 | 3070193 |
| &nbsp;&nbsp;&nbsp;&nbsp; Series 2020-C56, Class A5, 2.45%, 06/15/53 |  | 2580 | 2220317 |
| &nbsp;&nbsp;&nbsp;&nbsp; Series 2020-C58, Class A4, 2.09%, 07/15/53 |  | 2349 | 1938508 |
|  **Total Non-Agency Mortgage-Backed Securities — 3.2%<br>(Cost: $147,424,101)** | **Total Non-Agency Mortgage-Backed Securities — 3.2%<br>(Cost: $147,424,101)** | **Total Non-Agency Mortgage-Backed Securities — 3.2%<br>(Cost: $147,424,101)** | 132832247 |
|  **U.S. Government Sponsored Agency Securities** | **U.S. Government Sponsored Agency Securities** | **U.S. Government Sponsored Agency Securities** | **U.S. Government Sponsored Agency Securities** |
| **Agency Obligations — 1.1%** |  |  |  |
|  Fannie Mae Mortgage-Backed Securities 3.50%, 07/01/52 |  | 4000 | 3754641 |
| &nbsp;&nbsp;&nbsp;&nbsp; 4.50%, 10/01/52 - 12/01/52 |  | 12398 | 12265250 |
| &nbsp;&nbsp;&nbsp;&nbsp; 5.00%, 01/01/53 |  | 10065 | 10123976 |
|  Freddie Mac Mortgage-Backed Securities<br>3.50%, 04/01/52 |  | 1397 | 1326495 |
| &nbsp;&nbsp;&nbsp;&nbsp; 4.00%, 07/01/52 - 10/01/52 |  | 7200 | 6985723 |

---

1<br>

------

---

| | |
|:---|:---|
| Schedule of Investments (unaudited) (continued)<br> January 31, 2023 | **iShares U.S. Securitized Bond Index Fund**<br> **(Percentages shown are based on Net Assets)** |

---

---

| | | | |
|:---|:---|:---|:---|
| *Security* | *Par*<br> &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;*(000)* | *Par*<br> &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;*(000)* | *Value* |
| **Agency Obligations (continued)** | **Agency Obligations (continued)** | **Agency Obligations (continued)** |  |
|  Freddie Mac Mortgage-Backed |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; Securities (continued) 5.00%, 01/01/53 | $| 3000 | $3012913 |
| &nbsp;&nbsp;&nbsp;&nbsp; 5.50%, 01/01/53 |  | 6250 | 6486411 |
|  Ginnie Mae Mortgage-Backed Securities, 3.00%, 09/20/52 |  | 3755 | 3453693 |
|  |  |  | 47409102 |
| **Mortgage-Backed Securities — 94.5%** | **Mortgage-Backed Securities — 94.5%** | **Mortgage-Backed Securities — 94.5%** |  |
|  Fannie Mae |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; Series 2014-M13, Class A2, 3.02%, 08/25/24<sup>(a)</sup>  |  | 197 | 191349 |
| &nbsp;&nbsp;&nbsp;&nbsp; Series 2016-M5, Class A2, 2.47%, 04/25/26 |  | 5071 | 4818457 |
| &nbsp;&nbsp;&nbsp;&nbsp; Series 2016-M6, Class A2, 2.49%, 05/25/26 |  | 5112 | 4861012 |
| &nbsp;&nbsp;&nbsp;&nbsp; Series 2017-M15, Class A2, 2.96%, 09/25/27<sup>(a)</sup>  |  | 3092 | 2966913 |
| &nbsp;&nbsp;&nbsp;&nbsp; Series 2018-M12, Class A2, 3.63%, 08/25/30<sup>(a)</sup>  |  | 2489 | 2436376 |
| &nbsp;&nbsp;&nbsp;&nbsp; Series 2018-M3, Class A2, 3.07%, 02/25/30<sup>(a)</sup>  |  | 7296 | 6870867 |
| &nbsp;&nbsp;&nbsp;&nbsp; Series 2019-M22, Class A2, 2.52%, 08/25/29 |  | 3720 | 3375099 |
| &nbsp;&nbsp;&nbsp;&nbsp; Series 2020-M46, Class A2, 1.32%, 05/25/30 |  | 4549 | 3780331 |
| &nbsp;&nbsp;&nbsp;&nbsp; Series 2021-M17, Class A2, 1.71%, 07/25/31<sup>(a)</sup>  |  | 2489 | 2038130 |
| &nbsp;&nbsp;&nbsp;&nbsp; Series 2022-M21, Class A2, 1.60%, 04/25/31<sup>(a)</sup>  |  | 3536 | 2901563 |
|  Fannie Mae Mortgage-Backed Securities 3.00%, 02/01/47 |  | 1023 | 952930 |
| &nbsp;&nbsp;&nbsp;&nbsp; 4.00%, 02/01/47 - 02/01/57 |  | 3460 | 3392142 |
| &nbsp;&nbsp;&nbsp;&nbsp; 3.50%, 11/01/51 |  | 5333 | 5068070 |
| &nbsp;&nbsp;&nbsp;&nbsp; (12 mo. LIBOR US + 1.53%), 3.21%, 05/01/43<sup>(a)</sup>  |  | 47 | 46383 |
| &nbsp;&nbsp;&nbsp;&nbsp; (12 mo. LIBOR US + 1.54%), 3.39%, 06/01/43<sup>(a)</sup>  |  | 59 | 59421 |
| &nbsp;&nbsp;&nbsp;&nbsp; (12 mo. LIBOR US + 1.70%), 3.95%, 08/01/42<sup>(a)</sup>  |  | 13 | 13527 |
| &nbsp;&nbsp;&nbsp;&nbsp; (12 mo. LIBOR US + 1.75%), 4.00%, 08/01/41<sup>(a)</sup>  |  | 4 | 3971 |
| &nbsp;&nbsp;&nbsp;&nbsp; (12 mo. LIBOR US + 1.83%), 4.08%, 11/01/40<sup>(a)</sup>  |  | 2 | 2448 |
|  Freddie Mac Mortgage-Backed Securities<br>8.00%, 12/01/24 |  | 7 | 6529 |
| &nbsp;&nbsp;&nbsp;&nbsp; 3.00%, 03/01/27 - 10/01/47 |  | 37761 | 35401315 |
| &nbsp;&nbsp;&nbsp;&nbsp; 2.50%, 07/01/28 - 01/01/33 |  | 9351 | 8879412 |
| &nbsp;&nbsp;&nbsp;&nbsp; 3.50%, 03/01/32 - 06/01/49 |  | 36985 | 35536824 |
| &nbsp;&nbsp;&nbsp;&nbsp; 5.00%, 04/01/33 - 04/01/49 |  | 1695 | 1732971 |
| &nbsp;&nbsp;&nbsp;&nbsp; 4.00%, 05/01/33 - 01/01/49 |  | 12706 | 12525925 |
| &nbsp;&nbsp;&nbsp;&nbsp; 5.50%, 06/01/35 - 01/01/39 |  | 55 | 57348 |
| &nbsp;&nbsp;&nbsp;&nbsp; 4.50%, 06/01/38 - 01/01/49 |  | 5067 | 5324587 |
| &nbsp;&nbsp;&nbsp;&nbsp; (12 mo. LIBOR US + 1.50%), 3.25%, 06/01/43<sup>(a)</sup>  |  | 1 | 1024 |
| &nbsp;&nbsp;&nbsp;&nbsp; (12 mo. LIBOR US + 1.73%), 3.91%, 08/01/41<sup>(a)</sup>  |  | 3 | 3317 |
| &nbsp;&nbsp;&nbsp;&nbsp; (12 mo. LIBOR US + 1.82%), 3.59%, 09/01/40<sup>(a)</sup>  |  | 6 | 6468 |
|  Freddie Mac Multifamily Structured Pass-Through Certificates |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; Series K041, Class A2, 3.17%, 10/25/24 |  | 6225 | 6075774 |
| &nbsp;&nbsp;&nbsp;&nbsp; Series K052, Class A2, 3.15%, 11/25/25 |  | 620 | 601647 |
| &nbsp;&nbsp;&nbsp;&nbsp; Series K063, Class A2, 3.43%, 01/25/27<sup>(a)</sup>  |  | 4150 | 4047937 |
| &nbsp;&nbsp;&nbsp;&nbsp; Series K066, Class A2, 3.12%, 06/25/27 |  | 2903 | 2799830 |
| &nbsp;&nbsp;&nbsp;&nbsp; Series K067, Class A1, 2.90%, 03/25/27 |  | 2378 | 2301422 |
| &nbsp;&nbsp;&nbsp;&nbsp; Series K076, Class A2, 3.90%, 04/25/28 |  | 1659 | 1651959 |
| &nbsp;&nbsp;&nbsp;&nbsp; Series K081, Class A2, 3.90%, 08/25/28<sup>(a)</sup>  |  | 8302 | 8248827 |
| &nbsp;&nbsp;&nbsp;&nbsp; Series K088, Class A2, 3.69%, 01/25/29 |  | 413 | 405924 |
| &nbsp;&nbsp;&nbsp;&nbsp; Series K100, Class A2, 2.67%, 09/25/29 |  | 8302 | 7646559 |
| &nbsp;&nbsp;&nbsp;&nbsp; Series K101, Class A2, 2.52%, 10/25/29 |  | 4690 | 4276927 |
| &nbsp;&nbsp;&nbsp;&nbsp; Series K110, Class A2, 1.48%, 04/25/30 |  | 2190 | 1846274 |
| &nbsp;&nbsp;&nbsp;&nbsp; Series K111, Class A2, 1.35%, 05/25/30 |  | 829 | 690359 |
| &nbsp;&nbsp;&nbsp;&nbsp; Series K123, Class A2, 1.62%, 12/25/30 |  | 8302 | 6962906 |
| &nbsp;&nbsp;&nbsp;&nbsp; Series K126, Class A2, 2.07%, 01/25/31 |  | 9074 | 7865997 |
| &nbsp;&nbsp;&nbsp;&nbsp; Series K144, Class A2, 2.45%, 04/25/32 |  | 5000 | 4406575 |

---

---

| | | | |
|:---|:---|:---|:---|
| *Security* | *Par*<br> &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;*(000)* | *Par*<br> &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;*(000)* | *Value* |
| **Mortgage-Backed Securities (continued)** | **Mortgage-Backed Securities (continued)** | **Mortgage-Backed Securities (continued)** |  |
|  Freddie Mac Multifamily Structured Pass-Through Certificates (continued) |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; Series K-1521, Class A2, 2.18%, 08/25/36 | $| 3967 | $3119776 |
| &nbsp;&nbsp;&nbsp;&nbsp; Series K727, Class A2, 2.95%, 07/25/24 |  | 3578 | 3483193 |
| &nbsp;&nbsp;&nbsp;&nbsp; Series K730, Class A2, 3.59%, 01/25/25<sup>(a)</sup>  |  | 7198 | 7048873 |
| &nbsp;&nbsp;&nbsp;&nbsp; Series K734, Class A2, 3.21%, 02/25/26 |  | 4731 | 4594152 |
|  Ginnie Mae Mortgage-Backed Securities 4.50%, 12/15/23 - 02/21/53<sup>(b)</sup>  |  | 57207 | 56958748 |
| &nbsp;&nbsp;&nbsp;&nbsp; 5.50%, 12/15/32 - 02/21/53<sup>(b)</sup>  |  | 19175 | 19490677 |
| &nbsp;&nbsp;&nbsp;&nbsp; 6.00%, 03/15/35 - 10/20/38 |  | 59 | 63182 |
| &nbsp;&nbsp;&nbsp;&nbsp; 6.50%, 09/15/36 |  | 47 | 48794 |
| &nbsp;&nbsp;&nbsp;&nbsp; 5.00%, 11/15/39 - 02/21/53<sup>(b)</sup>  |  | 27893 | 28205237 |
| &nbsp;&nbsp;&nbsp;&nbsp; 4.00%, 03/15/41 - 02/21/53 |  | 82311 | 80322458 |
| &nbsp;&nbsp;&nbsp;&nbsp; 3.50%, 09/20/42 - 02/21/53 |  | 129830 | 123893200 |
| &nbsp;&nbsp;&nbsp;&nbsp; 3.00%, 01/20/43 - 02/21/53<sup>(b)</sup>  |  | 163744 | 151567966 |
| &nbsp;&nbsp;&nbsp;&nbsp; 2.50%, 05/20/45 - 02/21/53<sup>(b)</sup>  |  | 229382 | 204358263 |
| &nbsp;&nbsp;&nbsp;&nbsp; 2.00%, 07/20/50 - 02/21/53 |  | 204366 | 177097412 |
| &nbsp;&nbsp;&nbsp;&nbsp; 1.50%, 10/20/51 |  | 826 | 682649 |
|  Uniform Mortgage-Backed Securities 4.50%, 05/01/24 - 02/13/53<sup>(b)</sup>  |  | 125378 | 124512179 |
| &nbsp;&nbsp;&nbsp;&nbsp; 4.00%, 10/01/25 - 02/13/53<sup>(b)</sup>  |  | 217555 | 212266266 |
| &nbsp;&nbsp;&nbsp;&nbsp; 3.50%, 02/01/26 - 02/13/53<sup>(b)</sup>  |  | 261676 | 248930269 |
| &nbsp;&nbsp;&nbsp;&nbsp; 3.00%, 01/01/27 - 05/01/52<sup>(b)</sup>  |  | 418568 | 387270813 |
| &nbsp;&nbsp;&nbsp;&nbsp; 2.50%, 09/01/28 - 02/13/53<sup>(b)</sup>  |  | 760533 | 675322644 |
| &nbsp;&nbsp;&nbsp;&nbsp; 7.00%, 02/01/32 |  | 8 | 8073 |
| &nbsp;&nbsp;&nbsp;&nbsp; 6.50%, 07/01/32 |  | 37 | 38551 |
| &nbsp;&nbsp;&nbsp;&nbsp; 5.00%, 11/01/33 - 02/13/53<sup>(b)</sup>  |  | 87275 | 87723553 |
| &nbsp;&nbsp;&nbsp;&nbsp; 6.00%, 03/01/34 - 02/01/49 |  | 1307 | 1389449 |
| &nbsp;&nbsp;&nbsp;&nbsp; 2.00%, 12/01/35 - 02/13/53<sup>(b)</sup>  |  | 1143375 | 984084576 |
| &nbsp;&nbsp;&nbsp;&nbsp; 1.50%, 03/01/36 - 11/01/51 |  | 135624 | 113624014 |
| &nbsp;&nbsp;&nbsp;&nbsp; 5.50%, 04/01/36 - 02/13/53<sup>(b)</sup>  |  | 64161 | 65244836 |
|  |  |  | 3964433429 |
|  **Total U.S. Government Sponsored Agency Securities — 95.6%<br>(Cost: $4,354,190,593)** | **Total U.S. Government Sponsored Agency Securities — 95.6%<br>(Cost: $4,354,190,593)** | **Total U.S. Government Sponsored Agency Securities — 95.6%<br>(Cost: $4,354,190,593)** | 4011842531 |
|  **Total Long-Term Investments — 99.8%<br>(Cost: $4,545,284,764)** | **Total Long-Term Investments — 99.8%<br>(Cost: $4,545,284,764)** | **Total Long-Term Investments — 99.8%<br>(Cost: $4,545,284,764)** | 4186891978 |
|  | *Shares* | *Shares* |  |
| **Short-Term Securities** |  |  |  |
| **Money Market Funds — 15.8%** |  |  |  |
|  BlackRock Cash Funds: Institutional, SL Agency Shares, 4.56%<sup>(c)(d)</sup>  |  | 660302005 | 660698186 |
|  **Total Short-Term Securities — 15.8%<br>(Cost: $660,301,325)** | **Total Short-Term Securities — 15.8%<br>(Cost: $660,301,325)** | **Total Short-Term Securities — 15.8%<br>(Cost: $660,301,325)** | 660698186 |
|  **Total Investments Before TBA Sale Commitments — 115.6%<br>(Cost: $5,205,586,089)** | **Total Investments Before TBA Sale Commitments — 115.6%<br>(Cost: $5,205,586,089)** | **Total Investments Before TBA Sale Commitments — 115.6%<br>(Cost: $5,205,586,089)** | 4847590164 |

---

S C H E D U L E O F I N V E S T M E N T S 2

------

---

| | |
|:---|:---|
| Schedule of Investments (unaudited) (continued)<br> January 31, 2023 | **iShares U.S. Securitized Bond Index Fund**<br> **(Percentages shown are based on Net Assets)** |

---

---

| | | | |
|:---|:---|:---|:---|
| *Security* | *Par<br> (000)* | *Par<br> (000)* | *Value* |
|  **TBA Sale Commitments<sup>(b)</sup>**  | **TBA Sale Commitments<sup>(b)</sup>**  | **TBA Sale Commitments<sup>(b)</sup>**  |  |
| **Mortgage-Backed Securities — (0.8)%** |  |  |  |
|  Uniform Mortgage-Backed Securities 2.00%, 02/16/38 | $| (9775) | $(8882650) |
| &nbsp;&nbsp;&nbsp;&nbsp; 2.50%, 02/16/38 |  | (2000) | (1867559) |
| &nbsp;&nbsp;&nbsp;&nbsp; 3.50%, 02/13/53 |  | (4000) | (3751010) |
| &nbsp;&nbsp;&nbsp;&nbsp; 4.00%, 02/13/53 |  | (7200) | (6952500) |
| &nbsp;&nbsp;&nbsp;&nbsp; 5.00%, 02/13/53 |  | (13000) | (13047734) |
|  **Total TBA Sale Commitments — (0.8)%<br>(Proceeds: $(34478688))** | **Total TBA Sale Commitments — (0.8)%<br>(Proceeds: $(34478688))** | **Total TBA Sale Commitments — (0.8)%<br>(Proceeds: $(34478688))** | (34501453) |
|  **Total Investments, Net of TBA Sale Commitments — 114.8%<br>(Cost: $5,171,107,401)** | **Total Investments, Net of TBA Sale Commitments — 114.8%<br>(Cost: $5,171,107,401)** | **Total Investments, Net of TBA Sale Commitments — 114.8%<br>(Cost: $5,171,107,401)** | 4813088711 |
|  **Liabilities in Excess of Other Assets — (14.8)%** | **Liabilities in Excess of Other Assets — (14.8)%** | **Liabilities in Excess of Other Assets — (14.8)%** | (619534586) |
|  **Net Assets — 100.0%** | **Net Assets — 100.0%** | **Net Assets — 100.0%** | $4193554125 |

---

<sup>(a)</sup> Variable rate security. Interest rate resets periodically. The rate shown is the effective interest rate as of period end. Security description also includes the reference rate and spread if published and available.

<sup>(b)</sup> Represents or includes a TBA transaction.

<sup>(c)</sup> Affiliate of the Fund.

<sup>(d)</sup> Annualized 7-day yield as of period end.

For Fund compliance purposes, the Fund's industry classifications refer to one or more of the industry sub-classifications used by one or more widely recognized market indexes or rating group indexes, and/or as defined by the investment adviser. These definitions may not apply for purposes of this report, which may combine such industry sub-classifications for reporting ease.

**Affiliates** 

Investments in issuers considered to be affiliate(s) of the Fund during the period ended January 31, 2023 for purposes of Section 2(a)(3) of the Investment Company Act of 1940, as amended, were as follows:

---

| | | | | | | | | | |
|:---|:---|:---|:---|:---|:---|:---|:---|:---|:---|
| *Affiliated Issuer* | *Value at<br>10/31/22* | *Purchases<br>at Cost* | *Proceeds<br>from Sales* | *Net<br>Realized<br>Gain (Loss)* | *Change in<br>Unrealized<br>Appreciation<br>(Depreciation)* | *Value at<br>01/31/23* | *Shares*<br> *Held at*<br> *01/31/23* | *Income* | *Capital Gain<br>Distributions<br>from<br>Underlying<br>Funds* |
|  BlackRock Cash Funds: Institutional, SL Agency Shares | $629253363 | $30923523 <sup>(a)</sup> | $– $| 11773 | $509527 | $660698186 | 660302005 | $6937247 | $— |

---

<sup>(a)</sup> Represents net amount purchased (sold). 

**Fair Value Hierarchy as of Period End** 

Various inputs are used in determining the fair value of financial instruments. These inputs to valuation techniques are categorized into a fair value hierarchy consisting of three broad levels for financial reporting purposes as follows:

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;• Level 1 – Unadjusted price quotations in active markets/exchanges for identical assets or liabilities that the
Fund has the ability to access;

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;• Level 2 – Other observable inputs (including, but not limited to, quoted prices for similar assets or
liabilities in markets that are active, quoted prices for identical or similar assets or liabilities in markets that are not active, inputs other than quoted prices that are observable for the assets or liabilities (such as interest rates, yield
curves, volatilities, prepayment speeds, loss severities, credit risks and default rates) or other market–corroborated inputs); and

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;• Level 3 – Unobservable inputs based on the best information available in the circumstances, to the extent
observable inputs are not available (including the Valuation Committee's assumptions used in determining the fair value of financial instruments).

The hierarchy gives the highest priority to unadjusted quoted prices in active markets for identical assets or liabilities (Level 1 measurements) and the lowest priority to unobservable inputs (Level 3 measurements). Accordingly, the degree of judgment exercised in determining fair value is greatest for instruments categorized in Level 3. The inputs used to measure fair value may fall into different levels of the fair value hierarchy. In such cases, for disclosure purposes, the fair value hierarchy classification is determined based on the lowest level input that is significant to the fair value measurement in its entirety. Investments classified within Level 3 have significant unobservable inputs used by the Valuation Committee in determining the price for Fair Valued Investments. Level 3 investments include equity or debt issued by privately held companies or funds. There may not be a secondary market, and/or there are a limited number of investors. The categorization of a value determined for financial instruments is based on the pricing transparency of the financial instruments and is not necessarily an indication of the risks associated with investing in those securities. For information about the Fund's policy regarding valuation of financial instruments, refer to its most recent financial statements.

3<br>

------

---

| | |
|:---|:---|
| Schedule of Investments (unaudited) (continued)<br> January 31, 2023 | **iShares U.S. Securitized Bond Index Fund** |

---

**Fair Value Hierarchy as of Period End (continued)** 

The following table summarizes the Fund's financial instruments categorized in the fair value hierarchy. The breakdown of the Fund's financial instruments into major categories is disclosed in the Schedule of Investments above.

---

| | | | | |
|:---|:---|:---|:---|:---|
|  | *Level 1* | *Level 2* | *Level 3* | *Total* |
|  Assets |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; Investments |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Long-Term Investments |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Asset-Backed Securities | $— | $42217200 | $— | $42217200 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Non-Agency Mortgage-Backed Securities |  | 132832247 |  | 132832247 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; U.S. Government Sponsored Agency Securities |  | 4011842531 |  | 4011842531 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Short-Term Securities |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Money Market Funds | 660698186 |  |  | 660698186 |
|  Liabilities |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; Investments |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; TBA Sale Commitments |  | (34501453) |  | (34501453) |
|  | $660698186 | $4152390525 | $— | $4813088711 |

---

---

| | |
|:---|:---|
| **Portfolio Abbreviation** | **Portfolio Abbreviation** |
| LIBOR | London Interbank Offered Rate |
| TBA | To-Be-Announced |

---

S C H E D U L E O F I N V E S T M E N T S 4

## Form NPORT-P: Monthly Portfolio Investments Report

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

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

- **a. Name of Registrant:** BlackRock Funds

- **b. Investment Company Act file number:** 811-05742

- **c. CIK number of Registrant:** 0000844779

- **d. LEI of Registrant:** 549300OZUEVJZHOBFP42

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

  - **Street Address 1:** 100 Bellevue Parkway

  - **City:** Wilmington

  - **State:** DE

  - **Foreign country:** US

  - **Zip / Postal Code:** 19809

  - **Telephone number:** 800-441-7762

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

- **a. Name of Series:** iShares U.S. Securitized Bond Index Fund

- **b. EDGAR series identifier (if any):** S000075207

- **c. LEI of Series:** 549300IX2EU4EA7H6U85

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

- **a. Date of fiscal year-end:** 2023-10-31

- **b. Date as of which information is reported:** 2023-01-31

**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:** $4784719386.49

**Total Liabilities:** $635281512.83

**Net Assets:** $4149437873.66

**Currency Risk Metrics (dv01):**

- 

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

- **3-Month:** 10180.52000000 | **1-Year:** 19140.35000000 | **5-Year:** 876840.42000000 | **10-Year:** 1698204.42000000 | **30-Year:** 0.00000000

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

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

**Monthly Return Information**

| Class               | Month 1 Return (%)   | Month 2 Return (%)   | Month 3 Return (%)   |
|:---|:---|:---|:---|
| Class ID C000234051 | 4.10%                | -0.71%               | 3.26%                |

**Monthly Gains & Losses**

| Period   | Net Realized Gain/Loss   | Net Unrealized Appreciation/Depreciation   |
|:---|:---|:---|
| Month 1  | $-5249354.23             | $151328328.51                              |
| Month 2  | $22919124.56             | $-62177907.00                              |
| Month 3  | $-659896.12              | $119483010.47                              |

**Designated Index Information**

- **Index Name:** Bloomberg U.S. Securitized: MBS ABS and CMBS Index

- **Index Identifier:** LD19TRUU

### Schedule of Portfolio Investments

| Name                                                      | Title                                                         | Identifiers                                   | Payoff Profile   | Asset Category   | Issuer Category   | Country   |   Balance | Units   | Value (USD)   | % of Net Assets   | Maturity Date   | Coupon Type   | Annualized Rate (%)   | Restricted?   |   Fair Value Level | Lending Status   |
|:---|:---|:---|:---|:---|:---|:---|---:|:---|:---|:---|:---|:---|:---|:---|---:|:---|
| Freddie Mac                                               | Freddie Mac Pool                                              | CUSIP: 3132D6NX4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |  10892638 | PA      | $9925913.81   | 0.24%             | 2036-02-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                               | Freddie Mac Gold Pool                                         | CUSIP: 3132XXHD4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    437029 | PA      | $418085.93    | 0.01%             | 2048-03-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                | Fannie Mae Pool                                               | CUSIP: 31417AXF1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     24095 | PA      | $23366.40     | 0.00%             | 2027-01-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley BAML Trust                                 | Morgan Stanley Bank of America Merrill Lynch Trust 2016-C28   | CUSIP: 61766LBS7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   5621000 | PA      | $5370255.06   | 0.13%             | 2049-01-15      | Fixed         | 3.54%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                               | Freddie Mac Pool                                              | CUSIP: 3133L8W50<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   2525555 | PA      | $2301203.75   | 0.06%             | 2037-01-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| BENCHMARK Mortgage Trust                                  | Benchmark 2019-B10 Mortgage Trust                             | CUSIP: 08162VAE8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2654000 | PA      | $2513535.72   | 0.06%             | 2062-03-15      | Fixed         | 3.72%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                               | Freddie Mac Gold Pool                                         | CUSIP: 3132QWPU7<br>LEI: 254900HROIFWPRGM1V77 | Long             | ABS-MBS          | USGSE             | US        |    113202 | PA      | $108542.54    | 0.00%             | 2046-03-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                               | Freddie Mac Gold Pool                                         | CUSIP: 31307PVG1<br>LEI: 254900HROIFWPRGM1V77 | Long             | ABS-MBS          | USGSE             | US        |     92180 | PA      | $89858.18     | 0.00%             | 2030-12-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                  | Ginnie Mae II Pool                                            | CUSIP: 36179WTZ1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   6961551 | PA      | $6416025.02   | 0.15%             | 2051-12-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                               | Freddie Mac Pool                                              | CUSIP: 3132D6BM1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   7405406 | PA      | $6563339.91   | 0.16%             | 2037-03-01      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                               | Freddie Mac Pool                                              | CUSIP: 3133KM4V4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   3842316 | PA      | $3237841.67   | 0.08%             | 2051-11-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                | Fannie Mae Pool                                               | CUSIP: 3140QLFF8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   4802168 | PA      | $4218320.84   | 0.10%             | 2051-07-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                | Fannie Mae Pool                                               | CUSIP: 3140EVJC2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    925126 | PA      | $885770.52    | 0.02%             | 2046-02-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                               | Freddie Mac Gold Pool                                         | CUSIP: 31335AYT9<br>LEI: 254900HROIFWPRGM1V77 | Long             | ABS-MBS          | USGSE             | US        |   2165234 | PA      | $2011460.53   | 0.05%             | 2046-10-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                | Fannie Mae Pool                                               | CUSIP: 3140XBKS8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   6098351 | PA      | $5812747.06   | 0.14%             | 2049-06-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                               | Freddie Mac Pool                                              | CUSIP: 3133L8CY9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   3401992 | PA      | $3099921.16   | 0.07%             | 2036-03-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                               | Freddie Mac Gold Pool                                         | CUSIP: 31335BN44<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   1596432 | PA      | $1527232.35   | 0.04%             | 2048-02-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                | Fannie Mae Pool                                               | CUSIP: 3140X5S38<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    770684 | PA      | $775613.28    | 0.02%             | 2049-02-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                | Fannie Mae Pool                                               | CUSIP: 3140J7K53<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1624412 | PA      | $1615149.57   | 0.04%             | 2047-10-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                  | Ginnie Mae II Pool                                            | CUSIP: 36179UXV9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    387775 | PA      | $387035.55    | 0.01%             | 2049-08-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                | Fannie Mae Pool                                               | CUSIP: 3140Q7NZ6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    447607 | PA      | $427512.69    | 0.01%             | 2047-09-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                | Fannie Mae Pool                                               | CUSIP: 3140QBZF8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    686232 | PA      | $631804.62    | 0.02%             | 2048-03-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| CarMax Auto Owner Trust                                   | Carmax Auto Owner Trust 2021-1                                | CUSIP: 14316NAC3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1305251 | PA      | $1259467.16   | 0.03%             | 2025-12-15      | Fixed         | 0.34%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                | Fannie Mae Pool                                               | CUSIP: 3140XCUG1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   3482750 | PA      | $3177421.38   | 0.08%             | 2051-08-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                | Fannie Mae Pool                                               | CUSIP: 3140F8KT3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     28166 | PA      | $27706.11     | 0.00%             | 2046-06-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                | Fannie Mae Pool                                               | CUSIP: 3138WEPF0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    464626 | PA      | $446244.56    | 0.01%             | 2045-05-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                               | Freddie Mac Gold Pool                                         | CUSIP: 31335BQS8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    171803 | PA      | $173240.25    | 0.00%             | 2046-01-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                               | Freddie Mac Gold Pool                                         | CUSIP: 31335CC36<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    169817 | PA      | $167388.52    | 0.00%             | 2047-02-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                | Fannie Mae Pool                                               | CUSIP: 3140J7T39<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    874998 | PA      | $831172.81    | 0.02%             | 2032-04-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                | Fannie Mae Pool                                               | CUSIP: 31418VNM0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      6215 | PA      | $6361.01      | 0.00%             | 2040-07-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                | Fannie Mae Pool                                               | CUSIP: 3138WKZM0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1398288 | PA      | $1384864.51   | 0.03%             | 2047-06-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                               | Freddie Mac Gold Pool                                         | CUSIP: 3132WEWJ7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    361741 | PA      | $336705.17    | 0.01%             | 2046-07-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                               | Freddie Mac Gold Pool                                         | CUSIP: 3132L9V69<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   1068290 | PA      | $1020874.21   | 0.02%             | 2048-05-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                | Fannie Mae Pool                                               | CUSIP: 31416RAA1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      3071 | PA      | $3105.02      | 0.00%             | 2024-05-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                | Fannie Mae Pool                                               | CUSIP: 31416BK72<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    192707 | PA      | $203072.35    | 0.00%             | 2038-06-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                | Fannie Mae Pool                                               | CUSIP: 31418ECC2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  14584245 | PA      | $12925715.12  | 0.31%             | 2037-03-01      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                | Fannie Mae Pool                                               | CUSIP: 3140QNAK8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   4386003 | PA      | $3996413.88   | 0.10%             | 2037-01-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                | Fannie Mae Pool                                               | CUSIP: 3140QGJ40<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   2461140 | PA      | $2242648.74   | 0.05%             | 2035-12-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                               | Freddie Mac Gold Pool                                         | CUSIP: 3128MJ3K4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    780477 | PA      | $766249.90    | 0.02%             | 2048-02-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                | Fannie Mae Pool                                               | CUSIP: 3140KVZM5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   4182427 | PA      | $3531222.92   | 0.09%             | 2051-02-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                | Fannie Mae Pool                                               | CUSIP: 3140FPCG2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    665020 | PA      | $636038.68    | 0.02%             | 2047-06-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                  | Ginnie Mae I Pool                                             | CUSIP: 3620ASAG4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     80805 | PA      | $79876.73     | 0.00%             | 2041-03-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                | Fannie Mae Pool                                               | CUSIP: 3140FSH22<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    306231 | PA      | $292854.41    | 0.01%             | 2047-01-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                | Fannie Mae Pool                                               | CUSIP: 3138LVU50<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     97678 | PA      | $95976.78     | 0.00%             | 2032-06-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Wells Fargo Commercial Mortgage Trust                     | Wells Fargo Commercial Mortgage Trust 2020-C56                | CUSIP: 95002RAX6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2580000 | PA      | $2220317.30   | 0.05%             | 2053-06-15      | Fixed         | 2.45%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                  | Ginnie Mae II Pool                                            | CUSIP: 36179T7J8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    682144 | PA      | $653214.72    | 0.02%             | 2048-08-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                | Fannie Mae Pool                                               | CUSIP: 3140Q9DY6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1000852 | PA      | $1027924.91   | 0.02%             | 2048-06-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                               | Freddie Mac Gold Pool                                         | CUSIP: 3132XCR49<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   1709865 | PA      | $1647762.77   | 0.04%             | 2048-01-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                | Fannie Mae Pool                                               | CUSIP: 3140EVPN1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     46143 | PA      | $44938.58     | 0.00%             | 2031-02-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                | Fannie Mae Pool                                               | CUSIP: 3140XDCU8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1815165 | PA      | $1538033.42   | 0.04%             | 2051-10-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                  | Ginnie Mae II Pool                                            | CUSIP: 36179WNE4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1987855 | PA      | $1774431.63   | 0.04%             | 2051-09-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| UMBS, TBA                                                 | Uniform Mortgage-Backed Security, TBA                         | CUSIP: 01F040628<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |  47125000 | PA      | $45505078.13  | 1.10%             | 2053-02-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                  | Ginnie Mae II Pool                                            | CUSIP: 36179SYS0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   2750688 | PA      | $2638460.94   | 0.06%             | 2047-03-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                               | Freddie Mac Pool                                              | CUSIP: 3133KKLQ0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   6993539 | PA      | $6169784.52   | 0.15%             | 2050-11-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                  | Ginnie Mae II Pool                                            | CUSIP: 3622A26G2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   3771331 | PA      | $3612342.89   | 0.09%             | 2047-08-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                | Fannie Mae Pool                                               | CUSIP: 3140J8CA9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    913081 | PA      | $858789.47    | 0.02%             | 2045-05-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                | Fannie Mae Pool                                               | CUSIP: 3140XGTV1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   3681462 | PA      | $3609938.31   | 0.09%             | 2051-05-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                | Fannie Mae Pool                                               | CUSIP: 31418DJT0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    701161 | PA      | $682677.86    | 0.02%             | 2049-12-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                | Fannie Mae Pool                                               | CUSIP: 31418DTQ5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   6359441 | PA      | $5387347.80   | 0.13%             | 2050-10-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                               | Freddie Mac Gold Pool                                         | CUSIP: 3132M7JN9<br>LEI: 254900HROIFWPRGM1V77 | Long             | ABS-MBS          | USGSE             | US        |    295747 | PA      | $291805.18    | 0.01%             | 2044-06-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                | Fannie Mae Pool                                               | CUSIP: 3138W7GD0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    577276 | PA      | $542914.88    | 0.01%             | 2043-03-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                | Fannie Mae Pool                                               | CUSIP: 3140Q9XX6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    447126 | PA      | $450124.78    | 0.01%             | 2048-10-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                | Fannie Mae Pool                                               | CUSIP: 3140XF5J6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   8875541 | PA      | $8070339.95   | 0.19%             | 2052-02-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                               | Freddie Mac Gold Pool                                         | CUSIP: 3128MMVU4<br>LEI: 254900HROIFWPRGM1V77 | Long             | ABS-MBS          | USGSE             | US        |   4658954 | PA      | $4430305.78   | 0.11%             | 2032-01-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                | Fannie Mae Pool                                               | CUSIP: 3140Q8D77<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    979745 | PA      | $987013.82    | 0.02%             | 2048-01-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                               | Freddie Mac Gold Pool                                         | CUSIP: 3132WMNJ9<br>LEI: 254900HROIFWPRGM1V77 | Long             | ABS-MBS          | USGSE             | US        |    183575 | PA      | $175769.94    | 0.00%             | 2047-04-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                | Fannie Mae Pool                                               | CUSIP: 31418RGE5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    201864 | PA      | $206984.39    | 0.00%             | 2040-04-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                  | Ginnie Mae II Pool                                            | CUSIP: 36202FUF1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     45330 | PA      | $46123.09     | 0.00%             | 2041-06-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                | Fannie Mae Pool                                               | CUSIP: 3140EU2G3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    266845 | PA      | $259487.35    | 0.01%             | 2031-03-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                | Fannie Mae Pool                                               | CUSIP: 3140E6MN9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     36615 | PA      | $34100.88     | 0.00%             | 2045-11-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                               | Freddie Mac Gold Pool                                         | CUSIP: 31307RD85<br>LEI: 254900HROIFWPRGM1V77 | Long             | ABS-MBS          | USGSE             | US        |     31027 | PA      | $30244.03     | 0.00%             | 2031-06-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                | Fannie Mae Pool                                               | CUSIP: 3140Q7X28<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    516571 | PA      | $505585.97    | 0.01%             | 2047-11-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                | Fannie Mae Pool                                               | CUSIP: 31417BXP7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     56479 | PA      | $54513.05     | 0.00%             | 2042-05-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Barclays Commercial Mortgage Securities LLC               | BBCMS Mortgage Trust 2020-C7                                  | CUSIP: 05492VAF2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   5536000 | PA      | $4660013.25   | 0.11%             | 2053-04-15      | Fixed         | 2.04%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                | Fannie Mae Pool                                               | CUSIP: 3140X8RS8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  12271138 | PA      | $10426624.04  | 0.25%             | 2050-12-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                | Fannie Mae Pool                                               | CUSIP: 3140Q8VZ5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    403306 | PA      | $390352.94    | 0.01%             | 2048-04-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                | Fannie Mae Pool                                               | CUSIP: 3140X4QW9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   4139354 | PA      | $3853409.64   | 0.09%             | 2046-11-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Hyundai Auto Receivables Trust                            | Hyundai Auto Receivables Trust 2022-B                         | CUSIP: 44918MAD2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    620000 | PA      | $609887.12    | 0.01%             | 2026-11-16      | Fixed         | 3.72%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                               | Freddie Mac Gold Pool                                         | CUSIP: 31335BYT7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   1027922 | PA      | $954196.67    | 0.02%             | 2047-10-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                               | Freddie Mac Gold Pool                                         | CUSIP: 3132VPK23<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    124605 | PA      | $126910.56    | 0.00%             | 2049-04-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                | Fannie Mae Pool                                               | CUSIP: 3140ECR92<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     72152 | PA      | $68971.02     | 0.00%             | 2046-05-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                | Fannie Mae Pool                                               | CUSIP: 31418D4X7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  92692818 | PA      | $77981108.76  | 1.88%             | 2051-10-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                | Fannie Mae Pool                                               | CUSIP: 3138ERM49<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    233314 | PA      | $227211.03    | 0.01%             | 2031-09-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                               | Freddie Mac Pool                                              | CUSIP: 3133KKWK1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   8611513 | PA      | $7300837.81   | 0.18%             | 2050-12-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                | Fannie Mae Pool                                               | CUSIP: 3140JPN35<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1114770 | PA      | $1073671.49   | 0.03%             | 2049-06-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                | Fannie Mae Pool                                               | CUSIP: 3140XBAD2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  10588604 | PA      | $8941860.19   | 0.22%             | 2051-05-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                  | Ginnie Mae II Pool                                            | CUSIP: 36179VFP0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   8002913 | PA      | $7418938.42   | 0.18%             | 2050-02-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                               | Freddie Mac Pool                                              | CUSIP: 3132DMUS2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |  10035392 | PA      | $9355914.40   | 0.23%             | 2051-05-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                               | Freddie Mac Gold Pool                                         | CUSIP: 3132QWP29<br>LEI: 254900HROIFWPRGM1V77 | Long             | ABS-MBS          | USGSE             | US        |     12752 | PA      | $12577.74     | 0.00%             | 2046-03-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                | Fannie Mae Pool                                               | CUSIP: 3140F5RX3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     35344 | PA      | $33802.20     | 0.00%             | 2046-08-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                               | Freddie Mac Gold Pool                                         | CUSIP: 3132XUJV8<br>LEI: 254900HROIFWPRGM1V77 | Long             | ABS-MBS          | USGSE             | US        |     67394 | PA      | $66354.63     | 0.00%             | 2047-11-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                | Fannie Mae Pool                                               | CUSIP: 31417GKN5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      6014 | PA      | $5807.43      | 0.00%             | 2033-05-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                               | Freddie Mac Pool                                              | CUSIP: 3133L8U52<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   5505978 | PA      | $5016869.38   | 0.12%             | 2037-01-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                | Fannie Mae Pool                                               | CUSIP: 3140XDKZ8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    746789 | PA      | $661934.90    | 0.02%             | 2036-10-01      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| COMM Mortgage Trust                                       | COMM 2015-PC1 Mortgage Trust                                  | CUSIP: 12593GAF9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1243000 | PA      | $1209165.66   | 0.03%             | 2050-07-10      | Fixed         | 3.90%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                | Fannie Mae Pool                                               | CUSIP: 3140XDX84<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    787662 | PA      | $718015.10    | 0.02%             | 2036-12-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                | Fannie Mae Pool                                               | CUSIP: 3138WK3C7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    602622 | PA      | $578468.65    | 0.01%             | 2047-06-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                  | Ginnie Mae I Pool                                             | CUSIP: 3622A2XW7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1141842 | PA      | $1055439.78   | 0.03%             | 2046-12-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                | Fannie Mae Pool                                               | CUSIP: 3138WJNJ3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1678868 | PA      | $1614086.97   | 0.04%             | 2046-12-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                | Fannie Mae Pool                                               | CUSIP: 3138WJW53<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    251645 | PA      | $245059.11    | 0.01%             | 2032-02-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                               | Freddie Mac Pool                                              | CUSIP: 3132D54E9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   3063288 | PA      | $2943333.91   | 0.07%             | 2034-12-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                | Fannie Mae Pool                                               | CUSIP: 3140QLY42<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  14908282 | PA      | $13081837.87  | 0.32%             | 2051-09-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                | Fannie Mae Pool                                               | CUSIP: 3138WERK7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    578672 | PA      | $555297.58    | 0.01%             | 2045-05-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                  | Ginnie Mae I Pool                                             | CUSIP: 36296Q2T5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     53163 | PA      | $53878.90     | 0.00%             | 2039-07-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                | Fannie Mae Pool                                               | CUSIP: 3138AHPM2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      3915 | PA      | $3971.49      | 0.00%             | 2041-08-01      | Floating      | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                | Fannie Mae Pool                                               | CUSIP: 3140MGLC3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   7849934 | PA      | $6610031.10   | 0.16%             | 2052-02-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                               | Freddie Mac Gold Pool                                         | CUSIP: 3132WH6K6<br>LEI: 254900HROIFWPRGM1V77 | Long             | ABS-MBS          | USGSE             | US        |     85405 | PA      | $81774.43     | 0.00%             | 2046-11-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                | Fannie Mae Pool                                               | CUSIP: 3138WHL34<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     40360 | PA      | $38591.12     | 0.00%             | 2046-07-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| JPMBB Commercial Mortgage Securities Trust                | JPMBB Commercial Mortgage Securities Trust 2015-C31           | CUSIP: 46644YAU4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1619930 | PA      | $1561705.16   | 0.04%             | 2048-08-15      | Fixed         | 3.80%                 | No            |                  2 | On Loan: No      |
| BENCHMARK Mortgage Trust                                  | Benchmark 2020-B21 Mortgage Trust                             | CUSIP: 08163LAE9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2988000 | PA      | $2446264.54   | 0.06%             | 2053-12-17      | Fixed         | 1.70%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                | Fannie Mae Pool                                               | CUSIP: 31418D6B3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  30391255 | PA      | $25567691.00  | 0.62%             | 2051-11-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                | Fannie Mae Pool                                               | CUSIP: 31418CWU4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    541334 | PA      | $540941.03    | 0.01%             | 2048-05-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                  | Ginnie Mae II Pool                                            | CUSIP: 36179QWE7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    233994 | PA      | $224684.05    | 0.01%             | 2044-12-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                               | Freddie Mac Gold Pool                                         | CUSIP: 31306XQY2<br>LEI: 254900HROIFWPRGM1V77 | Long             | ABS-MBS          | USGSE             | US        |     15772 | PA      | $15284.52     | 0.00%             | 2027-09-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                               | Freddie Mac Gold Pool                                         | CUSIP: 31307STN3<br>LEI: 254900HROIFWPRGM1V77 | Long             | ABS-MBS          | USGSE             | US        |    706334 | PA      | $670514.71    | 0.02%             | 2031-12-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                | Fannie Mae Pool                                               | CUSIP: 3138WLBG7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    485599 | PA      | $467696.52    | 0.01%             | 2047-07-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                | Fannie Mae Pool                                               | CUSIP: 3138YUH79<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    343176 | PA      | $333724.07    | 0.01%             | 2030-09-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                | Fannie Mae Pool                                               | CUSIP: 3138EHRM6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      7288 | PA      | $7192.17      | 0.00%             | 2027-01-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                | Fannie Mae Pool                                               | CUSIP: 3138WKQY4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    722230 | PA      | $727522.26    | 0.02%             | 2047-04-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                | Fannie Mae Pool                                               | CUSIP: 3140EULG2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    887394 | PA      | $850101.99    | 0.02%             | 2045-12-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                | Fannie Mae Pool                                               | CUSIP: 3140XAJP8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  11322370 | PA      | $9983935.60   | 0.24%             | 2051-03-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                  | Ginnie Mae II Pool                                            | CUSIP: 36179UML3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   2421941 | PA      | $2375942.35   | 0.06%             | 2049-02-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                | Fannie Mae Pool                                               | CUSIP: 3138YEN60<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    638102 | PA      | $613510.35    | 0.01%             | 2045-03-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                               | Freddie Mac Gold Pool                                         | CUSIP: 3132WHPV1<br>LEI: 254900HROIFWPRGM1V77 | Long             | ABS-MBS          | USGSE             | US        |    865419 | PA      | $802704.63    | 0.02%             | 2046-10-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                  | Ginnie Mae I Pool                                             | CUSIP: 3617BKN98<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1611781 | PA      | $1481567.60   | 0.04%             | 2049-10-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                | Fannie Mae Pool                                               | CUSIP: 3138WHQA3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    151188 | PA      | $148685.34    | 0.00%             | 2046-08-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                  | Ginnie Mae II Pool                                            | CUSIP: 36179SJS7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |  10939543 | PA      | $10208374.63  | 0.25%             | 2046-08-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                               | Freddie Mac Gold Pool                                         | CUSIP: 3132J86M7<br>LEI: 254900HROIFWPRGM1V77 | Long             | ABS-MBS          | USGSE             | US        |    175456 | PA      | $169520.21    | 0.00%             | 2043-04-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                | Fannie Mae Pool                                               | CUSIP: 3140Q9DC4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    447590 | PA      | $453806.08    | 0.01%             | 2048-06-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                               | Freddie Mac Gold Pool                                         | CUSIP: 3132WMJ62<br>LEI: 254900HROIFWPRGM1V77 | Long             | ABS-MBS          | USGSE             | US        |     87506 | PA      | $83731.73     | 0.00%             | 2047-04-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                | Fannie Mae Pool                                               | CUSIP: 3140XHHM2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   9546689 | PA      | $8698486.45   | 0.21%             | 2037-05-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                | Fannie Mae Pool                                               | CUSIP: 31417LA88<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     52957 | PA      | $53818.74     | 0.00%             | 2039-09-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                | Fannie Mae Pool                                               | CUSIP: 3140XCLX4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   5196352 | PA      | $4560378.27   | 0.11%             | 2051-08-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                | Fannie Mae Pool                                               | CUSIP: 3138WHNL2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    160851 | PA      | $153783.94    | 0.00%             | 2046-07-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                  | Ginnie Mae II Pool                                            | CUSIP: 36202FHY5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     42268 | PA      | $43496.95     | 0.00%             | 2040-07-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                | Fannie Mae Pool                                               | CUSIP: 3138WHT44<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     56770 | PA      | $57196.93     | 0.00%             | 2046-08-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                | Fannie Mae Pool                                               | CUSIP: 3140FFEY3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     26451 | PA      | $26068.26     | 0.00%             | 2046-09-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                | Fannie Mae Pool                                               | CUSIP: 31419GAS3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      2407 | PA      | $2448.16      | 0.00%             | 2040-11-01      | Floating      | 4.08%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                               | Freddie Mac Gold Pool                                         | CUSIP: 3132GEWW6<br>LEI: 254900HROIFWPRGM1V77 | Long             | ABS-MBS          | USGSE             | US        |    188511 | PA      | $190694.10    | 0.00%             | 2041-06-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                  | Ginnie Mae II Pool                                            | CUSIP: 36179TG41<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   2243404 | PA      | $2157041.95   | 0.05%             | 2047-09-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                  | Ginnie Mae II Pool                                            | CUSIP: 36179TCY9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   5747314 | PA      | $5657389.56   | 0.14%             | 2047-07-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                | Fannie Mae Pool                                               | CUSIP: 3140X9Y90<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   3098311 | PA      | $2617586.66   | 0.06%             | 2051-02-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                | Fannie Mae Pool                                               | CUSIP: 3140QNWM0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   2205265 | PA      | $1932603.70   | 0.05%             | 2052-04-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                               | Freddie Mac Pool                                              | CUSIP: 31334YPK7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   4176491 | PA      | $3887820.90   | 0.09%             | 2046-07-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                  | Ginnie Mae II Pool                                            | CUSIP: 36179V7D6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |  25554922 | PA      | $22207388.86  | 0.54%             | 2051-02-20      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                | Fannie Mae Pool                                               | CUSIP: 3140XDFV3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1358498 | PA      | $1149092.18   | 0.03%             | 2051-10-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                | Fannie Mae Pool                                               | CUSIP: 3140Q8VC6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    110073 | PA      | $105184.91    | 0.00%             | 2048-04-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                | Fannie Mae Pool                                               | CUSIP: 3140J9Q53<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    427139 | PA      | $420952.43    | 0.01%             | 2045-03-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                               | Freddie Mac Pool                                              | CUSIP: 3132DWD59<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   7212008 | PA      | $6319406.30   | 0.15%             | 2052-07-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                  | Ginnie Mae II Pool                                            | CUSIP: 36197EFP6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    709606 | PA      | $679674.19    | 0.02%             | 2047-04-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                  | Ginnie Mae II Pool                                            | CUSIP: 36202EW54<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     46335 | PA      | $49331.88     | 0.00%             | 2038-10-20      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                | Fannie Mae Pool                                               | CUSIP: 3140Q7RP4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    508802 | PA      | $499435.92    | 0.01%             | 2047-10-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                               | Freddie Mac Pool                                              | CUSIP: 3132A5HX6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1795108 | PA      | $1655347.68   | 0.04%             | 2047-12-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                               | Freddie Mac Pool                                              | CUSIP: 3133KM3Z6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   3100479 | PA      | $2621103.49   | 0.06%             | 2051-11-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                  | Ginnie Mae                                                    | CUSIP: 21H020626<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   9625000 | PA      | $8316977.52   | 0.20%             | 2053-02-21      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                               | Freddie Mac Gold Pool                                         | CUSIP: 3128MJZM5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   2922986 | PA      | $2708991.39   | 0.07%             | 2047-02-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                               | Freddie Mac Gold Pool                                         | CUSIP: 31335ANR5<br>LEI: 254900HROIFWPRGM1V77 | Long             | ABS-MBS          | USGSE             | US        |    111411 | PA      | $112343.77    | 0.00%             | 2045-01-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                | Fannie Mae Pool                                               | CUSIP: 3140KYG65<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1908696 | PA      | $1739240.98   | 0.04%             | 2035-12-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                | Fannie Mae Pool                                               | CUSIP: 3140Q9JK0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    349910 | PA      | $356715.93    | 0.01%             | 2048-07-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                | Fannie Mae Pool                                               | CUSIP: 3138XQDL2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    180753 | PA      | $179845.31    | 0.00%             | 2044-05-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                               | Freddie Mac Gold Pool                                         | CUSIP: 3132WH5N1<br>LEI: 254900HROIFWPRGM1V77 | Long             | ABS-MBS          | USGSE             | US        |    385639 | PA      | $357293.59    | 0.01%             | 2046-11-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                  | Ginnie Mae II Pool                                            | CUSIP: 36179TV77<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    580704 | PA      | $584517.75    | 0.01%             | 2048-04-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                | Fannie Mae Pool                                               | CUSIP: 3140HJ5L1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    500802 | PA      | $499662.60    | 0.01%             | 2033-07-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Santander Drive Auto Receivables Trust                    | Santander Drive Auto Receivables Trust 2022-4                 | CUSIP: 80286FAC7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    790000 | PA      | $781561.69    | 0.02%             | 2027-02-16      | Fixed         | 4.14%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                | Fannie Mae Pool                                               | CUSIP: 3140J8C27<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    569592 | PA      | $545361.29    | 0.01%             | 2047-02-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                | Fannie Mae Pool                                               | CUSIP: 3140XGGD5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  15709346 | PA      | $13260485.37  | 0.32%             | 2052-01-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                | Fannie Mae Pool                                               | CUSIP: 3138WD2H3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    155760 | PA      | $154977.65    | 0.00%             | 2045-02-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                               | Freddie Mac Gold Pool                                         | CUSIP: 31335BLL8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    154923 | PA      | $149570.90    | 0.00%             | 2044-09-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                | Fannie Mae Pool                                               | CUSIP: 3140MJ5R2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   7910595 | PA      | $6933332.17   | 0.17%             | 2052-04-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                | Fannie Mae Pool                                               | CUSIP: 3138ER2U3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    621930 | PA      | $605696.33    | 0.01%             | 2032-01-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                               | Freddie Mac Pool                                              | CUSIP: 3132A5F59<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   3735579 | PA      | $3452780.78   | 0.08%             | 2046-11-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                | Fannie Mae Pool                                               | CUSIP: 3140QEXP2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   6179613 | PA      | $5222901.06   | 0.13%             | 2050-09-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| JP Morgan Chase Commercial Mortgage Sec Trust             | JPMCC Commercial Mortgage Securities Trust 2017-JP7           | CUSIP: 465968AE5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2903000 | PA      | $2733841.90   | 0.07%             | 2050-09-15      | Fixed         | 3.45%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                | Fannie Mae Pool                                               | CUSIP: 3140X5MC4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1197108 | PA      | $1188747.55   | 0.03%             | 2033-12-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                               | Freddie Mac Gold Pool                                         | CUSIP: 31307NP40<br>LEI: 254900HROIFWPRGM1V77 | Long             | ABS-MBS          | USGSE             | US        |    509257 | PA      | $495690.01    | 0.01%             | 2030-07-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                  | Ginnie Mae II Pool                                            | CUSIP: 36179RVA4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    316427 | PA      | $295799.55    | 0.01%             | 2045-12-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                               | Freddie Mac Gold Pool                                         | CUSIP: 3128MJ4W7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    412444 | PA      | $404006.15    | 0.01%             | 2048-09-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                | Fannie Mae Pool                                               | CUSIP: 3140K14K9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   4182935 | PA      | $3843374.97   | 0.09%             | 2049-12-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                               | Freddie Mac Gold Pool                                         | CUSIP: 3128MJ4C1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    212644 | PA      | $214402.21    | 0.01%             | 2048-06-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                | Fannie Mae Pool                                               | CUSIP: 3140QNS37<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   7864327 | PA      | $7156319.27   | 0.17%             | 2052-03-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                | Fannie Mae Pool                                               | CUSIP: 3140Q9PA5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    701044 | PA      | $716368.95    | 0.02%             | 2048-08-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                | Fannie Mae Pool                                               | CUSIP: 3140QLL87<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   5977181 | PA      | $5250473.41   | 0.13%             | 2051-07-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                | Fannie Mae Pool                                               | CUSIP: 3140QNR61<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    838433 | PA      | $782814.46    | 0.02%             | 2037-03-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                | Fannie Mae Pool                                               | CUSIP: 31418D2M3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  10833837 | PA      | $9522564.46   | 0.23%             | 2051-07-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                  | Ginnie Mae II Pool                                            | CUSIP: 36179VHT0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1482432 | PA      | $1420218.83   | 0.03%             | 2050-03-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                | Fannie Mae Pool                                               | CUSIP: 3140HAFL9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    308038 | PA      | $311398.34    | 0.01%             | 2048-02-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                | Fannie Mae Pool                                               | CUSIP: 31418CDL5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   9489189 | PA      | $8825802.04   | 0.21%             | 2046-11-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                               | Freddie Mac Gold Pool                                         | CUSIP: 31335APZ5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   5665424 | PA      | $5441029.76   | 0.13%             | 2046-03-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                               | Freddie Mac Gold Pool                                         | CUSIP: 3128M7GG5<br>LEI: 254900HROIFWPRGM1V77 | Long             | ABS-MBS          | USGSE             | US        |     34293 | PA      | $34707.36     | 0.00%             | 2038-06-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FHLMC Multifamily Structured Pass Through Certs.          | Freddie Mac Multifamily Structured Pass Through Certificates  | CUSIP: 3137FQ3Z4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   4690000 | PA      | $4276926.84   | 0.10%             | 2029-10-25      | Fixed         | 2.52%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                | Fannie Mae Pool                                               | CUSIP: 3138WH4N9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    692381 | PA      | $657712.11    | 0.02%             | 2031-09-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                | Fannie Mae Pool                                               | CUSIP: 3140K1C87<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    567674 | PA      | $524881.60    | 0.01%             | 2049-11-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                | Fannie Mae Pool                                               | CUSIP: 3140J8X57<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   3297678 | PA      | $3199556.05   | 0.08%             | 2030-03-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                | Fannie Mae Pool                                               | CUSIP: 3140J52B4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    464856 | PA      | $450410.38    | 0.01%             | 2032-08-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                | Fannie Mae Pool                                               | CUSIP: 3140GRYV0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     38380 | PA      | $37699.33     | 0.00%             | 2032-07-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                | Fannie Mae Pool                                               | CUSIP: 3138WJK72<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    924234 | PA      | $883956.56    | 0.02%             | 2046-12-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FHLMC Multifamily Structured Pass Through Certs.          | Freddie Mac Multifamily Structured Pass Through Certificates  | CUSIP: 3137FKZZ2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    413000 | PA      | $405924.19    | 0.01%             | 2029-01-25      | Fixed         | 3.69%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                               | Freddie Mac Gold Pool                                         | CUSIP: 3128MJZC7<br>LEI: 254900HROIFWPRGM1V77 | Long             | ABS-MBS          | USGSE             | US        |    855516 | PA      | $818930.06    | 0.02%             | 2046-12-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                  | Ginnie Mae II Pool                                            | CUSIP: 36179T4Q5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1178589 | PA      | $1181967.62   | 0.03%             | 2048-07-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                  | Ginnie Mae II Pool                                            | CUSIP: 36179UZT2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   5601042 | PA      | $5344784.53   | 0.13%             | 2049-09-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Citigroup Commercial Mortgage Trust                       | Citigroup Commercial Mortgage Trust 2014-GC25                 | CUSIP: 17322YAF7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1243000 | PA      | $1192018.98   | 0.03%             | 2047-10-10      | Fixed         | 4.02%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                | Fannie Mae Pool                                               | CUSIP: 31418CV27<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1445319 | PA      | $1378838.22   | 0.03%             | 2048-04-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                  | Ginnie Mae II Pool                                            | CUSIP: 36179RD63<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   2158650 | PA      | $2031070.00   | 0.05%             | 2045-05-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                | Fannie Mae Pool                                               | CUSIP: 3140FRMZ5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1208946 | PA      | $1111963.35   | 0.03%             | 2047-01-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                | Fannie Mae Pool                                               | CUSIP: 3138WJ6R4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    232735 | PA      | $234440.41    | 0.01%             | 2047-03-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                | Fannie Mae Pool                                               | CUSIP: 3140Q73S4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    286322 | PA      | $281832.90    | 0.01%             | 2047-11-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                | Fannie Mae Pool                                               | CUSIP: 3138WH4Y5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    363668 | PA      | $345479.27    | 0.01%             | 2031-10-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                | Fannie Mae Pool                                               | CUSIP: 3140J5NM7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    310609 | PA      | $312885.26    | 0.01%             | 2047-06-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                | Fannie Mae Pool                                               | CUSIP: 3140J96V8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    272023 | PA      | $268083.99    | 0.01%             | 2047-03-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                  | Ginnie Mae                                                    | CUSIP: 21H032621<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |  21325000 | PA      | $20161673.91  | 0.49%             | 2053-02-21      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                | Fannie Mae Pool                                               | CUSIP: 3140MGK34<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  22548425 | PA      | $18986869.28  | 0.46%             | 2052-02-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                | Fannie Mae Pool                                               | CUSIP: 3140X7VQ9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   2095623 | PA      | $1871430.38   | 0.05%             | 2050-09-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                | Fannie Mae Pool                                               | CUSIP: 3140X6GA3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1049549 | PA      | $1003815.98   | 0.02%             | 2048-07-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                | Fannie Mae Pool                                               | CUSIP: 3140QAR36<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    444589 | PA      | $435946.99    | 0.01%             | 2049-03-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                               | Freddie Mac Pool                                              | CUSIP: 3133GEGN2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   3033301 | PA      | $2763192.34   | 0.07%             | 2036-08-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                | Fannie Mae Pool                                               | CUSIP: 3140J5ZY8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    592962 | PA      | $567091.27    | 0.01%             | 2047-08-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                | Fannie Mae Pool                                               | CUSIP: 31416BLD8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     31808 | PA      | $33312.75     | 0.00%             | 2037-08-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                               | Freddie Mac Gold Pool                                         | CUSIP: 3132HMF48<br>LEI: 254900HROIFWPRGM1V77 | Long             | ABS-MBS          | USGSE             | US        |     32010 | PA      | $31673.63     | 0.00%             | 2042-09-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                               | Freddie Mac Gold Pool                                         | CUSIP: 3132XYAB3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    439245 | PA      | $447868.47    | 0.01%             | 2048-04-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                  | Ginnie Mae II Pool                                            | CUSIP: 36179SNX1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    165320 | PA      | $170661.37    | 0.00%             | 2046-10-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                | Fannie Mae Pool                                               | CUSIP: 3140XFFW6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   3398875 | PA      | $3097052.24   | 0.07%             | 2036-12-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                  | Ginnie Mae II Pool                                            | CUSIP: 36179VDP2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     42380 | PA      | $40081.40     | 0.00%             | 2050-01-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                | Fannie Mae Pool                                               | CUSIP: 3138ERHL7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    242836 | PA      | $233169.92    | 0.01%             | 2046-10-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| CSAIL Commercial Mortgage Trust                           | CSAIL 2015-C3 Commercial Mortgage Trust                       | CUSIP: 12635FAT1<br>LEI: 549300ZAGI6FKGY8O078 | Long             | ABS-MBS          | CORP              | US        |    829000 | PA      | $800940.34    | 0.02%             | 2048-08-15      | Fixed         | 3.72%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                | Fannie Mae Pool                                               | CUSIP: 3140J5MS5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    865772 | PA      | $852961.32    | 0.02%             | 2047-05-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                | Fannie Mae Pool                                               | CUSIP: 31417DRG0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    125798 | PA      | $121366.30    | 0.00%             | 2042-11-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fanniemae-Aces                                            | Fannie Mae-Aces                                               | CUSIP: 3136AY6X6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   3091961 | PA      | $2966912.77   | 0.07%             | 2027-09-25      | Variable      | 2.96%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                               | Freddie Mac Gold Pool                                         | CUSIP: 3132WER53<br>LEI: 254900HROIFWPRGM1V77 | Long             | ABS-MBS          | USGSE             | US        |      2582 | PA      | $2472.31      | 0.00%             | 2046-07-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                               | Freddie Mac Gold Pool                                         | CUSIP: 3132WFUT4<br>LEI: 254900HROIFWPRGM1V77 | Long             | ABS-MBS          | USGSE             | US        |     42977 | PA      | $41145.63     | 0.00%             | 2046-08-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                  | Ginnie Mae II Pool                                            | CUSIP: 36179SQX8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    267626 | PA      | $263931.59    | 0.01%             | 2046-11-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                | Fannie Mae Pool                                               | CUSIP: 3140QAW97<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    295165 | PA      | $283680.84    | 0.01%             | 2049-04-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                | Fannie Mae Pool                                               | CUSIP: 3140EY3U3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     46937 | PA      | $46077.84     | 0.00%             | 2031-03-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                | Fannie Mae Pool                                               | CUSIP: 3140X4HG4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   3944858 | PA      | $3710304.61   | 0.09%             | 2044-10-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                               | Freddie Mac Gold Pool                                         | CUSIP: 3128MJVB3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1239503 | PA      | $1192960.19   | 0.03%             | 2044-10-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                | Fannie Mae Pool                                               | CUSIP: 3138Y63F9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    303851 | PA      | $312280.92    | 0.01%             | 2042-01-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                | Fannie Mae Pool                                               | CUSIP: 3138WTWW2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     46497 | PA      | $46383.14     | 0.00%             | 2043-05-01      | Floating      | 3.21%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                | Fannie Mae Pool                                               | CUSIP: 3138MCXP4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    265354 | PA      | $249576.21    | 0.01%             | 2042-11-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                | Fannie Mae Pool                                               | CUSIP: 3140EBHJ3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     45914 | PA      | $43674.41     | 0.00%             | 2031-01-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                               | Freddie Mac Gold Pool                                         | CUSIP: 3128E6AD9<br>LEI: 254900HROIFWPRGM1V77 | Long             | ABS-MBS          | USGSE             | US        |     60540 | PA      | $60140.52     | 0.00%             | 2032-03-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                | Fannie Mae Pool                                               | CUSIP: 3138EL6H1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    160095 | PA      | $158865.40    | 0.00%             | 2043-09-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                | Fannie Mae Pool                                               | CUSIP: 3140QG3B1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   4784503 | PA      | $4040396.65   | 0.10%             | 2051-02-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                  | Ginnie Mae II Pool                                            | CUSIP: 3622A23R1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    629277 | PA      | $583489.94    | 0.01%             | 2047-10-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                | Fannie Mae Pool                                               | CUSIP: 3140X7VJ5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   5295043 | PA      | $5060989.03   | 0.12%             | 2049-06-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                | Fannie Mae Pool                                               | CUSIP: 3140JM4A7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    918402 | PA      | $878917.34    | 0.02%             | 2049-03-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                               | Freddie Mac Gold Pool                                         | CUSIP: 31307NQJ6<br>LEI: 254900HROIFWPRGM1V77 | Long             | ABS-MBS          | USGSE             | US        |     42522 | PA      | $41453.57     | 0.00%             | 2030-07-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                | Fannie Mae Pool                                               | CUSIP: 3140QFA58<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   5627592 | PA      | $5053712.26   | 0.12%             | 2050-10-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                               | Freddie Mac Pool                                              | CUSIP: 3132CWCE2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   2609864 | PA      | $2507804.27   | 0.06%             | 2034-09-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                | Fannie Mae Pool                                               | CUSIP: 3140Q9F65<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     18547 | PA      | $18633.12     | 0.00%             | 2048-07-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                | Fannie Mae Pool                                               | CUSIP: 31417DHA4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    130531 | PA      | $125892.06    | 0.00%             | 2042-10-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| COMM Mortgage Trust                                       | COMM 2016-CR28 Mortgage Trust                                 | CUSIP: 12593YBE2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    620000 | PA      | $596783.42    | 0.01%             | 2049-02-10      | Fixed         | 3.76%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                  | Ginnie Mae II Pool                                            | CUSIP: 36179MSX9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1881521 | PA      | $1823111.47   | 0.04%             | 2042-11-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                | Fannie Mae Pool                                               | CUSIP: 3138EQ6P2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     35795 | PA      | $35251.20     | 0.00%             | 2029-12-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                | Fannie Mae Pool                                               | CUSIP: 3140GT5R7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    122433 | PA      | $120266.97    | 0.00%             | 2032-08-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FHLMC Multifamily Structured Pass Through Certs.          | Freddie Mac Multifamily Structured Pass Through Certificates  | CUSIP: 3137FUZC1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    829000 | PA      | $690358.62    | 0.02%             | 2030-05-25      | Fixed         | 1.35%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                | Fannie Mae Pool                                               | CUSIP: 3140QPX93<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   9762685 | PA      | $9434017.47   | 0.23%             | 2052-08-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                | Fannie Mae Pool                                               | CUSIP: 3140MATV6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    152004 | PA      | $150391.12    | 0.00%             | 2052-05-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                               | Freddie Mac Gold Pool                                         | CUSIP: 3128M7KK1<br>LEI: 254900HROIFWPRGM1V77 | Long             | ABS-MBS          | USGSE             | US        |    107449 | PA      | $110516.01    | 0.00%             | 2033-11-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                               | Freddie Mac Gold Pool                                         | CUSIP: 3132Y0FN5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     91514 | PA      | $93219.57     | 0.00%             | 2048-06-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                  | Ginnie Mae II Pool                                            | CUSIP: 36179VBF6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |  13842899 | PA      | $12836258.46  | 0.31%             | 2049-12-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                  | Ginnie Mae II Pool                                            | CUSIP: 36179S5L7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   4472755 | PA      | $4301130.34   | 0.10%             | 2047-05-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                               | Freddie Mac Gold Pool                                         | CUSIP: 3132WEUR1<br>LEI: 254900HROIFWPRGM1V77 | Long             | ABS-MBS          | USGSE             | US        |     16090 | PA      | $15401.52     | 0.00%             | 2046-07-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                | Fannie Mae Pool                                               | CUSIP: 31418CUA0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   3422519 | PA      | $3270882.81   | 0.08%             | 2048-02-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                | Fannie Mae Pool                                               | CUSIP: 3138YNL62<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    424255 | PA      | $412541.34    | 0.01%             | 2030-08-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                | Fannie Mae Pool                                               | CUSIP: 3140QGXT9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   4589090 | PA      | $4181609.39   | 0.10%             | 2036-02-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                  | Ginnie Mae II Pool                                            | CUSIP: 36179R4F3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    696580 | PA      | $686964.09    | 0.02%             | 2046-03-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Barclays Commercial Mortgage Securities LLC               | BBCMS Trust 2021-C10                                          | CUSIP: 05551VBJ1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   7713000 | PA      | $6587181.98   | 0.16%             | 2054-07-15      | Fixed         | 2.49%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                | Fannie Mae Pool                                               | CUSIP: 3140FKCB4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     75008 | PA      | $71920.43     | 0.00%             | 2046-11-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                | Fannie Mae Pool                                               | CUSIP: 3140FPVS5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    139662 | PA      | $133526.25    | 0.00%             | 2046-12-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                  | Ginnie Mae II Pool                                            | CUSIP: 36179TXX8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    244053 | PA      | $249306.70    | 0.01%             | 2048-05-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                               | Freddie Mac Pool                                              | CUSIP: 3133B3L54<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   5522808 | PA      | $4651344.56   | 0.11%             | 2052-02-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                               | Freddie Mac Gold Pool                                         | CUSIP: 3132J66W9<br>LEI: 254900HROIFWPRGM1V77 | Long             | ABS-MBS          | USGSE             | US        |     77494 | PA      | $72956.59     | 0.00%             | 2043-02-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                | Fannie Mae Pool                                               | CUSIP: 3140QGZ83<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   3103036 | PA      | $2736240.46   | 0.07%             | 2051-02-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                  | Ginnie Mae I Pool                                             | CUSIP: 3622A2ZU9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     95708 | PA      | $93264.00     | 0.00%             | 2046-12-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                  | Ginnie Mae II Pool                                            | CUSIP: 36179TLS2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   2319283 | PA      | $2220307.45   | 0.05%             | 2047-11-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                | Fannie Mae Pool                                               | CUSIP: 3140QCWN2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1308364 | PA      | $1202943.18   | 0.03%             | 2050-02-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Deutsche Bank Commercial Mortgage Trust                   | DBJPM 2016-C3 Mortgage Trust                                  | CUSIP: 23312VAF3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   6225000 | PA      | $5793529.69   | 0.14%             | 2049-08-10      | Fixed         | 2.89%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                | Fannie Mae Pool                                               | CUSIP: 3138ER6H8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    320879 | PA      | $312496.54    | 0.01%             | 2032-02-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                | Fannie Mae Pool                                               | CUSIP: 3140X7VU0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   9532812 | PA      | $8431040.22   | 0.20%             | 2050-09-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                | Fannie Mae Pool                                               | CUSIP: 31418AJL3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    130297 | PA      | $128027.46    | 0.00%             | 2032-09-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                | Fannie Mae Pool                                               | CUSIP: 3140X4GD2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1030194 | PA      | $1098726.67   | 0.03%             | 2049-02-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                | Fannie Mae Pool                                               | CUSIP: 3140JAFC7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1017416 | PA      | $1002686.33   | 0.02%             | 2045-06-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                  | Ginnie Mae II Pool                                            | CUSIP: 36179SB71<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1127711 | PA      | $1054917.64   | 0.03%             | 2046-05-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                  | Ginnie Mae I Pool                                             | CUSIP: 3622A25U2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     59310 | PA      | $54999.41     | 0.00%             | 2046-12-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                | Fannie Mae Pool                                               | CUSIP: 3140QHEP6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   4276498 | PA      | $3897002.10   | 0.09%             | 2036-02-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                               | Freddie Mac Gold Pool                                         | CUSIP: 3128MJY87<br>LEI: 254900HROIFWPRGM1V77 | Long             | ABS-MBS          | USGSE             | US        |    594065 | PA      | $585196.07    | 0.01%             | 2046-11-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                               | Freddie Mac Gold Pool                                         | CUSIP: 3132M9GQ1<br>LEI: 254900HROIFWPRGM1V77 | Long             | ABS-MBS          | USGSE             | US        |    168684 | PA      | $162699.36    | 0.00%             | 2044-09-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                | Fannie Mae Pool                                               | CUSIP: 31417D2G7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    150026 | PA      | $141096.66    | 0.00%             | 2042-11-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                | Fannie Mae Pool                                               | CUSIP: 31417GNV4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      6480 | PA      | $6241.48      | 0.00%             | 2033-05-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                               | Freddie Mac Gold Pool                                         | CUSIP: 3132J8DV9<br>LEI: 254900HROIFWPRGM1V77 | Long             | ABS-MBS          | USGSE             | US        |    238281 | PA      | $224329.83    | 0.01%             | 2043-04-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                | Fannie Mae Pool                                               | CUSIP: 3140KQN31<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   8424530 | PA      | $7121734.01   | 0.17%             | 2050-09-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                | Fannie Mae Pool                                               | CUSIP: 3138M5FB0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     13272 | PA      | $13527.32     | 0.00%             | 2042-08-01      | Floating      | 3.95%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                               | Freddie Mac Pool                                              | CUSIP: 3133KM2V6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   3041888 | PA      | $2562857.25   | 0.06%             | 2051-11-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                  | Ginnie Mae II Pool                                            | CUSIP: 36179UCB6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1579077 | PA      | $1545256.12   | 0.04%             | 2048-09-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                               | Freddie Mac Gold Pool                                         | CUSIP: 3132HM4L2<br>LEI: 254900HROIFWPRGM1V77 | Long             | ABS-MBS          | USGSE             | US        |     81600 | PA      | $78789.30     | 0.00%             | 2042-10-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                | Fannie Mae Pool                                               | CUSIP: 3140LXF83<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    626234 | PA      | $620553.50    | 0.01%             | 2052-08-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                  | Ginnie Mae II Pool                                            | CUSIP: 36179RQZ5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    424647 | PA      | $398461.10    | 0.01%             | 2045-10-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                               | Freddie Mac Pool                                              | CUSIP: 3133L8A39<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   3683577 | PA      | $3356487.62   | 0.08%             | 2036-02-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                | Fannie Mae Pool                                               | CUSIP: 3138WDL41<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    326948 | PA      | $324001.09    | 0.01%             | 2044-12-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                               | Freddie Mac Gold Pool                                         | CUSIP: 31307SD34<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    713021 | PA      | $676873.06    | 0.02%             | 2031-10-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                               | Freddie Mac Pool                                              | CUSIP: 3133KNGL1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |  38432635 | PA      | $32386280.38  | 0.78%             | 2051-12-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                               | Freddie Mac Gold Pool                                         | CUSIP: 3128MJ4E7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    690993 | PA      | $696634.60    | 0.02%             | 2048-05-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                | Fannie Mae Pool                                               | CUSIP: 3140QDVN1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   5337430 | PA      | $4888331.39   | 0.12%             | 2050-06-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                | Fannie Mae Pool                                               | CUSIP: 3140J5U98<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    156717 | PA      | $150120.44    | 0.00%             | 2029-12-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                               | Freddie Mac Pool                                              | CUSIP: 3133KPYR3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   9292699 | PA      | $8978411.16   | 0.22%             | 2052-09-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                | Fannie Mae Pool                                               | CUSIP: 3138ER7M6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    433737 | PA      | $422405.11    | 0.01%             | 2032-03-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                | Fannie Mae Pool                                               | CUSIP: 3140F9WA9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    600623 | PA      | $574387.80    | 0.01%             | 2047-01-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                               | Freddie Mac Gold Pool                                         | CUSIP: 3128MJZN3<br>LEI: 254900HROIFWPRGM1V77 | Long             | ABS-MBS          | USGSE             | US        |    999681 | PA      | $958876.13    | 0.02%             | 2047-02-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                  | Ginnie Mae II Pool                                            | CUSIP: 36179XFF8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |  12920888 | PA      | $12215044.98  | 0.29%             | 2052-09-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                | Fannie Mae Pool                                               | CUSIP: 3140X8SQ1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   9769927 | PA      | $8301495.05   | 0.20%             | 2050-12-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                | Fannie Mae Pool                                               | CUSIP: 3140X5VE0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    820444 | PA      | $801841.98    | 0.02%             | 2035-01-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                  | Ginnie Mae II Pool                                            | CUSIP: 36179WVW5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   6980110 | PA      | $6598836.50   | 0.16%             | 2052-01-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                  | Ginnie Mae II Pool                                            | CUSIP: 3617NWHS4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   6972355 | PA      | $6006998.91   | 0.14%             | 2050-09-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                               | Freddie Mac Pool                                              | CUSIP: 3133KKD48<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1047762 | PA      | $885462.18    | 0.02%             | 2050-10-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                               | Freddie Mac Gold Pool                                         | CUSIP: 3132Y1GL6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     71831 | PA      | $73169.95     | 0.00%             | 2048-07-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                  | Ginnie Mae II Pool                                            | CUSIP: 36179SEH6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   4200240 | PA      | $4028127.24   | 0.10%             | 2046-06-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                | Fannie Mae Pool                                               | CUSIP: 3140GNKS1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     53778 | PA      | $54182.34     | 0.00%             | 2047-04-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                | Fannie Mae Pool                                               | CUSIP: 3140J7RM9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    114203 | PA      | $112147.77    | 0.00%             | 2047-11-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                | Fannie Mae Pool                                               | CUSIP: 31417VPC1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     70318 | PA      | $72100.13     | 0.00%             | 2039-12-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                | Fannie Mae Pool                                               | CUSIP: 31410LQ21<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    896264 | PA      | $831640.66    | 0.02%             | 2047-08-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                | Fannie Mae Pool                                               | CUSIP: 3138WJUS5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    183730 | PA      | $175923.65    | 0.00%             | 2047-01-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                  | Ginnie Mae II Pool                                            | CUSIP: 36179XDA1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   7275478 | PA      | $6488445.55   | 0.16%             | 2052-08-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                  | Ginnie Mae II Pool                                            | CUSIP: 36179T7K5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   3119394 | PA      | $3064864.91   | 0.07%             | 2048-08-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                | Fannie Mae Pool                                               | CUSIP: 3138WHVQ2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     25113 | PA      | $24013.12     | 0.00%             | 2046-08-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                               | Freddie Mac Pool                                              | CUSIP: 3132DNU27<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   8495295 | PA      | $8210155.30   | 0.20%             | 2052-08-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fanniemae-Aces                                            | Fannie Mae-Aces                                               | CUSIP: 3136BHMX4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   3536000 | PA      | $2901563.10   | 0.07%             | 2031-04-25      | Variable      | 1.60%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                | Fannie Mae Pool                                               | CUSIP: 3140Q9UA9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    230656 | PA      | $226171.37    | 0.01%             | 2048-09-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                | Fannie Mae Pool                                               | CUSIP: 3140J8SW4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    491770 | PA      | $480637.65    | 0.01%             | 2033-05-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                | Fannie Mae Pool                                               | CUSIP: 3140FBKZ2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     27937 | PA      | $27509.26     | 0.00%             | 2046-08-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                | Fannie Mae Pool                                               | CUSIP: 3140Q7RH2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    298496 | PA      | $284961.50    | 0.01%             | 2047-10-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                               | Freddie Mac Pool                                              | CUSIP: 3133KKZQ5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   4117935 | PA      | $3630968.34   | 0.09%             | 2051-01-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                | Fannie Mae Pool                                               | CUSIP: 3138W9H94<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    136397 | PA      | $137497.04    | 0.00%             | 2043-08-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                | Fannie Mae Pool                                               | CUSIP: 3140J9SE2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   2066387 | PA      | $2012464.81   | 0.05%             | 2031-01-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                  | Ginnie Mae II Pool                                            | CUSIP: 36179SQV2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1010801 | PA      | $943565.95    | 0.02%             | 2046-11-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FHLMC Multifamily Structured Pass Through Certs.          | Freddie Mac Multifamily Structured Pass Through Certificates  | CUSIP: 3137F8ZV8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   8302000 | PA      | $6962905.66   | 0.17%             | 2030-12-25      | Fixed         | 1.62%                 | No            |                  2 | On Loan: No      |
| UMBS, TBA                                                 | Uniform Mortgage-Backed Security, TBA                         | CUSIP: 01F052623<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |  42625000 | PA      | $43314325.96  | 1.04%             | 2053-02-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                               | Freddie Mac Pool                                              | CUSIP: 3132DNUM3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   5476136 | PA      | $5290701.71   | 0.13%             | 2052-08-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                  | Ginnie Mae II Pool                                            | CUSIP: 36179TCZ6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   2401317 | PA      | $2420602.84   | 0.06%             | 2047-07-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                               | Freddie Mac Gold Pool                                         | CUSIP: 3132VQGS9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    588077 | PA      | $563371.33    | 0.01%             | 2049-05-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                  | Ginnie Mae II Pool                                            | CUSIP: 3617NX3P3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    683909 | PA      | $589386.38    | 0.01%             | 2050-08-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                | Fannie Mae Pool                                               | CUSIP: 3140XAH88<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  10697208 | PA      | $9033617.89   | 0.22%             | 2051-03-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley Capital I Trust                            | Morgan Stanley Capital I Trust 2019-L3                        | CUSIP: 61691UBH1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    628000 | PA      | $550861.13    | 0.01%             | 2052-11-15      | Fixed         | 3.49%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                               | Freddie Mac Gold Pool                                         | CUSIP: 31307RU86<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    436806 | PA      | $414705.79    | 0.01%             | 2031-08-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                | Fannie Mae Pool                                               | CUSIP: 31389QZ43<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      8089 | PA      | $8072.53      | 0.00%             | 2032-02-01      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                  | Ginnie Mae II Pool                                            | CUSIP: 36179R7J2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   2470736 | PA      | $2369550.96   | 0.06%             | 2046-04-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                               | Freddie Mac Pool                                              | CUSIP: 3132DWCB7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |  31425360 | PA      | $26497790.03  | 0.64%             | 2051-09-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                  | Ginnie Mae II Pool                                            | CUSIP: 36179TSG1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   2742551 | PA      | $2630505.75   | 0.06%             | 2048-02-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| UMBS, TBA                                                 | Uniform Mortgage-Backed Security, TBA                         | CUSIP: 01F030629<br>LEI: 254900HROIFWPRGM1V77 | Long             | ABS-MBS          | USGSE             | US        |  91075000 | PA      | $82721714.84  | 1.99%             | 2053-02-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                | Fannie Mae Pool                                               | CUSIP: 3138WJRT7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1524051 | PA      | $1447706.27   | 0.03%             | 2032-01-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                | Fannie Mae Pool                                               | CUSIP: 3140EULA5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     21611 | PA      | $21261.55     | 0.00%             | 2031-03-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                | Fannie Mae Pool                                               | CUSIP: 3140QAXL9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    385416 | PA      | $393836.49    | 0.01%             | 2049-04-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                  | Ginnie Mae II Pool                                            | CUSIP: 3622A26Q0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    699249 | PA      | $686761.60    | 0.02%             | 2048-04-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                | Fannie Mae Pool                                               | CUSIP: 3138WF6J0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     64293 | PA      | $61156.96     | 0.00%             | 2030-12-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                | Fannie Mae Pool                                               | CUSIP: 3140X4EZ5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    619028 | PA      | $622241.22    | 0.01%             | 2049-05-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                | Fannie Mae Pool                                               | CUSIP: 3138ER5J5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    624035 | PA      | $578027.74    | 0.01%             | 2047-03-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                | Fannie Mae Pool                                               | CUSIP: 3138ELBU6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      4639 | PA      | $4767.24      | 0.00%             | 2041-02-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                | Fannie Mae Pool                                               | CUSIP: 3140HJJL6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   2118303 | PA      | $2138940.53   | 0.05%             | 2048-08-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                               | Freddie Mac Gold Pool                                         | CUSIP: 3128MJZF0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1303838 | PA      | $1208411.42   | 0.03%             | 2047-01-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                               | Freddie Mac Pool                                              | CUSIP: 3131XVS48<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    808001 | PA      | $771764.08    | 0.02%             | 2047-01-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                               | Freddie Mac Pool                                              | CUSIP: 3132ADPE2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    403377 | PA      | $405999.38    | 0.01%             | 2048-11-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                  | Ginnie Mae II Pool                                            | CUSIP: 36179NQ50<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     81828 | PA      | $81456.26     | 0.00%             | 2043-10-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                | Fannie Mae Pool                                               | CUSIP: 3140EVUP0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    330862 | PA      | $307517.79    | 0.01%             | 2046-08-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                | Fannie Mae Pool                                               | CUSIP: 31418CS47<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    931750 | PA      | $890537.87    | 0.02%             | 2048-01-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                | Fannie Mae Pool                                               | CUSIP: 3140EBXA4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     25849 | PA      | $25474.29     | 0.00%             | 2046-03-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FHLMC Multifamily Structured Pass Through Certs.          | Freddie Mac Multifamily Structured Pass Through Certificates  | CUSIP: 3137F2LJ3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   2903000 | PA      | $2799829.70   | 0.07%             | 2027-06-25      | Fixed         | 3.12%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                | Fannie Mae Pool                                               | CUSIP: 31418C4F8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    907788 | PA      | $889260.69    | 0.02%             | 2048-11-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                               | Freddie Mac Pool                                              | CUSIP: 3133KMXN0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   8382883 | PA      | $7117670.98   | 0.17%             | 2051-10-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                | Fannie Mae Pool                                               | CUSIP: 3140HMNF7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   4136969 | PA      | $4182105.12   | 0.10%             | 2048-10-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                | Fannie Mae Pool                                               | CUSIP: 31418C2E3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    193865 | PA      | $198280.77    | 0.00%             | 2048-09-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                  | Ginnie Mae I Pool                                             | CUSIP: 3620AQMP5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    290074 | PA      | $288903.17    | 0.01%             | 2040-04-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                | Fannie Mae Pool                                               | CUSIP: 3138EQAH5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    200820 | PA      | $202290.90    | 0.00%             | 2045-08-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                  | Ginnie Mae II Pool                                            | CUSIP: 36179WNF1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   9567806 | PA      | $8828173.09   | 0.21%             | 2051-09-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                | Fannie Mae Pool                                               | CUSIP: 3140J9BX8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    961746 | PA      | $959559.39    | 0.02%             | 2033-09-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FHLMC Multifamily Structured Pass Through Certs.          | Freddie Mac Multifamily Structured Pass Through Certificates  | CUSIP: 3137FEZU7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   1659000 | PA      | $1651959.37   | 0.04%             | 2028-04-25      | Fixed         | 3.90%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                | Fannie Mae Pool                                               | CUSIP: 3138EKCU7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    131996 | PA      | $134145.26    | 0.00%             | 2042-09-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                               | Freddie Mac Gold Pool                                         | CUSIP: 3132XCSD8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1611391 | PA      | $1636035.77   | 0.04%             | 2048-10-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                               | Freddie Mac Pool                                              | CUSIP: 3133AGDH9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   3995673 | PA      | $3374248.19   | 0.08%             | 2051-02-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley BAML Trust                                 | Morgan Stanley Bank of America Merrill Lynch Trust 2015-C24   | CUSIP: 61765LAU4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    620000 | PA      | $598734.68    | 0.01%             | 2048-05-15      | Fixed         | 3.73%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                  | Ginnie Mae II Pool                                            | CUSIP: 36179TXV2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   2621341 | PA      | $2576415.44   | 0.06%             | 2048-05-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                | Fannie Mae Pool                                               | CUSIP: 3138WJA32<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    104815 | PA      | $100198.78    | 0.00%             | 2046-10-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                               | Freddie Mac Gold Pool                                         | CUSIP: 3128P8FX4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    772887 | PA      | $748676.62    | 0.02%             | 2038-03-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                | Fannie Mae Pool                                               | CUSIP: 31417EFC0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    281420 | PA      | $264670.20    | 0.01%             | 2042-12-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                | Fannie Mae Pool                                               | CUSIP: 3140Q7TF4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    116204 | PA      | $114064.90    | 0.00%             | 2047-10-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FHLMC Multifamily Structured Pass Through Certs.          | Freddie Mac Multifamily Structured Pass Through Certificates  | CUSIP: 3137BVZ82<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   4150000 | PA      | $4047936.56   | 0.10%             | 2027-01-25      | Variable      | 3.43%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                               | Freddie Mac Pool                                              | CUSIP: 3132DWBX0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   3921637 | PA      | $3138693.80   | 0.08%             | 2051-07-01      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                  | Ginnie Mae II Pool                                            | CUSIP: 36179VTV2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1797309 | PA      | $1564118.28   | 0.04%             | 2050-09-20      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                  | Ginnie Mae                                                    | CUSIP: 21H030625<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |  14950000 | PA      | $13732976.56  | 0.33%             | 2053-02-21      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                | Fannie Mae Pool                                               | CUSIP: 31418CU77<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    376854 | PA      | $359558.81    | 0.01%             | 2048-03-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                               | Freddie Mac Gold Pool                                         | CUSIP: 31335CB78<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    652006 | PA      | $624575.70    | 0.02%             | 2046-12-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                  | Ginnie Mae II Pool                                            | CUSIP: 36179WJR0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |  34680841 | PA      | $30973460.88  | 0.75%             | 2051-07-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                | Fannie Mae Pool                                               | CUSIP: 3140J93T6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   5776570 | PA      | $5578541.60   | 0.13%             | 2035-12-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                | Fannie Mae Pool                                               | CUSIP: 3138YBSN4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    342383 | PA      | $340663.39    | 0.01%             | 2045-02-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                | Fannie Mae Pool                                               | CUSIP: 3140K06S2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    631057 | PA      | $583485.74    | 0.01%             | 2049-12-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                               | Freddie Mac Gold Pool                                         | CUSIP: 3132LAWV0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    437256 | PA      | $428519.25    | 0.01%             | 2049-01-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                | Fannie Mae Pool                                               | CUSIP: 31418C4B7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    856123 | PA      | $836782.67    | 0.02%             | 2033-11-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                | Fannie Mae Pool                                               | CUSIP: 3140Q7XX0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    809726 | PA      | $774018.56    | 0.02%             | 2047-11-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                | Fannie Mae Pool                                               | CUSIP: 3140EVTZ0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    172092 | PA      | $167344.55    | 0.00%             | 2031-07-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                | Fannie Mae Pool                                               | CUSIP: 31418EHK9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   5470595 | PA      | $5403239.66   | 0.13%             | 2052-09-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                | Fannie Mae Pool                                               | CUSIP: 3140J8GY3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    457383 | PA      | $434511.64    | 0.01%             | 2031-12-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                | Fannie Mae Pool                                               | CUSIP: 3140QKSC3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1543656 | PA      | $1358334.35   | 0.03%             | 2051-05-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                               | Freddie Mac Gold Pool                                         | CUSIP: 31323AB35<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    348076 | PA      | $325192.33    | 0.01%             | 2048-02-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                  | Ginnie Mae II Pool                                            | CUSIP: 3617QG3N2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   3397456 | PA      | $2927063.58   | 0.07%             | 2050-09-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                               | Freddie Mac Gold Pool                                         | CUSIP: 3128MJX39<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    873517 | PA      | $811282.11    | 0.02%             | 2046-03-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                | Fannie Mae Pool                                               | CUSIP: 3140EW6D2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     19120 | PA      | $18839.52     | 0.00%             | 2046-02-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                | Fannie Mae Pool                                               | CUSIP: 3138YBTZ6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    403255 | PA      | $387558.74    | 0.01%             | 2045-03-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                               | Freddie Mac Gold Pool                                         | CUSIP: 3128MJZB9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   2739845 | PA      | $2540308.45   | 0.06%             | 2046-12-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                | Fannie Mae Pool                                               | CUSIP: 3140J6C21<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1332804 | PA      | $1275609.00   | 0.03%             | 2031-10-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                | Fannie Mae Pool                                               | CUSIP: 31417GML7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    196682 | PA      | $189750.82    | 0.00%             | 2043-05-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                | Fannie Mae Pool                                               | CUSIP: 3140FQUB1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     59383 | PA      | $59546.03     | 0.00%             | 2046-11-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                | Fannie Mae Pool                                               | CUSIP: 3140JNY95<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     12791 | PA      | $12504.61     | 0.00%             | 2049-02-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                | Fannie Mae Pool                                               | CUSIP: 3140J9G96<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    235719 | PA      | $247913.85    | 0.01%             | 2041-07-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                               | Freddie Mac Gold Pool                                         | CUSIP: 31335BLS3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     52753 | PA      | $50946.56     | 0.00%             | 2046-08-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                | Fannie Mae Pool                                               | CUSIP: 3140XBSH4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   6887294 | PA      | $5812453.57   | 0.14%             | 2051-06-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                | Fannie Mae Pool                                               | CUSIP: 31418CMF8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   7528180 | PA      | $7203204.32   | 0.17%             | 2047-07-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                | Fannie Mae Pool                                               | CUSIP: 3140E4BH9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     23763 | PA      | $23141.10     | 0.00%             | 2031-02-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                | Fannie Mae Pool                                               | CUSIP: 3140QACR9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1431735 | PA      | $1447356.39   | 0.03%             | 2048-12-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                | Fannie Mae Pool                                               | CUSIP: 3138ER6J4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    553379 | PA      | $538927.30    | 0.01%             | 2032-02-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                  | Ginnie Mae II Pool                                            | CUSIP: 36179SWW3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1119108 | PA      | $1040510.96   | 0.03%             | 2047-02-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                               | Freddie Mac Pool                                              | CUSIP: 3133B9MX9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   8488505 | PA      | $7439846.11   | 0.18%             | 2052-04-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                               | Freddie Mac Gold Pool                                         | CUSIP: 3132J94H8<br>LEI: 254900HROIFWPRGM1V77 | Long             | ABS-MBS          | USGSE             | US        |    158240 | PA      | $152737.75    | 0.00%             | 2043-05-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                  | Ginnie Mae II Pool                                            | CUSIP: 36179TAJ4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    978491 | PA      | $911271.85    | 0.02%             | 2047-06-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                | Fannie Mae Pool                                               | CUSIP: 3140QBCF3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1884062 | PA      | $1852684.99   | 0.04%             | 2049-06-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                | Fannie Mae Pool                                               | CUSIP: 3140J8ST1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    667833 | PA      | $656039.77    | 0.02%             | 2033-04-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                               | Freddie Mac Gold Pool                                         | CUSIP: 3128MMXX6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    580929 | PA      | $583008.21    | 0.01%             | 2033-05-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| UMBS, TBA                                                 | Uniform Mortgage-Backed Security, TBA                         | CUSIP: 01F022428<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   6700000 | PA      | $6256322.72   | 0.15%             | 2038-02-15      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                               | Freddie Mac Pool                                              | CUSIP: 3133GGHB2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1633558 | PA      | $1488039.47   | 0.04%             | 2037-01-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Wells Fargo Commercial Mortgage Trust                     | Wells Fargo Commercial Mortgage Trust 2020-C58                | CUSIP: 95002UAJ0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2349000 | PA      | $1938507.55   | 0.05%             | 2053-07-15      | Fixed         | 2.09%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                | Fannie Mae Pool                                               | CUSIP: 3140H2YR3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     85501 | PA      | $83782.84     | 0.00%             | 2032-11-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                  | Ginnie Mae II Pool                                            | CUSIP: 36179RS91<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1232144 | PA      | $1181679.68   | 0.03%             | 2045-11-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                | Fannie Mae Pool                                               | CUSIP: 3138EGZZ0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    194934 | PA      | $198108.84    | 0.00%             | 2041-09-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                  | Ginnie Mae II Pool                                            | CUSIP: 36179WTX6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |  36627023 | PA      | $31651809.38  | 0.76%             | 2051-12-20      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                               | Freddie Mac Gold Pool                                         | CUSIP: 3132J8HL7<br>LEI: 254900HROIFWPRGM1V77 | Long             | ABS-MBS          | USGSE             | US        |    148897 | PA      | $140179.12    | 0.00%             | 2043-03-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| BENCHMARK Mortgage Trust                                  | Benchmark 2020-B19 Mortgage Trust                             | CUSIP: 08162WBG0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    937000 | PA      | $731684.47    | 0.02%             | 2053-09-15      | Fixed         | 2.35%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                               | Freddie Mac Gold Pool                                         | CUSIP: 3132JMLM9<br>LEI: 254900HROIFWPRGM1V77 | Long             | ABS-MBS          | USGSE             | US        |     71065 | PA      | $68594.58     | 0.00%             | 2043-07-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                  | Ginnie Mae II Pool                                            | CUSIP: 36179TUD5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    326887 | PA      | $335279.68    | 0.01%             | 2048-03-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Bank                                                      | BANK 2019-BNK18                                               | CUSIP: 065402BC2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1659000 | PA      | $1553063.73   | 0.04%             | 2062-05-15      | Fixed         | 3.58%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                | Fannie Mae Pool                                               | CUSIP: 3140L2RS4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  12087711 | PA      | $10209976.19  | 0.25%             | 2051-01-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                               | Freddie Mac Pool                                              | CUSIP: 3133L8U37<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   3223229 | PA      | $2936917.99   | 0.07%             | 2037-01-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                | Fannie Mae Pool                                               | CUSIP: 3138WLAK9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    389749 | PA      | $374057.61    | 0.01%             | 2047-07-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                               | Freddie Mac Gold Pool                                         | CUSIP: 31335BME3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   1672294 | PA      | $1549367.37   | 0.04%             | 2046-11-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                | Fannie Mae Pool                                               | CUSIP: 3140J7XT7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    761235 | PA      | $737592.56    | 0.02%             | 2032-11-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                | Fannie Mae Pool                                               | CUSIP: 3140Q7EF0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    203267 | PA      | $199524.91    | 0.00%             | 2047-08-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                | Fannie Mae Pool                                               | CUSIP: 31418CXX7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    189990 | PA      | $189296.47    | 0.00%             | 2033-06-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                | Fannie Mae Pool                                               | CUSIP: 3140X3CP1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    650493 | PA      | $597849.04    | 0.01%             | 2050-03-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                  | Ginnie Mae II Pool                                            | CUSIP: 36241LLT1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     86593 | PA      | $90999.76     | 0.00%             | 2040-07-20      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                               | Freddie Mac Gold Pool                                         | CUSIP: 3132Y0FP0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     98421 | PA      | $99926.34     | 0.00%             | 2048-06-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                               | Freddie Mac Pool                                              | CUSIP: 3133KPQR2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   2999992 | PA      | $2897756.24   | 0.07%             | 2052-07-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                | Fannie Mae Pool                                               | CUSIP: 3140F9WL5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    174452 | PA      | $167118.36    | 0.00%             | 2047-01-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                | Fannie Mae Pool                                               | CUSIP: 3138WCQP1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    416085 | PA      | $410058.44    | 0.01%             | 2044-08-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                | Fannie Mae Pool                                               | CUSIP: 3140J8KV4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    825276 | PA      | $862340.16    | 0.02%             | 2041-09-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                | Fannie Mae Pool                                               | CUSIP: 3140XA3P5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   3639235 | PA      | $3467702.79   | 0.08%             | 2049-08-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fanniemae-Aces                                            | Fannie Mae-Aces                                               | CUSIP: 3136AR5S3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   5071000 | PA      | $4818457.10   | 0.12%             | 2026-04-25      | Fixed         | 2.47%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                  | Ginnie Mae II Pool                                            | CUSIP: 36179SSN8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1515866 | PA      | $1373681.61   | 0.03%             | 2046-12-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                | Fannie Mae Pool                                               | CUSIP: 31385JJC3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     36548 | PA      | $38550.78     | 0.00%             | 2032-07-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                  | Ginnie Mae II Pool                                            | CUSIP: 36179NNC8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    240132 | PA      | $247863.84    | 0.01%             | 2043-09-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                | Fannie Mae Pool                                               | CUSIP: 31418CZ98<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   5913265 | PA      | $5794203.87   | 0.14%             | 2048-09-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                  | Ginnie Mae II Pool                                            | CUSIP: 36179XBQ8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1352533 | PA      | $1206220.97   | 0.03%             | 2052-07-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                | Fannie Mae Pool                                               | CUSIP: 3138LSZ78<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     22654 | PA      | $22258.80     | 0.00%             | 2032-05-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                | Fannie Mae Pool                                               | CUSIP: 3140Q7D53<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    171541 | PA      | $169894.21    | 0.00%             | 2047-08-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                | Fannie Mae Pool                                               | CUSIP: 3140Q8BV6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    442100 | PA      | $428354.68    | 0.01%             | 2032-12-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                               | Freddie Mac Gold Pool                                         | CUSIP: 31307NQG2<br>LEI: 254900HROIFWPRGM1V77 | Long             | ABS-MBS          | USGSE             | US        |     33622 | PA      | $32777.59     | 0.00%             | 2030-07-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                | Fannie Mae Pool                                               | CUSIP: 3140XDWS1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    899851 | PA      | $797537.42    | 0.02%             | 2036-11-01      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                               | Freddie Mac Pool                                              | CUSIP: 3133L8U45<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   3319482 | PA      | $3024628.78   | 0.07%             | 2037-01-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                               | Freddie Mac Pool                                              | CUSIP: 3133L8HW8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   4617672 | PA      | $4207721.17   | 0.10%             | 2036-06-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                               | Freddie Mac Pool                                              | CUSIP: 3132DMSB2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   4102398 | PA      | $3478025.70   | 0.08%             | 2050-10-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                  | Ginnie Mae II Pool                                            | CUSIP: 36179VQR4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1180774 | PA      | $1028352.14   | 0.02%             | 2050-07-20      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                  | Ginnie Mae II Pool                                            | CUSIP: 3617A1GL2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    396411 | PA      | $380288.44    | 0.01%             | 2045-09-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                | Fannie Mae Pool                                               | CUSIP: 3140QLGU4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   4648231 | PA      | $3918011.31   | 0.09%             | 2051-07-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                               | Freddie Mac Non Gold Pool                                     | CUSIP: 31326FRA8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      1033 | PA      | $1023.81      | 0.00%             | 2043-06-01      | Floating      | 3.25%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                               | Freddie Mac Gold Pool                                         | CUSIP: 3128MJYU8<br>LEI: 254900HROIFWPRGM1V77 | Long             | ABS-MBS          | USGSE             | US        |     94044 | PA      | $90357.16     | 0.00%             | 2046-09-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                  | Ginnie Mae II Pool                                            | CUSIP: 36179SGM3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     50965 | PA      | $50260.81     | 0.00%             | 2046-07-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                  | Ginnie Mae II Pool                                            | CUSIP: 36178DSS1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     75655 | PA      | $72009.70     | 0.00%             | 2042-12-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                               | Freddie Mac Gold Pool                                         | CUSIP: 3132GUJW5<br>LEI: 254900HROIFWPRGM1V77 | Long             | ABS-MBS          | USGSE             | US        |     42302 | PA      | $41977.62     | 0.00%             | 2042-06-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                | Fannie Mae Pool                                               | CUSIP: 3138WFKQ8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    287428 | PA      | $273424.49    | 0.01%             | 2030-08-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                  | Ginnie Mae II Pool                                            | CUSIP: 36179VSF8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |  21860593 | PA      | $19038031.68  | 0.46%             | 2050-08-20      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                               | Freddie Mac Pool                                              | CUSIP: 31329PZC0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    394355 | PA      | $396223.09    | 0.01%             | 2048-12-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                | Fannie Mae Pool                                               | CUSIP: 31417DV42<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    117837 | PA      | $113735.09    | 0.00%             | 2042-11-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                | Fannie Mae Pool                                               | CUSIP: 3140QNQJ4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1602311 | PA      | $1349244.27   | 0.03%             | 2052-03-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                               | Freddie Mac Gold Pool                                         | CUSIP: 3132VQLR5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    357314 | PA      | $342304.00    | 0.01%             | 2049-06-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                  | Ginnie Mae II Pool                                            | CUSIP: 36179U4B5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   2481900 | PA      | $2301496.63   | 0.06%             | 2049-10-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Citigroup Commercial Mortgage Trust                       | Citigroup Commercial Mortgage Trust 2013-GC17                 | CUSIP: 17321RAD8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    620000 | PA      | $611996.54    | 0.01%             | 2046-11-10      | Fixed         | 4.13%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                               | Freddie Mac Pool                                              | CUSIP: 3133KLEZ6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |  13971173 | PA      | $11795679.93  | 0.28%             | 2051-02-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                | Fannie Mae Pool                                               | CUSIP: 3140EU4H9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     58569 | PA      | $56031.69     | 0.00%             | 2046-04-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                | Fannie Mae Pool                                               | CUSIP: 3138ERUK4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    265917 | PA      | $261864.91    | 0.01%             | 2032-01-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                  | Ginnie Mae II Pool                                            | CUSIP: 36179TAK1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    362839 | PA      | $347868.64    | 0.01%             | 2047-06-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                | Fannie Mae Pool                                               | CUSIP: 31418CWJ9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     44312 | PA      | $45066.97     | 0.00%             | 2048-04-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                | Fannie Mae Pool                                               | CUSIP: 3138EQ5W8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    974380 | PA      | $948955.14    | 0.02%             | 2031-02-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                               | Freddie Mac Pool                                              | CUSIP: 3132DWDR1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |  10960502 | PA      | $9603890.32   | 0.23%             | 2052-05-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                | Fannie Mae Pool                                               | CUSIP: 3138WFAW6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    117989 | PA      | $114906.17    | 0.00%             | 2030-07-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                               | Freddie Mac Pool                                              | CUSIP: 3132DV3U7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   9612339 | PA      | $9140695.64   | 0.22%             | 2049-09-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                | Fannie Mae Pool                                               | CUSIP: 3140FCTC2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    107751 | PA      | $103044.16    | 0.00%             | 2047-02-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                | Fannie Mae Pool                                               | CUSIP: 31418DQ70<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   7515691 | PA      | $6352524.91   | 0.15%             | 2050-07-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                | Fannie Mae Pool                                               | CUSIP: 3140X8KW6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   5221803 | PA      | $4612282.50   | 0.11%             | 2050-11-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                               | Freddie Mac Gold Pool                                         | CUSIP: 312931T73<br>LEI: 254900HROIFWPRGM1V77 | Long             | ABS-MBS          | USGSE             | US        |     94535 | PA      | $95802.38     | 0.00%             | 2039-03-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FHLMC Multifamily Structured Pass Through Certs.          | Freddie Mac Multifamily Structured Pass Through Certificates  | CUSIP: 3137FJEH8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   8302000 | PA      | $8248826.52   | 0.20%             | 2028-08-25      | Variable      | 3.90%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                | Fannie Mae Pool                                               | CUSIP: 3140J8GN7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    565676 | PA      | $545575.78    | 0.01%             | 2045-02-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                  | Ginnie Mae II Pool                                            | CUSIP: 36179RQ36<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    822747 | PA      | $811384.93    | 0.02%             | 2045-10-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                | Fannie Mae Pool                                               | CUSIP: 3140QNW65<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   3930921 | PA      | $3577630.80   | 0.09%             | 2052-04-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                               | Freddie Mac Gold Pool                                         | CUSIP: 31307QQJ9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   2349249 | PA      | $2290161.06   | 0.06%             | 2031-04-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                  | Ginnie Mae                                                    | CUSIP: 21H040624<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |  20025000 | PA      | $19439894.53  | 0.47%             | 2053-02-21      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                | Fannie Mae Pool                                               | CUSIP: 31418CXM1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1520245 | PA      | $1452256.57   | 0.03%             | 2048-06-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                  | Ginnie Mae II Pool                                            | CUSIP: 36179M5M8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     77845 | PA      | $75513.33     | 0.00%             | 2043-03-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                | Fannie Mae Pool                                               | CUSIP: 3140J8VQ3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    905471 | PA      | $851629.50    | 0.02%             | 2044-01-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                | Fannie Mae Pool                                               | CUSIP: 3138WGAM6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    636900 | PA      | $609971.46    | 0.01%             | 2045-12-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                               | Freddie Mac Pool                                              | CUSIP: 3133KJXK3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   2613609 | PA      | $2396880.71   | 0.06%             | 2050-08-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                  | Ginnie Mae                                                    | CUSIP: 21H022622<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |  12125000 | PA      | $10806758.85  | 0.26%             | 2053-02-21      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                  | Ginnie Mae II Pool                                            | CUSIP: 36179V4V9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |  12891477 | PA      | $11540868.14  | 0.28%             | 2051-01-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                | Fannie Mae Pool                                               | CUSIP: 3140GSNW8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1046225 | PA      | $1027398.92   | 0.02%             | 2047-09-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                               | Freddie Mac Pool                                              | CUSIP: 3133GF3W3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   2948038 | PA      | $2685454.15   | 0.06%             | 2036-12-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                  | Ginnie Mae II Pool                                            | CUSIP: 36179SWX1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   3241774 | PA      | $3108972.75   | 0.07%             | 2047-02-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                | Fannie Mae Pool                                               | CUSIP: 3138YXK87<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    209910 | PA      | $204204.82    | 0.00%             | 2030-09-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                               | Freddie Mac Pool                                              | CUSIP: 3132DVLA1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   4118906 | PA      | $3673475.85   | 0.09%             | 2050-07-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                | Fannie Mae Pool                                               | CUSIP: 3138WF7H3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     75716 | PA      | $73736.32     | 0.00%             | 2030-12-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                | Fannie Mae Pool                                               | CUSIP: 3138WGSX3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    187767 | PA      | $179817.42    | 0.00%             | 2046-03-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                | Fannie Mae Pool                                               | CUSIP: 3140GQ6T8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1561922 | PA      | $1490005.53   | 0.04%             | 2047-09-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                  | Ginnie Mae II Pool                                            | CUSIP: 36179S2Q9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   4373812 | PA      | $4302731.85   | 0.10%             | 2047-04-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                               | Freddie Mac Pool                                              | CUSIP: 3133AAKC5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   3496111 | PA      | $2954715.35   | 0.07%             | 2050-10-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                | Fannie Mae Pool                                               | CUSIP: 3138WGHD9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     49566 | PA      | $48848.38     | 0.00%             | 2046-01-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                | Fannie Mae Pool                                               | CUSIP: 31417CVK8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    170016 | PA      | $164097.77    | 0.00%             | 2042-08-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                | Fannie Mae Pool                                               | CUSIP: 3140F0JL9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     39852 | PA      | $40065.56     | 0.00%             | 2046-10-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                | Fannie Mae Pool                                               | CUSIP: 3140X5CH4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    467036 | PA      | $461431.55    | 0.01%             | 2046-10-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                | Fannie Mae Pool                                               | CUSIP: 31418CEG5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     47270 | PA      | $45202.55     | 0.00%             | 2046-12-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                | Fannie Mae Pool                                               | CUSIP: 3140XBJE1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   7056329 | PA      | $6881162.38   | 0.17%             | 2051-03-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                               | Freddie Mac Pool                                              | CUSIP: 3133BG4A3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    736807 | PA      | $728989.46    | 0.02%             | 2052-08-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                | Fannie Mae Pool                                               | CUSIP: 3140QGV61<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   5064362 | PA      | $4614743.18   | 0.11%             | 2036-02-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                               | Freddie Mac Pool                                              | CUSIP: 3133KKVH9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1356766 | PA      | $1197584.22   | 0.03%             | 2050-12-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                | Fannie Mae Pool                                               | CUSIP: 3140J5US6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    298469 | PA      | $294052.85    | 0.01%             | 2047-07-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                | Fannie Mae Pool                                               | CUSIP: 3140Q8LY9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    617779 | PA      | $597939.74    | 0.01%             | 2048-02-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                  | Ginnie Mae II Pool                                            | CUSIP: 36179WXL7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   3733095 | PA      | $3533798.45   | 0.09%             | 2052-02-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                | Fannie Mae Pool                                               | CUSIP: 31402CPL0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     77514 | PA      | $79660.19     | 0.00%             | 2033-11-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                               | Freddie Mac Pool                                              | CUSIP: 3132DMT96<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   2702568 | PA      | $2384070.64   | 0.06%             | 2051-04-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                | Fannie Mae Pool                                               | CUSIP: 3140J8AM5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    831537 | PA      | $820867.97    | 0.02%             | 2045-01-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley Capital I Trust                            | Morgan Stanley Capital I Trust 2019-H6                        | CUSIP: 61769JBA8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    488000 | PA      | $448335.65    | 0.01%             | 2052-06-15      | Fixed         | 3.42%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                  | Ginnie Mae II Pool                                            | CUSIP: 36179XHY5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   8139954 | PA      | $8082753.19   | 0.19%             | 2052-10-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                               | Freddie Mac Pool                                              | CUSIP: 3133KK7E3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |  10017385 | PA      | $8457599.74   | 0.20%             | 2051-02-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                | Fannie Mae Pool                                               | CUSIP: 3140Q7UL9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    114474 | PA      | $108029.96    | 0.00%             | 2032-10-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                               | Freddie Mac Gold Pool                                         | CUSIP: 3132XS6Q8<br>LEI: 254900HROIFWPRGM1V77 | Long             | ABS-MBS          | USGSE             | US        |    101140 | PA      | $102824.66    | 0.00%             | 2047-09-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                  | Ginnie Mae II Pool                                            | CUSIP: 36179WP93<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |  23604201 | PA      | $20450301.88  | 0.49%             | 2051-10-20      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                | Fannie Mae Pool                                               | CUSIP: 3140F0JX3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    537258 | PA      | $509510.05    | 0.01%             | 2031-10-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                | Fannie Mae Pool                                               | CUSIP: 31418CGD0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   6682783 | PA      | $6187675.08   | 0.15%             | 2047-02-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                | Fannie Mae Pool                                               | CUSIP: 31418C4W1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    630988 | PA      | $618720.01    | 0.01%             | 2048-12-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                | Fannie Mae Pool                                               | CUSIP: 3140J5DM8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    748310 | PA      | $706227.09    | 0.02%             | 2032-03-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                | Fannie Mae Pool                                               | CUSIP: 3138M5GF0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     18435 | PA      | $18295.65     | 0.00%             | 2032-08-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                | Fannie Mae Pool                                               | CUSIP: 3140EVTJ6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    454414 | PA      | $448010.93    | 0.01%             | 2046-07-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                | Fannie Mae Pool                                               | CUSIP: 3138AG3P1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     60935 | PA      | $61752.68     | 0.00%             | 2041-06-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                               | Freddie Mac Gold Pool                                         | CUSIP: 3132QL4T7<br>LEI: 254900HROIFWPRGM1V77 | Long             | ABS-MBS          | USGSE             | US        |     76057 | PA      | $75031.34     | 0.00%             | 2045-01-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                | Fannie Mae Pool                                               | CUSIP: 3140JAND6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    196563 | PA      | $193856.65    | 0.00%             | 2047-08-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                               | Freddie Mac Gold Pool                                         | CUSIP: 31335B7C4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    486886 | PA      | $480323.35    | 0.01%             | 2046-07-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                | Fannie Mae Pool                                               | CUSIP: 3140Q8WM3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   2008679 | PA      | $1963862.89   | 0.05%             | 2048-04-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                  | Ginnie Mae II Pool                                            | CUSIP: 36179VZQ6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |  18963436 | PA      | $16468814.01  | 0.40%             | 2050-12-20      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                | Fannie Mae Pool                                               | CUSIP: 3138EJX52<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     24480 | PA      | $24883.07     | 0.00%             | 2042-01-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                               | Freddie Mac Pool                                              | CUSIP: 3133L8GS8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   3608378 | PA      | $3287947.57   | 0.08%             | 2036-05-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                  | Ginnie Mae II Pool                                            | CUSIP: 36179SQY6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     47854 | PA      | $49244.15     | 0.00%             | 2046-11-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                | Fannie Mae Pool                                               | CUSIP: 3140QBW20<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   3557767 | PA      | $3411843.52   | 0.08%             | 2034-09-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                               | Freddie Mac Gold Pool                                         | CUSIP: 31307ULW6<br>LEI: 254900HROIFWPRGM1V77 | Long             | ABS-MBS          | USGSE             | US        |     83847 | PA      | $82161.77     | 0.00%             | 2032-09-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                               | Freddie Mac Gold Pool                                         | CUSIP: 3132HMVZ1<br>LEI: 254900HROIFWPRGM1V77 | Long             | ABS-MBS          | USGSE             | US        |     95612 | PA      | $92367.92     | 0.00%             | 2042-10-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                               | Freddie Mac Gold Pool                                         | CUSIP: 31297SH73<br>LEI: 254900HROIFWPRGM1V77 | Long             | ABS-MBS          | USGSE             | US        |     15600 | PA      | $16048.67     | 0.00%             | 2035-08-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FHLMC Multifamily Structured Pass Through Certs.          | Freddie Mac Multifamily Structured Pass Through Certificates  | CUSIP: 3137BFE98<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   6225000 | PA      | $6075773.68   | 0.15%             | 2024-10-25      | Fixed         | 3.17%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                | Fannie Mae Pool                                               | CUSIP: 3140F0UQ5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     18714 | PA      | $18443.40     | 0.00%             | 2044-10-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                               | Freddie Mac Pool                                              | CUSIP: 3133L8T39<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   3999322 | PA      | $3644078.06   | 0.09%             | 2036-11-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                | Fannie Mae Pool                                               | CUSIP: 3140QNK68<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   3509386 | PA      | $3076249.33   | 0.07%             | 2052-03-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| UMBS, TBA                                                 | Uniform Mortgage-Backed Security, TBA                         | CUSIP: 01F050627<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |  53625000 | PA      | $53821904.03  | 1.30%             | 2053-02-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                               | Freddie Mac Pool                                              | CUSIP: 3133A36A1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   3599372 | PA      | $3309275.33   | 0.08%             | 2050-04-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                | Fannie Mae Pool                                               | CUSIP: 3140ECRN1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    184054 | PA      | $175986.38    | 0.00%             | 2046-04-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                | Fannie Mae Pool                                               | CUSIP: 3138WKQD0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    458135 | PA      | $438192.89    | 0.01%             | 2047-04-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                | Fannie Mae Pool                                               | CUSIP: 3138WJQ27<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1281623 | PA      | $1225838.76   | 0.03%             | 2046-12-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                  | Ginnie Mae II Pool                                            | CUSIP: 36179UH62<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    918187 | PA      | $936349.26    | 0.02%             | 2048-12-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                | Fannie Mae Pool                                               | CUSIP: 3140J8EY5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    525321 | PA      | $516029.34    | 0.01%             | 2033-03-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                | Fannie Mae Pool                                               | CUSIP: 3140MCAF7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  15865015 | PA      | $13361757.39  | 0.32%             | 2052-02-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                | Fannie Mae Pool                                               | CUSIP: 3140XHYQ4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   6830688 | PA      | $6758213.47   | 0.16%             | 2052-08-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                | Fannie Mae Pool                                               | CUSIP: 3138WBQ65<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    183015 | PA      | $184355.30    | 0.00%             | 2044-04-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                | Fannie Mae Pool                                               | CUSIP: 3140X7M89<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   6656862 | PA      | $6293808.19   | 0.15%             | 2050-05-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                  | Ginnie Mae II Pool                                            | CUSIP: 36179SLT2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     18595 | PA      | $18299.63     | 0.00%             | 2046-09-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                | Fannie Mae Pool                                               | CUSIP: 31418DCB6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1263994 | PA      | $1270386.81   | 0.03%             | 2049-05-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                  | Ginnie Mae II Pool                                            | CUSIP: 36179WR26<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   3852229 | PA      | $3436819.82   | 0.08%             | 2051-11-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                  | Ginnie Mae II Pool                                            | CUSIP: 36179WLP1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |  30029754 | PA      | $26822421.37  | 0.65%             | 2051-08-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| UMBS, TBA                                                 | Uniform Mortgage-Backed Security, TBA                         | CUSIP: 01F040420<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   8250000 | PA      | $8192636.68   | 0.20%             | 2038-02-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                               | Freddie Mac Pool                                              | CUSIP: 3133KKQY8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   8736819 | PA      | $7711776.96   | 0.19%             | 2050-12-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                  | Ginnie Mae II Pool                                            | CUSIP: 36179T7L3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1601855 | PA      | $1609752.24   | 0.04%             | 2048-08-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                  | Ginnie Mae II Pool                                            | CUSIP: 36179TV93<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     69145 | PA      | $71883.94     | 0.00%             | 2048-04-20      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                  | Ginnie Mae II Pool                                            | CUSIP: 36179UKZ4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    592898 | PA      | $605071.23    | 0.01%             | 2049-01-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                  | Ginnie Mae II Pool                                            | CUSIP: 36179RXE4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     45656 | PA      | $45025.21     | 0.00%             | 2046-01-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                  | Ginnie Mae II Pool                                            | CUSIP: 36179RVB2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    240983 | PA      | $230420.28    | 0.01%             | 2045-12-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                | Fannie Mae Pool                                               | CUSIP: 3140XD3V6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   3630596 | PA      | $3308116.40   | 0.08%             | 2036-12-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                | Fannie Mae Pool                                               | CUSIP: 3140HJ2A8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     90321 | PA      | $91558.42     | 0.00%             | 2048-05-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                | Fannie Mae Pool                                               | CUSIP: 3140J5WM7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    739918 | PA      | $709305.85    | 0.02%             | 2047-07-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                               | Freddie Mac Gold Pool                                         | CUSIP: 3132GVG97<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    239192 | PA      | $236560.63    | 0.01%             | 2042-08-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                | Fannie Mae Pool                                               | CUSIP: 3140FS3Z4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     13250 | PA      | $13347.38     | 0.00%             | 2047-01-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                  | Ginnie Mae II Pool                                            | CUSIP: 36179SYR2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1509150 | PA      | $1406445.51   | 0.03%             | 2047-03-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                               | Freddie Mac Gold Pool                                         | CUSIP: 3132QVJB8<br>LEI: 254900HROIFWPRGM1V77 | Long             | ABS-MBS          | USGSE             | US        |     45201 | PA      | $44591.52     | 0.00%             | 2046-01-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                | Fannie Mae Pool                                               | CUSIP: 3140QBHB7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   2263896 | PA      | $2240901.70   | 0.05%             | 2049-07-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                | Fannie Mae Pool                                               | CUSIP: 3140QNFJ6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   9517599 | PA      | $8342827.97   | 0.20%             | 2052-02-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                               | Freddie Mac Gold Pool                                         | CUSIP: 3128CUWF9<br>LEI: 254900HROIFWPRGM1V77 | Long             | ABS-MBS          | USGSE             | US        |     31586 | PA      | $30531.77     | 0.00%             | 2033-05-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                               | Freddie Mac Gold Pool                                         | CUSIP: 31335AGC6<br>LEI: 254900HROIFWPRGM1V77 | Long             | ABS-MBS          | USGSE             | US        |    130254 | PA      | $128820.52    | 0.00%             | 2042-06-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                | Fannie Mae Pool                                               | CUSIP: 31418CCM4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1448419 | PA      | $1375906.14   | 0.03%             | 2031-10-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                  | Ginnie Mae II Pool                                            | CUSIP: 36179W2U1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   6979165 | PA      | $6219896.36   | 0.15%             | 2052-04-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                               | Freddie Mac Gold Pool                                         | CUSIP: 3132L93U7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    919313 | PA      | $879898.58    | 0.02%             | 2047-01-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                               | Freddie Mac Gold Pool                                         | CUSIP: 3128M9TQ5<br>LEI: 254900HROIFWPRGM1V77 | Long             | ABS-MBS          | USGSE             | US        |    233637 | PA      | $225537.54    | 0.01%             | 2043-08-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                  | Ginnie Mae II Pool                                            | CUSIP: 36179RD55<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    239671 | PA      | $217177.22    | 0.01%             | 2045-05-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                  | Ginnie Mae II Pool                                            | CUSIP: 36179UD90<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1278987 | PA      | $1254963.75   | 0.03%             | 2048-10-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                  | Ginnie Mae II Pool                                            | CUSIP: 36179XBR6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   4871806 | PA      | $4475740.76   | 0.11%             | 2052-07-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                | Fannie Mae Pool                                               | CUSIP: 3138ER2G4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1119515 | PA      | $1081282.25   | 0.03%             | 2047-01-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FHLMC Multifamily Structured Pass Through Certs.          | Freddie Mac Multifamily Structured Pass Through Certificates  | CUSIP: 3137FTZQ3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   2190000 | PA      | $1846273.59   | 0.04%             | 2030-04-25      | Fixed         | 1.48%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                  | Ginnie Mae I Pool                                             | CUSIP: 36178EDG1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    131557 | PA      | $124487.78    | 0.00%             | 2043-05-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                               | Freddie Mac Gold Pool                                         | CUSIP: 3128MJZP8<br>LEI: 254900HROIFWPRGM1V77 | Long             | ABS-MBS          | USGSE             | US        |    463137 | PA      | $455935.73    | 0.01%             | 2047-02-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                | Fannie Mae Pool                                               | CUSIP: 3140QFFJ3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   7136357 | PA      | $6305932.71   | 0.15%             | 2050-10-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                | Fannie Mae Pool                                               | CUSIP: 3140FXGQ9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1129520 | PA      | $1096028.11   | 0.03%             | 2047-02-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                  | Ginnie Mae II Pool                                            | CUSIP: 36179SEG8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1291531 | PA      | $1206426.39   | 0.03%             | 2046-06-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                | Fannie Mae Pool                                               | CUSIP: 3138WJTD0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    420250 | PA      | $390807.84    | 0.01%             | 2047-01-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                | Fannie Mae Pool                                               | CUSIP: 31418DYX4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  14625301 | PA      | $12345488.30  | 0.30%             | 2051-05-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                               | Freddie Mac Gold Pool                                         | CUSIP: 3128MJ4F4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    277005 | PA      | $282687.51    | 0.01%             | 2048-05-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                | Fannie Mae Pool                                               | CUSIP: 3138WKTU9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    138761 | PA      | $128279.81    | 0.00%             | 2047-05-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                  | Ginnie Mae                                                    | CUSIP: 21H042620<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |  19575000 | PA      | $19434304.69  | 0.47%             | 2053-02-21      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                | Fannie Mae Pool                                               | CUSIP: 31417GHN9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      7808 | PA      | $7343.32      | 0.00%             | 2043-05-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                               | Freddie Mac Pool                                              | CUSIP: 3132D6NW6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |  14084179 | PA      | $13186056.41  | 0.32%             | 2035-10-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                  | Ginnie Mae II Pool                                            | CUSIP: 36179TLT0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   2372285 | PA      | $2335135.93   | 0.06%             | 2047-11-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                | Fannie Mae Pool                                               | CUSIP: 3140J8M34<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    804698 | PA      | $779682.60    | 0.02%             | 2032-12-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Toyota Auto Receivables Owner Trust                       | Toyota Auto Receivables 2022-B Owner Trust                    | CUSIP: 89238FAD5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |  10000000 | PA      | $9707796.00   | 0.23%             | 2026-09-15      | Fixed         | 2.93%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley BAML Trust                                 | Morgan Stanley Bank of America Merrill Lynch Trust 2014-C16   | CUSIP: 61763MAE0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2384664 | PA      | $2329952.94   | 0.06%             | 2047-06-15      | Fixed         | 3.60%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                  | Ginnie Mae II Pool                                            | CUSIP: 36179VDN7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |  14484307 | PA      | $13427131.54  | 0.32%             | 2050-01-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                               | Freddie Mac Pool                                              | CUSIP: 3132A9U21<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1140348 | PA      | $1114541.59   | 0.03%             | 2033-06-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                | Fannie Mae Pool                                               | CUSIP: 3140FXFM9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1088858 | PA      | $1073070.13   | 0.03%             | 2057-01-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                               | Freddie Mac Gold Pool                                         | CUSIP: 3128MJYD6<br>LEI: 254900HROIFWPRGM1V77 | Long             | ABS-MBS          | USGSE             | US        |    200414 | PA      | $197670.37    | 0.00%             | 2046-05-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                | Fannie Mae Pool                                               | CUSIP: 3140XDCT1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1292712 | PA      | $1095651.05   | 0.03%             | 2051-10-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                | Fannie Mae Pool                                               | CUSIP: 3140Q7JK4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    187648 | PA      | $184349.11    | 0.00%             | 2047-09-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                | Fannie Mae Pool                                               | CUSIP: 3140QN4A7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   3978754 | PA      | $3621187.11   | 0.09%             | 2052-05-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                | Fannie Mae Pool                                               | CUSIP: 3140Q7XS1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    452039 | PA      | $435938.59    | 0.01%             | 2044-10-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                               | Freddie Mac Gold Pool                                         | CUSIP: 31335BC20<br>LEI: 254900HROIFWPRGM1V77 | Long             | ABS-MBS          | USGSE             | US        |    676899 | PA      | $628812.51    | 0.02%             | 2046-12-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                | Fannie Mae Pool                                               | CUSIP: 3138ET6Y7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    319017 | PA      | $310680.63    | 0.01%             | 2031-09-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                | Fannie Mae Pool                                               | CUSIP: 3140X8NS2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1888106 | PA      | $1720495.93   | 0.04%             | 2035-12-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley BAML Trust                                 | Morgan Stanley Bank of America Merrill Lynch Trust 2013-C10   | CUSIP: 61762MBY6<br>LEI: 549300P1YQ48837ZOI22 | Long             | ABS-MBS          | CORP              | US        |   2073000 | PA      | $2049031.97   | 0.05%             | 2046-07-15      | Variable      | 4.07%                 | No            |                  2 | On Loan: No      |
| BENCHMARK Mortgage Trust                                  | Benchmark 2018-B5 Mortgage Trust                              | CUSIP: 08160BAD6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2489000 | PA      | $2427722.81   | 0.06%             | 2051-07-15      | Fixed         | 4.21%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                | Fannie Mae Pool                                               | CUSIP: 3140Q7VR5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    147839 | PA      | $149288.00    | 0.00%             | 2047-10-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                | Fannie Mae Pool                                               | CUSIP: 3138ETQP4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    486767 | PA      | $479380.11    | 0.01%             | 2031-06-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                  | Ginnie Mae II Pool                                            | CUSIP: 3617B5CZ5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    963140 | PA      | $922472.68    | 0.02%             | 2047-08-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                | Fannie Mae Pool                                               | CUSIP: 31418D7E6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  30494862 | PA      | $25702013.15  | 0.62%             | 2051-12-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                               | Freddie Mac Gold Pool                                         | CUSIP: 3128MFRK6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   2126476 | PA      | $2090962.99   | 0.05%             | 2033-05-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Citigroup Commercial Mortgage Trust                       | Citigroup Commercial Mortgage Trust 2016-GC37                 | CUSIP: 17290XAT7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2903000 | PA      | $2764196.25   | 0.07%             | 2049-04-10      | Fixed         | 3.31%                 | No            |                  2 | On Loan: No      |
| CSAIL Commercial Mortgage Trust                           | CSAIL 2016-C7 Commercial Mortgage Trust                       | CUSIP: 12637UAW9<br>LEI: 5493006MX7HG5PC85C29 | Long             | ABS-MBS          | CORP              | US        |   3984000 | PA      | $3783511.18   | 0.09%             | 2049-11-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                | Fannie Mae Pool                                               | CUSIP: 3140QQU45<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  34566205 | PA      | $34199473.44  | 0.82%             | 2052-11-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                  | Ginnie Mae II Pool                                            | CUSIP: 36179UGC0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1436250 | PA      | $1408333.11   | 0.03%             | 2048-11-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| UMBS, TBA                                                 | Uniform Mortgage-Backed Security, TBA                         | CUSIP: 01F032625<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |  52275000 | PA      | $49021010.37  | 1.18%             | 2053-02-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| UMBS, TBA                                                 | Uniform Mortgage-Backed Security, TBA                         | CUSIP: 01F032427<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   9225000 | PA      | $8994881.64   | 0.22%             | 2038-02-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                | Fannie Mae Pool                                               | CUSIP: 31418DUF7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   3819876 | PA      | $3060563.23   | 0.07%             | 2050-11-01      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                | Fannie Mae Pool                                               | CUSIP: 3140FCP69<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     48757 | PA      | $46636.89     | 0.00%             | 2046-09-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                               | Freddie Mac Gold Pool                                         | CUSIP: 3128MJYM6<br>LEI: 254900HROIFWPRGM1V77 | Long             | ABS-MBS          | USGSE             | US        |   1762484 | PA      | $1637311.74   | 0.04%             | 2046-08-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                               | Freddie Mac Gold Pool                                         | CUSIP: 3128MMWW9<br>LEI: 254900HROIFWPRGM1V77 | Long             | ABS-MBS          | USGSE             | US        |     46062 | PA      | $45292.99     | 0.00%             | 2032-09-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                               | Freddie Mac Gold Pool                                         | CUSIP: 3128MMUM3<br>LEI: 254900HROIFWPRGM1V77 | Long             | ABS-MBS          | USGSE             | US        |     64758 | PA      | $63069.10     | 0.00%             | 2031-02-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FHLMC Multifamily Structured Pass Through Certs.          | Freddie Mac Multifamily Structured Pass Through Certificates  | CUSIP: 3137BMTX4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    620000 | PA      | $601646.51    | 0.01%             | 2025-11-25      | Fixed         | 3.15%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                               | Freddie Mac Pool                                              | CUSIP: 3133KN4Q3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   8661958 | PA      | $7882157.39   | 0.19%             | 2052-04-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                  | Ginnie Mae II Pool                                            | CUSIP: 36179TNR2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    534345 | PA      | $512251.90    | 0.01%             | 2047-12-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fanniemae-Aces                                            | Fannie Mae-Aces                                               | CUSIP: 3136ASVZ6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   5111938 | PA      | $4861011.74   | 0.12%             | 2026-05-25      | Fixed         | 2.49%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                | Fannie Mae Pool                                               | CUSIP: 3140XBB58<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   3851496 | PA      | $3615298.59   | 0.09%             | 2036-05-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                | Fannie Mae Pool                                               | CUSIP: 3140QKNS3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   2276516 | PA      | $1957695.38   | 0.05%             | 2051-05-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| FHLMC Multifamily Structured Pass Through Certs.          | Freddie Mac Multifamily Structured Pass Through Certificates  | CUSIP: 3137FXYV4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   9074000 | PA      | $7865996.53   | 0.19%             | 2031-01-25      | Fixed         | 2.07%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                               | Freddie Mac Gold Pool                                         | CUSIP: 3132WQAT2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     79251 | PA      | $75848.32     | 0.00%             | 2047-08-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                | Fannie Mae Pool                                               | CUSIP: 3140Q8WW1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    167120 | PA      | $168963.33    | 0.00%             | 2048-04-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                | Fannie Mae Pool                                               | CUSIP: 31417GHP4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    126211 | PA      | $118698.32    | 0.00%             | 2043-05-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                | Fannie Mae Pool                                               | CUSIP: 3138WKUB9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    654292 | PA      | $625777.82    | 0.02%             | 2047-05-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                               | Freddie Mac Gold Pool                                         | CUSIP: 3128MJ2T6<br>LEI: 254900HROIFWPRGM1V77 | Long             | ABS-MBS          | USGSE             | US        |    100736 | PA      | $98287.18     | 0.00%             | 2047-10-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                  | Ginnie Mae II Pool                                            | CUSIP: 36179UKW1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    333436 | PA      | $319681.74    | 0.01%             | 2049-01-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                | Fannie Mae Pool                                               | CUSIP: 3140X8TY3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  16007286 | PA      | $14978463.06  | 0.36%             | 2050-10-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                               | Freddie Mac Gold Pool                                         | CUSIP: 31335BCZ7<br>LEI: 254900HROIFWPRGM1V77 | Long             | ABS-MBS          | USGSE             | US        |   1221497 | PA      | $1135164.73   | 0.03%             | 2047-05-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FHLMC Multifamily Structured Pass Through Certs.          | Freddie Mac Multifamily Structured Pass Through Certificates  | CUSIP: 3137H7M91<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   5000000 | PA      | $4406575.00   | 0.11%             | 2032-04-25      | Fixed         | 2.45%                 | No            |                  2 | On Loan: No      |
| FHLMC Multifamily Structured Pass Through Certs.          | Freddie Mac Multifamily Structured Pass Through Certificates  | CUSIP: 3137FLN34<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   4731000 | PA      | $4594152.04   | 0.11%             | 2026-02-25      | Fixed         | 3.21%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                               | Freddie Mac Pool                                              | CUSIP: 3132D6N48<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   4289027 | PA      | $3908249.04   | 0.09%             | 2036-05-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                | Fannie Mae Pool                                               | CUSIP: 3140QLPQ3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  12010234 | PA      | $10539188.33  | 0.25%             | 2051-08-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                | Fannie Mae Pool                                               | CUSIP: 3140XDRQ1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   2934548 | PA      | $2573246.32   | 0.06%             | 2051-11-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                | Fannie Mae Pool                                               | CUSIP: 3140QKHM3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   6152283 | PA      | $5206156.99   | 0.13%             | 2051-04-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                | Fannie Mae Pool                                               | CUSIP: 31418DEM0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1036041 | PA      | $1012596.30   | 0.02%             | 2034-08-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                               | Freddie Mac Gold Pool                                         | CUSIP: 3128MJ2G4<br>LEI: 254900HROIFWPRGM1V77 | Long             | ABS-MBS          | USGSE             | US        |    143309 | PA      | $137073.35    | 0.00%             | 2047-08-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                | Fannie Mae Pool                                               | CUSIP: 3140HEXQ0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    336812 | PA      | $340486.56    | 0.01%             | 2048-02-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                               | Freddie Mac Pool                                              | CUSIP: 3133G6HZ1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    350951 | PA      | $337220.22    | 0.01%             | 2034-07-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                | Fannie Mae Pool                                               | CUSIP: 3140XCSU3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   9369168 | PA      | $7497954.53   | 0.18%             | 2051-07-01      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                | Fannie Mae Pool                                               | CUSIP: 3138WJR75<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     74338 | PA      | $72391.45     | 0.00%             | 2032-01-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                | Fannie Mae Pool                                               | CUSIP: 3138WJTG3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   2393410 | PA      | $2208747.49   | 0.05%             | 2047-01-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                | Fannie Mae Pool                                               | CUSIP: 3138WECQ0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    187434 | PA      | $186493.03    | 0.00%             | 2045-03-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                | Fannie Mae Pool                                               | CUSIP: 3140QDDQ4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   2024869 | PA      | $1861721.61   | 0.04%             | 2050-04-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                  | Ginnie Mae II Pool                                            | CUSIP: 36179SUT2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    856320 | PA      | $775937.82    | 0.02%             | 2047-01-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                               | Freddie Mac Gold Pool                                         | CUSIP: 31335BRY4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   8798976 | PA      | $8284012.53   | 0.20%             | 2046-09-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                | Fannie Mae Pool                                               | CUSIP: 3140J7N27<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     20126 | PA      | $20273.42     | 0.00%             | 2046-08-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                | Fannie Mae Pool                                               | CUSIP: 3140QMRT3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   7833562 | PA      | $6869043.20   | 0.17%             | 2051-12-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Wells Fargo Commercial Mortgage Trust                     | Wells Fargo Commercial Mortgage Trust 2015-SG1                | CUSIP: 94989QAV2<br>LEI: 549300ZJL46M82UL2Z22 | Long             | ABS-MBS          | CORP              | US        |   4027900 | PA      | $3885655.45   | 0.09%             | 2048-09-15      | Fixed         | 3.79%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                  | Ginnie Mae II Pool                                            | CUSIP: 3622A2TM4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    898113 | PA      | $878563.07    | 0.02%             | 2045-08-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                | Fannie Mae Pool                                               | CUSIP: 3138WRP20<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    617213 | PA      | $580471.37    | 0.01%             | 2043-03-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                  | Ginnie Mae II Pool                                            | CUSIP: 36179V7E4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   7761696 | PA      | $6948373.05   | 0.17%             | 2051-02-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| BENCHMARK Mortgage Trust                                  | Benchmark 2019-B9 Mortgage Trust                              | CUSIP: 08160JAE7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2489000 | PA      | $2390706.65   | 0.06%             | 2052-03-15      | Fixed         | 4.02%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                  | Ginnie Mae II Pool                                            | CUSIP: 3622A2SG8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1506430 | PA      | $1411213.40   | 0.03%             | 2046-02-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                               | Freddie Mac Gold Pool                                         | CUSIP: 3128MJ4B3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    214870 | PA      | $210442.52    | 0.01%             | 2048-06-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                | Fannie Mae Pool                                               | CUSIP: 3140J9D65<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1378219 | PA      | $1342223.77   | 0.03%             | 2032-02-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                | Fannie Mae Pool                                               | CUSIP: 31418CR97<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    638738 | PA      | $628297.26    | 0.02%             | 2047-12-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                  | Ginnie Mae II Pool                                            | CUSIP: 36179UV74<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1326648 | PA      | $1230180.42   | 0.03%             | 2049-07-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                  | Ginnie Mae II Pool                                            | CUSIP: 36179VSH4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   3306074 | PA      | $3058820.61   | 0.07%             | 2050-08-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                | Fannie Mae Pool                                               | CUSIP: 3140MJ7B5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    903517 | PA      | $821287.64    | 0.02%             | 2052-04-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                               | Freddie Mac Gold Pool                                         | CUSIP: 3132LKA83<br>LEI: 254900HROIFWPRGM1V77 | Long             | ABS-MBS          | USGSE             | US        |    166521 | PA      | $160728.28    | 0.00%             | 2030-06-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| UMBS, TBA                                                 | Uniform Mortgage-Backed Security, TBA                         | CUSIP: 01F020422<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |  42175000 | PA      | $38324883.89  | 0.92%             | 2038-02-15      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                               | Freddie Mac Gold Pool                                         | CUSIP: 3128MMTJ2<br>LEI: 254900HROIFWPRGM1V77 | Long             | ABS-MBS          | USGSE             | US        |    440555 | PA      | $429468.70    | 0.01%             | 2030-05-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                | Fannie Mae Pool                                               | CUSIP: 3140X9CL7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   4795250 | PA      | $4489238.17   | 0.11%             | 2035-10-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                               | Freddie Mac Pool                                              | CUSIP: 3133KPLY2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   2035972 | PA      | $1967430.18   | 0.05%             | 2052-06-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                  | Ginnie Mae I Pool                                             | CUSIP: 3622A2FW7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1111092 | PA      | $1077479.25   | 0.03%             | 2043-06-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                               | Freddie Mac Non Gold Pool                                     | CUSIP: 31300LQK4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      3277 | PA      | $3317.12      | 0.00%             | 2041-08-01      | Floating      | 3.91%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                  | Ginnie Mae II Pool                                            | CUSIP: 36179TLR4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   2093800 | PA      | $1954713.16   | 0.05%             | 2047-11-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                | Fannie Mae Pool                                               | CUSIP: 3140XDRM0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   4605192 | PA      | $4038487.05   | 0.10%             | 2051-11-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                               | Freddie Mac Pool                                              | CUSIP: 3133BAFH9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   3413880 | PA      | $3105999.94   | 0.07%             | 2052-04-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                               | Freddie Mac Gold Pool                                         | CUSIP: 3128CUWB8<br>LEI: 254900HROIFWPRGM1V77 | Long             | ABS-MBS          | USGSE             | US        |      6384 | PA      | $6155.00      | 0.00%             | 2033-05-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                | Fannie Mae Pool                                               | CUSIP: 31416WYF3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     10663 | PA      | $10588.37     | 0.00%             | 2025-10-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                | Fannie Mae Pool                                               | CUSIP: 31403DGZ6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     13688 | PA      | $14361.40     | 0.00%             | 2036-05-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                               | Freddie Mac Gold Pool                                         | CUSIP: 3128MJYA2<br>LEI: 254900HROIFWPRGM1V77 | Long             | ABS-MBS          | USGSE             | US        |     14955 | PA      | $15079.87     | 0.00%             | 2046-04-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                               | Freddie Mac Pool                                              | CUSIP: 3132DNQC0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   4901533 | PA      | $4849527.49   | 0.12%             | 2052-07-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                | Fannie Mae Pool                                               | CUSIP: 3140EUQ51<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    151337 | PA      | $145133.51    | 0.00%             | 2045-12-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                | Fannie Mae Pool                                               | CUSIP: 3140F4NA0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     46246 | PA      | $44266.71     | 0.00%             | 2046-08-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                | Fannie Mae Pool                                               | CUSIP: 31418EDC1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   5250555 | PA      | $4601099.89   | 0.11%             | 2052-05-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                | Fannie Mae Pool                                               | CUSIP: 31418DA85<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    478155 | PA      | $488399.61    | 0.01%             | 2049-04-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                  | Ginnie Mae II Pool                                            | CUSIP: 36184Q2N3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    307836 | PA      | $284948.53    | 0.01%             | 2045-05-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                | Fannie Mae Pool                                               | CUSIP: 3140J9W56<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    480714 | PA      | $473415.39    | 0.01%             | 2032-09-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                | Fannie Mae Pool                                               | CUSIP: 31418DXK3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  19324918 | PA      | $16315683.43  | 0.39%             | 2051-03-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                | Fannie Mae Pool                                               | CUSIP: 3140H3XW1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1055169 | PA      | $1008855.51   | 0.02%             | 2047-12-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                | Fannie Mae Pool                                               | CUSIP: 3140X4Z66<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    828964 | PA      | $823174.47    | 0.02%             | 2032-07-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                | Fannie Mae Pool                                               | CUSIP: 3138ENQR3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    313963 | PA      | $317540.08    | 0.01%             | 2041-06-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                  | Ginnie Mae II Pool                                            | CUSIP: 36179MVS6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    626411 | PA      | $606751.78    | 0.01%             | 2042-12-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                | Fannie Mae Pool                                               | CUSIP: 31403DDX4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     23878 | PA      | $25042.06     | 0.00%             | 2036-04-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                               | Freddie Mac Gold Pool                                         | CUSIP: 3128MMU35<br>LEI: 254900HROIFWPRGM1V77 | Long             | ABS-MBS          | USGSE             | US        |    216303 | PA      | $210855.88    | 0.01%             | 2031-05-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                | Fannie Mae Pool                                               | CUSIP: 3140J92F7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1599449 | PA      | $1573308.21   | 0.04%             | 2048-01-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| UMBS, TBA                                                 | Uniform Mortgage-Backed Security, TBA                         | CUSIP: 01F020620<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |  35850000 | PA      | $30130804.69  | 0.73%             | 2053-02-15      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                | Fannie Mae Pool                                               | CUSIP: 3138Y64A9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     77195 | PA      | $78451.20     | 0.00%             | 2042-01-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                | Fannie Mae Pool                                               | CUSIP: 3138WRTB6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     41754 | PA      | $39268.23     | 0.00%             | 2043-06-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Wells Fargo Commercial Mortgage Trust                     | Wells Fargo Commercial Mortgage Trust 2015-C27                | CUSIP: 94989DAW9<br>LEI: 5493001SKB2HKIF64L70 | Long             | ABS-MBS          | CORP              | US        |   1243000 | PA      | $1197790.35   | 0.03%             | 2048-02-15      | Fixed         | 3.45%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                  | Ginnie Mae II Pool                                            | CUSIP: 36179WXK9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |  12648600 | PA      | $11650885.27  | 0.28%             | 2052-02-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                               | Freddie Mac Non Gold Pool                                     | CUSIP: 3128S5E34<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      6386 | PA      | $6468.24      | 0.00%             | 2040-09-01      | Floating      | 3.59%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                | Fannie Mae Pool                                               | CUSIP: 3138WLCK7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    832570 | PA      | $817588.34    | 0.02%             | 2047-07-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                               | Freddie Mac Pool                                              | CUSIP: 3132CWC85<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1547821 | PA      | $1509201.25   | 0.04%             | 2034-07-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                | Fannie Mae Pool                                               | CUSIP: 3140FQTZ0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    318861 | PA      | $305918.14    | 0.01%             | 2046-11-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fanniemae-Aces                                            | Fannie Mae-Aces                                               | CUSIP: 3136B6XJ7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   3720244 | PA      | $3375099.35   | 0.08%             | 2029-08-25      | Fixed         | 2.52%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                  | Ginnie Mae II Pool                                            | CUSIP: 36179WQB7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |  10866271 | PA      | $9981257.75   | 0.24%             | 2051-10-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                | Fannie Mae Pool                                               | CUSIP: 3138EPUP7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    160845 | PA      | $162022.96    | 0.00%             | 2045-02-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                               | Freddie Mac Pool                                              | CUSIP: 3133KKLM9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   4763293 | PA      | $4231885.44   | 0.10%             | 2050-11-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                  | Ginnie Mae I Pool                                             | CUSIP: 36290TVJ5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     47079 | PA      | $48794.38     | 0.00%             | 2036-09-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                | Fannie Mae Pool                                               | CUSIP: 3140QGLY1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  10281133 | PA      | $8716372.26   | 0.21%             | 2051-01-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                               | Freddie Mac Gold Pool                                         | CUSIP: 312945LK2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    118980 | PA      | $121042.55    | 0.00%             | 2041-02-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                  | Ginnie Mae II Pool                                            | CUSIP: 36179UQ70<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   3201309 | PA      | $3259820.31   | 0.08%             | 2049-04-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                | Fannie Mae Pool                                               | CUSIP: 31418EAN0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  74316369 | PA      | $65124344.51  | 1.57%             | 2052-01-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                | Fannie Mae Pool                                               | CUSIP: 3140X9FM2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   2295668 | PA      | $2091867.24   | 0.05%             | 2036-02-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                | Fannie Mae Pool                                               | CUSIP: 3138EHBB7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    171718 | PA      | $176482.69    | 0.00%             | 2041-10-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                | Fannie Mae Pool                                               | CUSIP: 3140E26C0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     60515 | PA      | $59159.02     | 0.00%             | 2045-08-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                | Fannie Mae Pool                                               | CUSIP: 3140XB3V0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   9512618 | PA      | $8423236.18   | 0.20%             | 2051-08-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| GS Mortgage Securities Trust                              | GS Mortgage Securities Corp II                                | CUSIP: 36250SAE9<br>LEI: 5493005BBCF84ICNQ550 | Long             | ABS-MBS          | CORP              | US        |   2489000 | PA      | $2410529.30   | 0.06%             | 2051-07-10      | Variable      | 4.16%                 | No            |                  2 | On Loan: No      |
| BENCHMARK Mortgage Trust                                  | Benchmark 2019-B11 Mortgage Trust                             | CUSIP: 08162BBD3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   3319000 | PA      | $3061652.04   | 0.07%             | 2052-05-15      | Fixed         | 3.28%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                | Fannie Mae Pool                                               | CUSIP: 3140QNWY4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   3898830 | PA      | $3548725.43   | 0.09%             | 2052-04-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                               | Freddie Mac Pool                                              | CUSIP: 3133KMXU4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   8328566 | PA      | $7055046.83   | 0.17%             | 2051-10-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                               | Freddie Mac Pool                                              | CUSIP: 3133BJAB8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    391768 | PA      | $387611.75    | 0.01%             | 2052-08-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                | Fannie Mae Pool                                               | CUSIP: 3140GYJ26<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   2470731 | PA      | $2371255.25   | 0.06%             | 2048-02-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley Capital I Trust                            | Morgan Stanley Capital I Trust 2018-H3                        | CUSIP: 61767YAY6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2489000 | PA      | $2390885.11   | 0.06%             | 2051-07-15      | Fixed         | 3.91%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                | Fannie Mae Pool                                               | CUSIP: 3138ERX39<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    568083 | PA      | $528295.22    | 0.01%             | 2047-01-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                | Fannie Mae Pool                                               | CUSIP: 3140J6E94<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1284490 | PA      | $1231699.22   | 0.03%             | 2047-10-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                | Fannie Mae Pool                                               | CUSIP: 31419LZM8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    108769 | PA      | $110538.54    | 0.00%             | 2040-12-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                | Fannie Mae Pool                                               | CUSIP: 3138EP5N0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    201393 | PA      | $198183.24    | 0.00%             | 2030-07-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                | Fannie Mae Pool                                               | CUSIP: 3140Q8KB0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   4582122 | PA      | $4383695.98   | 0.11%             | 2048-02-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                               | Freddie Mac Gold Pool                                         | CUSIP: 3128MJ2M1<br>LEI: 254900HROIFWPRGM1V77 | Long             | ABS-MBS          | USGSE             | US        |   2090756 | PA      | $1975366.04   | 0.05%             | 2047-09-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Wells Fargo Commercial Mortgage Trust                     | Wells Fargo Commercial Mortgage Trust 2019-C49                | CUSIP: 95001WBB3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   3195000 | PA      | $3070193.08   | 0.07%             | 2052-03-15      | Fixed         | 4.02%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                               | Freddie Mac Gold Pool                                         | CUSIP: 312936NA1<br>LEI: 254900HROIFWPRGM1V77 | Long             | ABS-MBS          | USGSE             | US        |     66390 | PA      | $67496.80     | 0.00%             | 2039-10-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                               | Freddie Mac Pool                                              | CUSIP: 31329QYG0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   3695497 | PA      | $3546660.67   | 0.09%             | 2049-06-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                               | Freddie Mac Pool                                              | CUSIP: 3133KK3U1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   8088152 | PA      | $7131114.47   | 0.17%             | 2051-01-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                | Fannie Mae Pool                                               | CUSIP: 3140HAFM7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    566590 | PA      | $570732.84    | 0.01%             | 2048-02-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                | Fannie Mae Pool                                               | CUSIP: 3138ERJH4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    147127 | PA      | $136429.52    | 0.00%             | 2046-10-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                | Fannie Mae Pool                                               | CUSIP: 3140J8DM2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1768205 | PA      | $1575191.52   | 0.04%             | 2047-04-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                | Fannie Mae Pool                                               | CUSIP: 3140XDUC8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  13571283 | PA      | $11438480.28  | 0.28%             | 2051-12-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                | Fannie Mae Pool                                               | CUSIP: 31418CXT6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    200327 | PA      | $197350.38    | 0.00%             | 2038-06-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                | Fannie Mae Pool                                               | CUSIP: 3140X8WQ6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   4480572 | PA      | $3831840.90   | 0.09%             | 2050-12-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                | Fannie Mae Pool                                               | CUSIP: 3140X8H26<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    876240 | PA      | $841948.61    | 0.02%             | 2035-03-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                | Fannie Mae Pool                                               | CUSIP: 3138WE3W7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    719477 | PA      | $690271.97    | 0.02%             | 2045-07-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                | Fannie Mae Pool                                               | CUSIP: 3140X4Z33<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   3877142 | PA      | $3707516.00   | 0.09%             | 2033-01-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                | Fannie Mae Pool                                               | CUSIP: 3140J9GM7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   4643053 | PA      | $4426923.52   | 0.11%             | 2048-02-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| CarMax Auto Owner Trust                                   | Carmax Auto Owner Trust 2021-1                                | CUSIP: 14316NAD1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    852000 | PA      | $780419.13    | 0.02%             | 2026-10-15      | Fixed         | 0.53%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                | Fannie Mae Pool                                               | CUSIP: 31418DHD7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   4138657 | PA      | $3890243.00   | 0.09%             | 2034-11-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                | Fannie Mae Pool                                               | CUSIP: 3140F5AD5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    251727 | PA      | $233506.15    | 0.01%             | 2046-11-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                               | Freddie Mac Gold Pool                                         | CUSIP: 3128MFKV9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    921567 | PA      | $870626.62    | 0.02%             | 2033-01-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                               | Freddie Mac Gold Pool                                         | CUSIP: 31335BPG5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   1208070 | PA      | $1137362.49   | 0.03%             | 2046-09-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                | Fannie Mae Pool                                               | CUSIP: 31418VWW8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      6934 | PA      | $7126.79      | 0.00%             | 2040-06-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                | Fannie Mae Pool                                               | CUSIP: 31418D3H3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   4730109 | PA      | $4155212.30   | 0.10%             | 2051-08-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                | Fannie Mae Pool                                               | CUSIP: 3140QGLT2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   9932211 | PA      | $8494085.88   | 0.20%             | 2051-01-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                               | Freddie Mac Pool                                              | CUSIP: 3133L8ZW8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   6881930 | PA      | $6431801.53   | 0.16%             | 2037-03-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                               | Freddie Mac Pool                                              | CUSIP: 3133ALJP4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   2670340 | PA      | $2263916.12   | 0.05%             | 2051-05-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| JPMBB Commercial Mortgage Securities Trust                | JPMBB Commercial Mortgage Securities Trust 2014-C22           | CUSIP: 46642NBD7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    225000 | PA      | $218663.66    | 0.01%             | 2047-09-15      | Fixed         | 3.80%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                  | Ginnie Mae II Pool                                            | CUSIP: 36179MNH9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    915591 | PA      | $887168.57    | 0.02%             | 2042-09-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                  | Ginnie Mae II Pool                                            | CUSIP: 36179UWA6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1227146 | PA      | $1229651.45   | 0.03%             | 2049-07-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                               | Freddie Mac Pool                                              | CUSIP: 3132A5GA7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   6525921 | PA      | $6044339.37   | 0.15%             | 2046-12-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                               | Freddie Mac Gold Pool                                         | CUSIP: 3132WNJK9<br>LEI: 254900HROIFWPRGM1V77 | Long             | ABS-MBS          | USGSE             | US        |      6156 | PA      | $6207.77      | 0.00%             | 2047-06-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                | Fannie Mae Pool                                               | CUSIP: 3138ER5K2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    885420 | PA      | $854068.16    | 0.02%             | 2046-01-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                  | Ginnie Mae II Pool                                            | CUSIP: 36179TSF3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    675573 | PA      | $627597.91    | 0.02%             | 2048-02-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                               | Freddie Mac Gold Pool                                         | CUSIP: 3132QQTX0<br>LEI: 254900HROIFWPRGM1V77 | Long             | ABS-MBS          | USGSE             | US        |     78454 | PA      | $77396.05     | 0.00%             | 2045-06-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                               | Freddie Mac Pool                                              | CUSIP: 3132DV5F8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    140896 | PA      | $136983.16    | 0.00%             | 2050-02-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                | Fannie Mae Pool                                               | CUSIP: 3138WF6U5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    678245 | PA      | $650267.79    | 0.02%             | 2045-12-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                | Fannie Mae Pool                                               | CUSIP: 3140J75K7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    129208 | PA      | $127368.69    | 0.00%             | 2047-06-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                | Fannie Mae Pool                                               | CUSIP: 3138WJRQ3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1747858 | PA      | $1660308.08   | 0.04%             | 2032-01-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                | Fannie Mae Pool                                               | CUSIP: 3138WGB86<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     60353 | PA      | $60795.19     | 0.00%             | 2045-12-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                | Fannie Mae Pool                                               | CUSIP: 3140J9A35<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   9145184 | PA      | $9061889.17   | 0.22%             | 2046-01-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                               | Freddie Mac Pool                                              | CUSIP: 3133KKLP2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   2336076 | PA      | $2061998.37   | 0.05%             | 2050-11-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                               | Freddie Mac Gold Pool                                         | CUSIP: 31335ALX4<br>LEI: 254900HROIFWPRGM1V77 | Long             | ABS-MBS          | USGSE             | US        |    552394 | PA      | $561957.89    | 0.01%             | 2042-05-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                | Fannie Mae Pool                                               | CUSIP: 31410LPE6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    311061 | PA      | $319690.25    | 0.01%             | 2042-05-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                | Fannie Mae Pool                                               | CUSIP: 3140J8PJ6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    268230 | PA      | $259622.01    | 0.01%             | 2048-05-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FHLMC Multifamily Structured Pass Through Certs.          | Freddie Mac Multifamily Structured Pass Through Certificates  | CUSIP: 3137FQ3A9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   8302000 | PA      | $7646558.76   | 0.18%             | 2029-09-25      | Fixed         | 2.67%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                  | Ginnie Mae II Pool                                            | CUSIP: 3622A26S6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   2148869 | PA      | $2058166.47   | 0.05%             | 2048-04-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                  | Ginnie Mae II Pool                                            | CUSIP: 36179WP85<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    825501 | PA      | $682648.95    | 0.02%             | 2051-10-20      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                               | Freddie Mac Pool                                              | CUSIP: 3132DWC27<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    924047 | PA      | $809906.06    | 0.02%             | 2052-01-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                | Fannie Mae Pool                                               | CUSIP: 3138W9SE1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    651795 | PA      | $612631.86    | 0.01%             | 2043-09-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                | Fannie Mae Pool                                               | CUSIP: 3138WF2G0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      8212 | PA      | $8086.34      | 0.00%             | 2030-11-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                  | Ginnie Mae II Pool                                            | CUSIP: 36179SJV0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    236128 | PA      | $242737.27    | 0.01%             | 2046-08-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                  | Ginnie Mae II Pool                                            | CUSIP: 36179VXX3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   7506986 | PA      | $6529873.74   | 0.16%             | 2050-11-20      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                               | Freddie Mac Gold Pool                                         | CUSIP: 3128MJ3J7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    486719 | PA      | $465419.89    | 0.01%             | 2048-02-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                               | Freddie Mac Gold Pool                                         | CUSIP: 3132HNRA9<br>LEI: 254900HROIFWPRGM1V77 | Long             | ABS-MBS          | USGSE             | US        |    134683 | PA      | $133173.01    | 0.00%             | 2042-10-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                  | Ginnie Mae II Pool                                            | CUSIP: 3617BKPT2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    237869 | PA      | $232013.68    | 0.01%             | 2048-04-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                               | Freddie Mac Gold Pool                                         | CUSIP: 3128MFKU1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    610279 | PA      | $576589.17    | 0.01%             | 2033-01-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                | Fannie Mae Pool                                               | CUSIP: 3140X8MH7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  28506193 | PA      | $25209772.27  | 0.61%             | 2050-11-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                | Fannie Mae Pool                                               | CUSIP: 3140GWFR9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     42013 | PA      | $40180.43     | 0.00%             | 2047-08-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                               | Freddie Mac Gold Pool                                         | CUSIP: 31283HZN8<br>LEI: 254900HROIFWPRGM1V77 | Long             | ABS-MBS          | USGSE             | US        |      9861 | PA      | $10144.49     | 0.00%             | 2034-02-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                               | Freddie Mac Gold Pool                                         | CUSIP: 3128MJYE4<br>LEI: 254900HROIFWPRGM1V77 | Long             | ABS-MBS          | USGSE             | US        |      8125 | PA      | $8192.94      | 0.00%             | 2046-05-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                  | Ginnie Mae II Pool                                            | CUSIP: 36179W5C8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   4912294 | PA      | $4512143.01   | 0.11%             | 2052-05-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                               | Freddie Mac Pool                                              | CUSIP: 3133KGGQ5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   2677675 | PA      | $2546292.30   | 0.06%             | 2049-07-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                | Fannie Mae Pool                                               | CUSIP: 3140J8RJ4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    758242 | PA      | $738424.54    | 0.02%             | 2032-06-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                               | Freddie Mac Pool                                              | CUSIP: 3132D6BH2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   4733543 | PA      | $4196740.21   | 0.10%             | 2037-02-01      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                | Fannie Mae Pool                                               | CUSIP: 3138YWNQ6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    135246 | PA      | $128652.28    | 0.00%             | 2030-08-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Toyota Auto Receivables Owner Trust                       | Toyota Auto Receivables 2021-B Owner Trust                    | CUSIP: 89190GAD9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   2073000 | PA      | $1906073.13   | 0.05%             | 2026-10-15      | Fixed         | 0.53%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                | Fannie Mae Pool                                               | CUSIP: 31402CVV1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     40921 | PA      | $42808.06     | 0.00%             | 2034-03-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                  | Ginnie Mae II Pool                                            | CUSIP: 36179WY93<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |  10585524 | PA      | $9436288.59   | 0.23%             | 2052-03-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FHLMC Multifamily Structured Pass Through Certs.          | Freddie Mac Multifamily Structured Pass Through Certificates  | CUSIP: 3137FEUA6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   7198330 | PA      | $7048873.47   | 0.17%             | 2025-01-25      | Variable      | 3.59%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                               | Freddie Mac Gold Pool                                         | CUSIP: 31335BPY6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    349086 | PA      | $323796.60    | 0.01%             | 2047-08-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                  | Ginnie Mae II Pool                                            | CUSIP: 36179TAL9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    138161 | PA      | $135996.88    | 0.00%             | 2047-06-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                | Fannie Mae Pool                                               | CUSIP: 3140J8TH6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   4382244 | PA      | $4162837.31   | 0.10%             | 2032-06-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                  | Ginnie Mae I Pool                                             | CUSIP: 3622A2NA6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    685630 | PA      | $710633.17    | 0.02%             | 2042-05-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| COMM Mortgage Trust                                       | COMM 2013-CCRE12 Mortgage Trust                               | CUSIP: 12591KAE5<br>LEI: 549300MGZ5FI5VFL1177 | Long             | ABS-MBS          | CORP              | US        |   1077000 | PA      | $1059246.30   | 0.03%             | 2046-10-10      | Fixed         | 4.05%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                  | Ginnie Mae II Pool                                            | CUSIP: 36179TQP3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    580125 | PA      | $556986.40    | 0.01%             | 2048-01-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                               | Freddie Mac Pool                                              | CUSIP: 3132DMRV9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   8815584 | PA      | $8193814.36   | 0.20%             | 2050-08-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                               | Freddie Mac Gold Pool                                         | CUSIP: 3128MJ4T4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    174930 | PA      | $178600.19    | 0.00%             | 2048-07-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                | Fannie Mae Pool                                               | CUSIP: 3140FXGM8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1023453 | PA      | $952929.82    | 0.02%             | 2047-02-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                | Fannie Mae Pool                                               | CUSIP: 3140GT5V8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     96516 | PA      | $95088.17     | 0.00%             | 2047-08-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                | Fannie Mae Pool                                               | CUSIP: 3140X4DF0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    378435 | PA      | $361824.50    | 0.01%             | 2048-11-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                               | Freddie Mac Gold Pool                                         | CUSIP: 3128MD3H4<br>LEI: 254900HROIFWPRGM1V77 | Long             | ABS-MBS          | USGSE             | US        |     33348 | PA      | $31923.74     | 0.00%             | 2028-07-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Honda Auto Receivables Owner Trust                        | Honda Auto Receivables 2020-2 Owner Trust                     | CUSIP: 43813DAD0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   4150000 | PA      | $4034064.36   | 0.10%             | 2026-10-15      | Fixed         | 1.09%                 | No            |                  2 | On Loan: No      |
| COMM Mortgage Trust                                       | COMM 2013-CCRE9 Mortgage Trust                                | CUSIP: 12625UBF9<br>LEI: 549300C72XVZH4MIKU63 | Long             | ABS-MBS          | CORP              | US        |   1626196 | PA      | $1622073.55   | 0.04%             | 2045-07-10      | Variable      | 4.27%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                               | Freddie Mac Gold Pool                                         | CUSIP: 3128M9R79<br>LEI: 254900HROIFWPRGM1V77 | Long             | ABS-MBS          | USGSE             | US        |     85216 | PA      | $82332.43     | 0.00%             | 2043-07-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                | Fannie Mae Pool                                               | CUSIP: 3140GSN73<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     52109 | PA      | $53083.78     | 0.00%             | 2047-09-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                | Fannie Mae Pool                                               | CUSIP: 31418CYZ1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    161466 | PA      | $161000.74    | 0.00%             | 2033-07-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                  | Ginnie Mae II Pool                                            | CUSIP: 36179UUL4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1385997 | PA      | $1385473.31   | 0.03%             | 2049-06-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                | Fannie Mae Pool                                               | CUSIP: 3140QGXX0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  12009651 | PA      | $10943346.48  | 0.26%             | 2036-02-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley Capital I Trust                            | Morgan Stanley Capital I Trust 2015-UBS8                      | CUSIP: 61691ABL6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    978000 | PA      | $942775.67    | 0.02%             | 2048-12-15      | Fixed         | 3.81%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                | Fannie Mae Pool                                               | CUSIP: 3140J8K93<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    878378 | PA      | $851081.42    | 0.02%             | 2033-02-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                               | Freddie Mac Gold Pool                                         | CUSIP: 3132KFWH1<br>LEI: 254900HROIFWPRGM1V77 | Long             | ABS-MBS          | USGSE             | US        |    690259 | PA      | $656362.62    | 0.02%             | 2032-02-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                  | Ginnie Mae II Pool                                            | CUSIP: 36179WFG8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |  57091121 | PA      | $51042656.86  | 1.23%             | 2051-05-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                | Fannie Mae Pool                                               | CUSIP: 3140Q7RS8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1025805 | PA      | $1034336.74   | 0.02%             | 2047-10-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                  | Ginnie Mae II Pool                                            | CUSIP: 36179WR34<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   8287439 | PA      | $7643284.93   | 0.18%             | 2051-11-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                | Fannie Mae Pool                                               | CUSIP: 3140QHP33<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   4047595 | PA      | $3789340.68   | 0.09%             | 2036-03-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                               | Freddie Mac Pool                                              | CUSIP: 3132DNSM6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |  14440013 | PA      | $13955332.61  | 0.34%             | 2052-08-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                               | Freddie Mac Pool                                              | CUSIP: 3133KL7K7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   7890240 | PA      | $6689274.50   | 0.16%             | 2051-07-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                | Fannie Mae Pool                                               | CUSIP: 3140E9J80<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     59661 | PA      | $57958.04     | 0.00%             | 2031-02-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                               | Freddie Mac Pool                                              | CUSIP: 3133A9HE8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   4929388 | PA      | $4166030.85   | 0.10%             | 2050-09-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                  | Ginnie Mae II Pool                                            | CUSIP: 36179W2T4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |  21359158 | PA      | $18455072.36  | 0.44%             | 2052-04-20      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                | Fannie Mae Pool                                               | CUSIP: 3140QLHK5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   2032243 | PA      | $1788954.10   | 0.04%             | 2051-07-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                | Fannie Mae Pool                                               | CUSIP: 3140MHSX8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  15801768 | PA      | $13852947.51  | 0.33%             | 2052-03-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                  | Ginnie Mae II Pool                                            | CUSIP: 36179RJD2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   2213049 | PA      | $2078810.86   | 0.05%             | 2045-07-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| BLACKROCK CASH FUNDS                                      | BlackRock Cash Funds: Treasury, SL Agency Shares              | CUSIP: 066922477<br>LEI: N/A                  | Long             | STIV             | RF                | US        | 660302005 | NS      | $660698186.54 | 15.92%            |  |  |  | No            |                  1 | On Loan: No      |
| Fannie Mae                                                | Fannie Mae Pool                                               | CUSIP: 3140X5DK6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    556111 | PA      | $534337.39    | 0.01%             | 2034-11-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                               | Freddie Mac Pool                                              | CUSIP: 3132D6BX7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |  13552779 | PA      | $12660406.70  | 0.31%             | 2037-05-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                | Fannie Mae Pool                                               | CUSIP: 3138WQAW2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1295800 | PA      | $1218669.11   | 0.03%             | 2043-05-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                  | Ginnie Mae I Pool                                             | CUSIP: 3622AADU5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    152242 | PA      | $149621.57    | 0.00%             | 2048-05-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                               | Freddie Mac Pool                                              | CUSIP: 3132AEPE0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   7966363 | PA      | $7784020.37   | 0.19%             | 2048-05-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| BENCHMARK Mortgage Trust                                  | Benchmark 2020-B21 Mortgage Trust                             | CUSIP: 08163LAG4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1990000 | PA      | $1636576.40   | 0.04%             | 2053-12-17      | Fixed         | 1.98%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                               | Freddie Mac Gold Pool                                         | CUSIP: 3128MJ4J6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   1523914 | PA      | $1495819.65   | 0.04%             | 2048-07-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Barclays Commercial Mortgage Securities LLC               | BBCMS MORTGAGE TRUST 2017-C1                                  | CUSIP: 07332VBD6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1908000 | PA      | $1820244.78   | 0.04%             | 2050-02-15      | Fixed         | 3.67%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                | Fannie Mae Pool                                               | CUSIP: 3140QNQM7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  19789985 | PA      | $17355764.53  | 0.42%             | 2052-03-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                | Fannie Mae Pool                                               | CUSIP: 3140J5EJ4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1435234 | PA      | $1363405.60   | 0.03%             | 2032-02-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                               | Freddie Mac Gold Pool                                         | CUSIP: 3128MJY61<br>LEI: 254900HROIFWPRGM1V77 | Long             | ABS-MBS          | USGSE             | US        |    110040 | PA      | $101816.29    | 0.00%             | 2046-11-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                | Fannie Mae Pool                                               | CUSIP: 3138YUHZ7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     99885 | PA      | $98438.12     | 0.00%             | 2045-09-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                | Fannie Mae Pool                                               | CUSIP: 31418CEC4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    563100 | PA      | $534919.78    | 0.01%             | 2031-12-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                | Fannie Mae Pool                                               | CUSIP: 3140QBBH0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    769025 | PA      | $753362.87    | 0.02%             | 2049-06-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                  | Ginnie Mae II Pool                                            | CUSIP: 36179Q6N6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1524882 | PA      | $1434748.47   | 0.03%             | 2045-03-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| GS Mortgage Securities Trust                              | GS Mortgage Securities Trust 2015-GS1                         | CUSIP: 36252AAC0<br>LEI: 549300WZ62L3Y22NOZ64 | Long             | ABS-MBS          | CORP              | US        |   1908000 | PA      | $1834135.79   | 0.04%             | 2048-11-10      | Fixed         | 3.73%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                | Fannie Mae Pool                                               | CUSIP: 31417FBL1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    176178 | PA      | $181314.02    | 0.00%             | 2037-10-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                | Fannie Mae Pool                                               | CUSIP: 3140QMPG3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1367245 | PA      | $1211800.68   | 0.03%             | 2036-11-01      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                | Fannie Mae Pool                                               | CUSIP: 3140X9SX4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  22450947 | PA      | $17981072.03  | 0.43%             | 2051-02-01      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                | Fannie Mae Pool                                               | CUSIP: 31418D2L5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  15584518 | PA      | $13146595.06  | 0.32%             | 2051-07-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                | Fannie Mae Pool                                               | CUSIP: 3138A7G28<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     11021 | PA      | $10782.26     | 0.00%             | 2026-02-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                               | Freddie Mac Pool                                              | CUSIP: 31329PNA7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1135731 | PA      | $1143450.22   | 0.03%             | 2048-10-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                               | Freddie Mac Gold Pool                                         | CUSIP: 3128M9SS2<br>LEI: 254900HROIFWPRGM1V77 | Long             | ABS-MBS          | USGSE             | US        |    116231 | PA      | $112237.73    | 0.00%             | 2043-06-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                | Fannie Mae Pool                                               | CUSIP: 3140Q9EZ2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    215725 | PA      | $211531.28    | 0.01%             | 2048-07-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                  | Ginnie Mae II Pool                                            | CUSIP: 36179TCX1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   4324277 | PA      | $4147808.90   | 0.10%             | 2047-07-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                               | Freddie Mac Gold Pool                                         | CUSIP: 31283HAN5<br>LEI: 254900HROIFWPRGM1V77 | Long             | ABS-MBS          | USGSE             | US        |      6527 | PA      | $6528.95      | 0.00%             | 2024-12-01      | Fixed         | 8.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                | Fannie Mae Pool                                               | CUSIP: 31418AVV7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    386493 | PA      | $372270.51    | 0.01%             | 2033-08-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                  | Ginnie Mae                                                    | CUSIP: 21H050623<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |  19500000 | PA      | $19632538.97  | 0.47%             | 2053-02-21      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                | Fannie Mae Pool                                               | CUSIP: 3138XYCD4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    239773 | PA      | $231428.23    | 0.01%             | 2042-02-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                | Fannie Mae Pool                                               | CUSIP: 31418CAF1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1041839 | PA      | $967286.44    | 0.02%             | 2046-08-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| COMM Mortgage Trust                                       | COMM 2014-CCRE20 Mortgage Trust                               | CUSIP: 12592LBH4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   3429053 | PA      | $3288853.67   | 0.08%             | 2047-11-10      | Fixed         | 3.33%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                | Fannie Mae Pool                                               | CUSIP: 3140X8RR0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   5944647 | PA      | $5083946.65   | 0.12%             | 2050-12-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                  | Ginnie Mae II Pool                                            | CUSIP: 3617QG2H6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    674962 | PA      | $581627.18    | 0.01%             | 2050-09-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                | Fannie Mae Pool                                               | CUSIP: 3140FE4G6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    294919 | PA      | $289855.72    | 0.01%             | 2047-04-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                | Fannie Mae Pool                                               | CUSIP: 31417GNU6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     52114 | PA      | $50196.40     | 0.00%             | 2033-05-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                               | Freddie Mac Gold Pool                                         | CUSIP: 31335CBP8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      4786 | PA      | $4697.96      | 0.00%             | 2049-01-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                  | Ginnie Mae II Pool                                            | CUSIP: 36179TV85<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    780252 | PA      | $797582.47    | 0.02%             | 2048-04-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                  | Ginnie Mae II Pool                                            | CUSIP: 36179SGK7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1911783 | PA      | $1787214.97   | 0.04%             | 2046-07-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                | Fannie Mae Pool                                               | CUSIP: 3140X7VT3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  28910614 | PA      | $25567449.61  | 0.62%             | 2050-09-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                | Fannie Mae Pool                                               | CUSIP: 3138EPWM2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    190964 | PA      | $184258.71    | 0.00%             | 2043-10-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                               | Freddie Mac Pool                                              | CUSIP: 3133APVV8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   4740116 | PA      | $4011131.10   | 0.10%             | 2051-08-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                | Fannie Mae Pool                                               | CUSIP: 3140EY4Q1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    105137 | PA      | $102128.61    | 0.00%             | 2031-04-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                               | Freddie Mac Gold Pool                                         | CUSIP: 3132WFEH8<br>LEI: 254900HROIFWPRGM1V77 | Long             | ABS-MBS          | USGSE             | US        |     93251 | PA      | $89253.93     | 0.00%             | 2046-07-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                | Fannie Mae Pool                                               | CUSIP: 3140J9SN2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   2647469 | PA      | $2440776.23   | 0.06%             | 2048-11-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                | Fannie Mae Pool                                               | CUSIP: 3140J9FE6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    309778 | PA      | $313158.15    | 0.01%             | 2048-10-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                | Fannie Mae Pool                                               | CUSIP: 3140E7KF6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     52168 | PA      | $50804.22     | 0.00%             | 2030-11-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                | Fannie Mae Pool                                               | CUSIP: 3140FXF23<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1241039 | PA      | $1223044.18   | 0.03%             | 2057-02-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                               | Freddie Mac Gold Pool                                         | CUSIP: 3132HNH44<br>LEI: 254900HROIFWPRGM1V77 | Long             | ABS-MBS          | USGSE             | US        |     22589 | PA      | $21825.30     | 0.00%             | 2042-10-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                  | Ginnie Mae II Pool                                            | CUSIP: 36179WVT2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |  18349409 | PA      | $15864984.23  | 0.38%             | 2052-01-20      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                | Fannie Mae Pool                                               | CUSIP: 3140QKEX2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    338248 | PA      | $285397.34    | 0.01%             | 2051-04-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Hyundai Auto Receivables Trust                            | Hyundai Auto Receivables Trust 2022-B                         | CUSIP: 44918MAE0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    450000 | PA      | $441274.55    | 0.01%             | 2028-08-15      | Fixed         | 3.80%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                               | Freddie Mac Pool                                              | CUSIP: 3132CWMP6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   3875370 | PA      | $3787743.06   | 0.09%             | 2034-02-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                | Fannie Mae Pool                                               | CUSIP: 3138WFAN6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     42949 | PA      | $40856.95     | 0.00%             | 2030-07-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                | Fannie Mae Pool                                               | CUSIP: 3140L6P99<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    887554 | PA      | $748868.93    | 0.02%             | 2051-04-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                | Fannie Mae Pool                                               | CUSIP: 3138MAJZ2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     84904 | PA      | $81950.82     | 0.00%             | 2042-09-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                  | Ginnie Mae II Pool                                            | CUSIP: 36179TZ65<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1267238 | PA      | $1274512.72   | 0.03%             | 2048-06-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| JPMBB Commercial Mortgage Securities Trust                | JPMBB Commercial Mortgage Securities Trust 2014-C18           | CUSIP: 46641JAW6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    163000 | PA      | $159840.82    | 0.00%             | 2047-02-15      | Fixed         | 4.08%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                | Fannie Mae Pool                                               | CUSIP: 3140Q7XJ1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    628419 | PA      | $605253.62    | 0.01%             | 2047-11-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                  | Ginnie Mae II Pool                                            | CUSIP: 36179RNX3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    318853 | PA      | $314922.90    | 0.01%             | 2045-09-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                | Fannie Mae Pool                                               | CUSIP: 3138WD4C2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    226596 | PA      | $225458.17    | 0.01%             | 2045-02-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                  | Ginnie Mae II Pool                                            | CUSIP: 36179UGE6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    488453 | PA      | $499100.07    | 0.01%             | 2048-11-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                  | Ginnie Mae II Pool                                            | CUSIP: 36181GDE6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    179913 | PA      | $172603.70    | 0.00%             | 2043-06-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                | Fannie Mae Pool                                               | CUSIP: 3138WJM96<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1224910 | PA      | $1139414.29   | 0.03%             | 2046-12-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                               | Freddie Mac Gold Pool                                         | CUSIP: 3132WNK43<br>LEI: 254900HROIFWPRGM1V77 | Long             | ABS-MBS          | USGSE             | US        |     59559 | PA      | $59452.21     | 0.00%             | 2047-06-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                | Fannie Mae Pool                                               | CUSIP: 3140Q7NJ2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    466597 | PA      | $457261.21    | 0.01%             | 2047-09-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                               | Freddie Mac Pool                                              | CUSIP: 3132DWCT8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |  15293867 | PA      | $12885438.11  | 0.31%             | 2051-12-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                | Fannie Mae Pool                                               | CUSIP: 3140XB3R9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   3094914 | PA      | $2718723.89   | 0.07%             | 2051-07-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                               | Freddie Mac Pool                                              | CUSIP: 3132CWM84<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   4651195 | PA      | $4418533.05   | 0.11%             | 2032-04-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fanniemae-Aces                                            | Fannie Mae-Aces                                               | CUSIP: 3136BCFX3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   4549000 | PA      | $3780331.36   | 0.09%             | 2030-05-25      | Fixed         | 1.32%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                               | Freddie Mac Pool                                              | CUSIP: 3133GGX57<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1840612 | PA      | $1631288.86   | 0.04%             | 2037-03-01      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                  | Ginnie Mae I Pool                                             | CUSIP: 36180MXS1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    125211 | PA      | $120756.30    | 0.00%             | 2043-03-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                | Fannie Mae Pool                                               | CUSIP: 3138WUT52<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     42543 | PA      | $39885.42     | 0.00%             | 2043-07-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                  | Ginnie Mae II Pool                                            | CUSIP: 36179XFE1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   3754936 | PA      | $3453692.98   | 0.08%             | 2052-09-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                | Fannie Mae Pool                                               | CUSIP: 3138WESA8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    426076 | PA      | $423912.76    | 0.01%             | 2045-05-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                               | Freddie Mac Pool                                              | CUSIP: 3132DWBN2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |  19214112 | PA      | $15378001.52  | 0.37%             | 2051-05-01      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                | Fannie Mae Pool                                               | CUSIP: 3138MBKB1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    177291 | PA      | $175051.59    | 0.00%             | 2042-09-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                | Fannie Mae Pool                                               | CUSIP: 3138EGZ31<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     59997 | PA      | $61661.87     | 0.00%             | 2041-09-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                               | Freddie Mac Pool                                              | CUSIP: 3132DMB53<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1561181 | PA      | $1492748.41   | 0.04%             | 2049-02-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                  | Ginnie Mae II Pool                                            | CUSIP: 36179WTY4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |  13978034 | PA      | $12469494.39  | 0.30%             | 2051-12-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                | Fannie Mae Pool                                               | CUSIP: 3138ETY75<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   2612471 | PA      | $2599354.97   | 0.06%             | 2046-06-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                               | Freddie Mac Gold Pool                                         | CUSIP: 3128MJ5D8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     53124 | PA      | $53530.20     | 0.00%             | 2048-10-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                               | Freddie Mac Gold Pool                                         | CUSIP: 31335BRK4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   2422412 | PA      | $2245175.27   | 0.05%             | 2047-06-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                | Fannie Mae Pool                                               | CUSIP: 3138EGKE3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    106141 | PA      | $109085.18    | 0.00%             | 2041-05-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                               | Freddie Mac Gold Pool                                         | CUSIP: 31335AY69<br>LEI: 254900HROIFWPRGM1V77 | Long             | ABS-MBS          | USGSE             | US        |    192371 | PA      | $193981.66    | 0.00%             | 2046-09-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                  | Ginnie Mae I Pool                                             | CUSIP: 36225ARB8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      1859 | PA      | $1856.96      | 0.00%             | 2023-12-15      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                | Fannie Mae Pool                                               | CUSIP: 3138WHTS1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    361228 | PA      | $355846.19    | 0.01%             | 2046-08-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                | Fannie Mae Pool                                               | CUSIP: 3140X6F63<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1002232 | PA      | $954278.71    | 0.02%             | 2049-01-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                | Fannie Mae Pool                                               | CUSIP: 3138WKQR9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    835042 | PA      | $800494.60    | 0.02%             | 2047-04-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                | Fannie Mae Pool                                               | CUSIP: 3140JLMJ0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    883502 | PA      | $887487.10    | 0.02%             | 2049-01-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                | Fannie Mae Pool                                               | CUSIP: 3138WHKC5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    281283 | PA      | $268910.60    | 0.01%             | 2046-07-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                | Fannie Mae Pool                                               | CUSIP: 3140XCB64<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   6855974 | PA      | $6117780.64   | 0.15%             | 2051-07-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                  | Ginnie Mae II Pool                                            | CUSIP: 3622A24E9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1162481 | PA      | $1089319.23   | 0.03%             | 2047-12-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                  | Ginnie Mae II Pool                                            | CUSIP: 36179TV69<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    468877 | PA      | $461399.65    | 0.01%             | 2048-04-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                | Fannie Mae Pool                                               | CUSIP: 3138WGVM3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    128962 | PA      | $126996.03    | 0.00%             | 2031-03-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                  | Ginnie Mae II Pool                                            | CUSIP: 36179RJE0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   3036281 | PA      | $2909838.54   | 0.07%             | 2045-07-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                | Fannie Mae Pool                                               | CUSIP: 3140XD3Q7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  10251575 | PA      | $8989842.66   | 0.22%             | 2051-12-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                | Fannie Mae Pool                                               | CUSIP: 31418CXC3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     94659 | PA      | $96529.79     | 0.00%             | 2048-05-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FHLMC Multifamily Structured Pass Through Certs.          | Freddie Mac Multifamily Structured Pass Through Certificates  | CUSIP: 3137FARE0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   3577900 | PA      | $3483192.75   | 0.08%             | 2024-07-25      | Fixed         | 2.95%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                               | Freddie Mac Gold Pool                                         | CUSIP: 3128MAET2<br>LEI: 254900HROIFWPRGM1V77 | Long             | ABS-MBS          | USGSE             | US        |    165752 | PA      | $163517.34    | 0.00%             | 2044-07-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                  | Ginnie Mae II Pool                                            | CUSIP: 36179W5B0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   4058745 | PA      | $3617191.13   | 0.09%             | 2052-05-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                               | Freddie Mac Gold Pool                                         | CUSIP: 3132J65B6<br>LEI: 254900HROIFWPRGM1V77 | Long             | ABS-MBS          | USGSE             | US        |    187927 | PA      | $176924.13    | 0.00%             | 2043-02-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                | Fannie Mae Pool                                               | CUSIP: 31418UCL6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     12164 | PA      | $12473.19     | 0.00%             | 2040-05-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                | Fannie Mae Pool                                               | CUSIP: 3138WJSA7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     50966 | PA      | $49635.89     | 0.00%             | 2031-10-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Citigroup Commercial Mortgage Trust                       | Citigroup Commercial Mortgage Trust 2017-P7                   | CUSIP: 17325HBP8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1866000 | PA      | $1777299.50   | 0.04%             | 2050-04-14      | Fixed         | 3.71%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                               | Freddie Mac Gold Pool                                         | CUSIP: 3132LAV82<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    350547 | PA      | $353223.35    | 0.01%             | 2049-01-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| JP Morgan Chase Commercial Mortgage Sec Trust             | JP Morgan Chase Commercial Mortgage Securities Trust 2014-C20 | CUSIP: 46642CBJ8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1160000 | PA      | $1130998.96   | 0.03%             | 2047-07-15      | Fixed         | 3.80%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                | Fannie Mae Pool                                               | CUSIP: 3138WHNK4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    155064 | PA      | $148250.47    | 0.00%             | 2046-07-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                | Fannie Mae Pool                                               | CUSIP: 3140QK4D7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   7356486 | PA      | $6225141.37   | 0.15%             | 2051-06-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                | Fannie Mae Pool                                               | CUSIP: 31418ECV0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1694737 | PA      | $1582022.35   | 0.04%             | 2037-04-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                | Fannie Mae Pool                                               | CUSIP: 3140F4L95<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     49810 | PA      | $47621.74     | 0.00%             | 2046-06-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                | Fannie Mae Pool                                               | CUSIP: 3140HLJX5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     51257 | PA      | $51245.93     | 0.00%             | 2048-07-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                               | Freddie Mac Gold Pool                                         | CUSIP: 31335BNP7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    182578 | PA      | $180003.29    | 0.00%             | 2048-02-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                | Fannie Mae Pool                                               | CUSIP: 3140J8GK3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1655334 | PA      | $1533892.17   | 0.04%             | 2047-07-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                | Fannie Mae Pool                                               | CUSIP: 3138ER5V8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   3277057 | PA      | $3043561.30   | 0.07%             | 2047-03-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                  | Ginnie Mae II Pool                                            | CUSIP: 36179TJZ9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     55253 | PA      | $55661.23     | 0.00%             | 2047-10-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                | Fannie Mae Pool                                               | CUSIP: 3140XDDB9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   3380122 | PA      | $2849526.55   | 0.07%             | 2051-11-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                | Fannie Mae Pool                                               | CUSIP: 3138WG6H2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     73383 | PA      | $70150.90     | 0.00%             | 2046-05-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                | Fannie Mae Pool                                               | CUSIP: 3140HAFK1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    353479 | PA      | $356417.14    | 0.01%             | 2048-02-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| American Express Credit Account Master Trust              | American Express Credit Account Master Trust                  | CUSIP: 02582JJT8<br>LEI: 549300Y4SA5G3GIJTP18 | Long             | ABS-O            | CORP              | US        |   8302000 | PA      | $8110393.16   | 0.20%             | 2027-05-15      | Fixed         | 3.39%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                  | Ginnie Mae I Pool                                             | CUSIP: 3620ADSK9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     64296 | PA      | $66663.00     | 0.00%             | 2039-11-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                | Fannie Mae Pool                                               | CUSIP: 3140QQLM5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   4956899 | PA      | $4903730.90   | 0.12%             | 2052-10-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                | Fannie Mae Pool                                               | CUSIP: 3138WKXZ3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    259396 | PA      | $254802.84    | 0.01%             | 2032-05-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                | Fannie Mae Pool                                               | CUSIP: 3140XH7C5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   7241007 | PA      | $6997232.34   | 0.17%             | 2052-08-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                | Fannie Mae Pool                                               | CUSIP: 3140F1T28<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    159220 | PA      | $151447.70    | 0.00%             | 2031-04-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                               | Freddie Mac Gold Pool                                         | CUSIP: 3128PYA46<br>LEI: 254900HROIFWPRGM1V77 | Long             | ABS-MBS          | USGSE             | US        |      7880 | PA      | $7641.78      | 0.00%             | 2027-03-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                | Fannie Mae Pool                                               | CUSIP: 3140L23B7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1566256 | PA      | $1322389.63   | 0.03%             | 2051-03-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                               | Freddie Mac Pool                                              | CUSIP: 3132D6AM2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   5215695 | PA      | $4883009.91   | 0.12%             | 2036-07-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                | Fannie Mae Pool                                               | CUSIP: 3140QAJQ4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    521125 | PA      | $531262.71    | 0.01%             | 2049-01-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                | Fannie Mae Pool                                               | CUSIP: 31418DV66<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1987731 | PA      | $1591702.83   | 0.04%             | 2051-01-01      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                | Fannie Mae Pool                                               | CUSIP: 3138WHF56<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    236094 | PA      | $225720.48    | 0.01%             | 2046-06-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                               | Freddie Mac Pool                                              | CUSIP: 3133KNWU3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1707373 | PA      | $1496282.04   | 0.04%             | 2052-03-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                | Fannie Mae Pool                                               | CUSIP: 31418EDH0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    452453 | PA      | $422437.75    | 0.01%             | 2037-05-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                               | Freddie Mac Gold Pool                                         | CUSIP: 31335CAQ7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    221705 | PA      | $218716.18    | 0.01%             | 2046-10-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                               | Freddie Mac Gold Pool                                         | CUSIP: 3128MJYT1<br>LEI: 254900HROIFWPRGM1V77 | Long             | ABS-MBS          | USGSE             | US        |    645663 | PA      | $599574.34    | 0.01%             | 2046-09-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                | Fannie Mae Pool                                               | CUSIP: 3138WRWL0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     58762 | PA      | $59420.76     | 0.00%             | 2043-06-01      | Floating      | 3.38%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                               | Freddie Mac Gold Pool                                         | CUSIP: 3132XCSA4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    328386 | PA      | $324563.50    | 0.01%             | 2048-06-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                  | Ginnie Mae I Pool                                             | CUSIP: 3622AAEU4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    326173 | PA      | $321462.72    | 0.01%             | 2048-05-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                               | Freddie Mac Gold Pool                                         | CUSIP: 3132L7LF4<br>LEI: 254900HROIFWPRGM1V77 | Long             | ABS-MBS          | USGSE             | US        |    695162 | PA      | $666793.57    | 0.02%             | 2045-12-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                | Fannie Mae Pool                                               | CUSIP: 3138WKQV0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    508564 | PA      | $501039.22    | 0.01%             | 2047-04-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                | Fannie Mae Pool                                               | CUSIP: 31410LUK6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    480690 | PA      | $472181.34    | 0.01%             | 2032-06-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                               | Freddie Mac Pool                                              | CUSIP: 3133KLHN0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |  12111397 | PA      | $10229952.67  | 0.25%             | 2051-03-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                               | Freddie Mac Gold Pool                                         | CUSIP: 3128MMU76<br>LEI: 254900HROIFWPRGM1V77 | Long             | ABS-MBS          | USGSE             | US        |    126908 | PA      | $123710.08    | 0.00%             | 2031-06-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                               | Freddie Mac Gold Pool                                         | CUSIP: 3128MJ3X6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    188485 | PA      | $180089.61    | 0.00%             | 2048-05-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                               | Freddie Mac Pool                                              | CUSIP: 3133KPNP9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1385669 | PA      | $1167231.16   | 0.03%             | 2052-04-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                               | Freddie Mac Pool                                              | CUSIP: 3132DVLS2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   7883559 | PA      | $6658903.80   | 0.16%             | 2051-03-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                | Fannie Mae Pool                                               | CUSIP: 3140QFFK0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   5616629 | PA      | $4962027.42   | 0.12%             | 2050-10-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                | Fannie Mae Pool                                               | CUSIP: 3140QNSZ6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   8865573 | PA      | $8080319.70   | 0.19%             | 2052-04-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                | Fannie Mae Pool                                               | CUSIP: 3138EGKL7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     39303 | PA      | $39028.34     | 0.00%             | 2026-05-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                | Fannie Mae Pool                                               | CUSIP: 3140QPH34<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  13927908 | PA      | $13065416.06  | 0.31%             | 2052-06-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                               | Freddie Mac Pool                                              | CUSIP: 3133L8UY9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   2481576 | PA      | $2261075.23   | 0.05%             | 2037-01-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                               | Freddie Mac Pool                                              | CUSIP: 3133KQKT2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   3000000 | PA      | $3012912.57   | 0.07%             | 2053-01-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                               | Freddie Mac Gold Pool                                         | CUSIP: 3132WFDH9<br>LEI: 254900HROIFWPRGM1V77 | Long             | ABS-MBS          | USGSE             | US        |    243616 | PA      | $233173.48    | 0.01%             | 2046-07-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                | Fannie Mae Pool                                               | CUSIP: 3140FQS40<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    118120 | PA      | $118452.22    | 0.00%             | 2046-11-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FHLMC Multifamily Structured Pass Through Certs.          | Freddie Mac Multifamily Structured Pass Through Certificates  | CUSIP: 3137H7ZB2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   2000000 | PA      | $1826374.00   | 0.04%             | 2032-06-25      | Fixed         | 2.92%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                               | Freddie Mac Pool                                              | CUSIP: 3133KQKY1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   6250000 | PA      | $6486411.25   | 0.16%             | 2053-01-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                | Fannie Mae Pool                                               | CUSIP: 3140XB4Y3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  19817596 | PA      | $18055566.35  | 0.44%             | 2051-07-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                               | Freddie Mac Gold Pool                                         | CUSIP: 3128PYU36<br>LEI: 254900HROIFWPRGM1V77 | Long             | ABS-MBS          | USGSE             | US        |      6955 | PA      | $6750.71      | 0.00%             | 2027-03-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                | Fannie Mae Pool                                               | CUSIP: 3138WGFQ2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    327945 | PA      | $315288.08    | 0.01%             | 2046-01-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                | Fannie Mae Pool                                               | CUSIP: 3138ERZE3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    431572 | PA      | $418166.10    | 0.01%             | 2032-02-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                               | Freddie Mac Pool                                              | CUSIP: 31329QHM6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    509318 | PA      | $498104.44    | 0.01%             | 2049-03-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                               | Freddie Mac Gold Pool                                         | CUSIP: 3128MFF29<br>LEI: 254900HROIFWPRGM1V77 | Long             | ABS-MBS          | USGSE             | US        |    167681 | PA      | $164882.15    | 0.00%             | 2032-05-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                  | Ginnie Mae II Pool                                            | CUSIP: 36179WLQ9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   2299826 | PA      | $2123410.18   | 0.05%             | 2051-08-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                               | Freddie Mac Gold Pool                                         | CUSIP: 3128MMS20<br>LEI: 254900HROIFWPRGM1V77 | Long             | ABS-MBS          | USGSE             | US        |    581424 | PA      | $551508.60    | 0.01%             | 2030-01-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                               | Freddie Mac Pool                                              | CUSIP: 3133KLHC4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1605931 | PA      | $1355861.89   | 0.03%             | 2051-03-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                | Fannie Mae Pool                                               | CUSIP: 3140J7XH3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    982855 | PA      | $912523.87    | 0.02%             | 2047-12-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                | Fannie Mae Pool                                               | CUSIP: 31418CXA7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    397842 | PA      | $398889.30    | 0.01%             | 2033-05-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                | Fannie Mae Pool                                               | CUSIP: 3140QKXN3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   9889622 | PA      | $8368727.00   | 0.20%             | 2051-06-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                | Fannie Mae Pool                                               | CUSIP: 3140XCGN2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   2572411 | PA      | $2519041.88   | 0.06%             | 2049-07-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                               | Freddie Mac Gold Pool                                         | CUSIP: 3128LXAV2<br>LEI: 254900HROIFWPRGM1V77 | Long             | ABS-MBS          | USGSE             | US        |     37122 | PA      | $38902.51     | 0.00%             | 2035-06-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                | Fannie Mae Pool                                               | CUSIP: 3138YY3V3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     70028 | PA      | $69013.61     | 0.00%             | 2045-07-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                               | Freddie Mac Pool                                              | CUSIP: 3133KM4T9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   3040305 | PA      | $2561525.51   | 0.06%             | 2051-11-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                | Fannie Mae Pool                                               | CUSIP: 3140QREH2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  10065125 | PA      | $10123975.55  | 0.24%             | 2053-01-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                | Fannie Mae Pool                                               | CUSIP: 3140JGLW3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    416431 | PA      | $417135.39    | 0.01%             | 2048-12-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                | Fannie Mae Pool                                               | CUSIP: 3140XHLX3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  17892975 | PA      | $16793686.83  | 0.40%             | 2052-06-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                  | Ginnie Mae II Pool                                            | CUSIP: 36179UUM2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    932991 | PA      | $950268.58    | 0.02%             | 2049-06-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                               | Freddie Mac Pool                                              | CUSIP: 3132CWG32<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    692795 | PA      | $671258.88    | 0.02%             | 2033-10-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                | Fannie Mae Pool                                               | CUSIP: 3138ERTM2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    359448 | PA      | $355133.63    | 0.01%             | 2045-02-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                | Fannie Mae Pool                                               | CUSIP: 3138WGYY4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     60915 | PA      | $60020.34     | 0.00%             | 2046-04-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                | Fannie Mae Pool                                               | CUSIP: 3140MHT41<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  32005917 | PA      | $28058977.81  | 0.68%             | 2052-03-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                | Fannie Mae Pool                                               | CUSIP: 3140Q8DV4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1017375 | PA      | $1000728.78   | 0.02%             | 2048-01-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                | Fannie Mae Pool                                               | CUSIP: 3140QAXR6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1985722 | PA      | $1963351.76   | 0.05%             | 2049-04-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| GS Mortgage Securities Trust                              | GS Mortgage Securities Trust 2015-GC30                        | CUSIP: 36250GAP0<br>LEI: 549300L45M7638EL0H21 | Long             | ABS-MBS          | CORP              | US        |    496000 | PA      | $476004.70    | 0.01%             | 2050-05-10      | Fixed         | 3.38%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                  | Ginnie Mae II Pool                                            | CUSIP: 36179SLR6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   2476034 | PA      | $2312349.89   | 0.06%             | 2046-09-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                | Fannie Mae Pool                                               | CUSIP: 3140XFE56<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   2470750 | PA      | $2251304.69   | 0.05%             | 2036-12-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                | Fannie Mae Pool                                               | CUSIP: 3140H6BQ1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   3834202 | PA      | $3654835.94   | 0.09%             | 2048-01-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                | Fannie Mae Pool                                               | CUSIP: 3140FBLD0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     53448 | PA      | $52629.76     | 0.00%             | 2046-08-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                | Fannie Mae Pool                                               | CUSIP: 3138WHUV2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    137990 | PA      | $135791.58    | 0.00%             | 2046-08-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                | Fannie Mae Pool                                               | CUSIP: 3140J8D26<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   2222244 | PA      | $2164289.51   | 0.05%             | 2030-12-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                  | Ginnie Mae I Pool                                             | CUSIP: 36241KC22<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     13062 | PA      | $13850.25     | 0.00%             | 2035-03-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| UMBS, TBA                                                 | Uniform Mortgage-Backed Security, TBA                         | CUSIP: 01F022626<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |  49525000 | PA      | $43359030.03  | 1.04%             | 2053-02-15      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                               | Freddie Mac Pool                                              | CUSIP: 3133B5NU2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1815639 | PA      | $1528857.45   | 0.04%             | 2052-03-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                               | Freddie Mac Gold Pool                                         | CUSIP: 3128MJ4R8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    370733 | PA      | $363897.94    | 0.01%             | 2048-08-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                | Fannie Mae Pool                                               | CUSIP: 31418CND2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    446050 | PA      | $426923.51    | 0.01%             | 2047-08-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fanniemae-Aces                                            | Fannie Mae-Aces                                               | CUSIP: 3136B26W7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   2489000 | PA      | $2436375.57   | 0.06%             | 2030-08-25      | Variable      | 3.63%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                | Fannie Mae Pool                                               | CUSIP: 3140E2FS5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     49340 | PA      | $49034.42     | 0.00%             | 2045-09-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                               | Freddie Mac Pool                                              | CUSIP: 3132D6AU4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |  12925593 | PA      | $11777555.37  | 0.28%             | 2036-09-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                | Fannie Mae Pool                                               | CUSIP: 3138ERBM1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  10073231 | PA      | $9652694.51   | 0.23%             | 2046-09-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                               | Freddie Mac Gold Pool                                         | CUSIP: 3132XCR98<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    500281 | PA      | $497931.76    | 0.01%             | 2048-06-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                | Fannie Mae Pool                                               | CUSIP: 3140XDLB0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   5248682 | PA      | $4782540.49   | 0.12%             | 2036-11-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                               | Freddie Mac Gold Pool                                         | CUSIP: 3132J7YM8<br>LEI: 254900HROIFWPRGM1V77 | Long             | ABS-MBS          | USGSE             | US        |    773325 | PA      | $728048.12    | 0.02%             | 2043-03-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                               | Freddie Mac Gold Pool                                         | CUSIP: 3132L9KW4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    572703 | PA      | $563964.68    | 0.01%             | 2048-01-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                               | Freddie Mac Pool                                              | CUSIP: 3133KJLB6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   2443071 | PA      | $2158211.72   | 0.05%             | 2050-06-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                  | Ginnie Mae I Pool                                             | CUSIP: 3622AAQ23<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    408111 | PA      | $402196.11    | 0.01%             | 2049-09-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                | Fannie Mae Pool                                               | CUSIP: 3138LVEV1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     78012 | PA      | $75295.56     | 0.00%             | 2042-06-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                               | Freddie Mac Gold Pool                                         | CUSIP: 3128MJW71<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    838428 | PA      | $827120.81    | 0.02%             | 2045-09-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FHLMC Multifamily Structured Pass Through Certs.          | Freddie Mac Multifamily Structured Pass Through Certificates  | CUSIP: 3137FAWR5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   2378482 | PA      | $2301422.16   | 0.06%             | 2027-03-25      | Fixed         | 2.90%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                               | Freddie Mac Pool                                              | CUSIP: 3133KLG35<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   5868155 | PA      | $4954463.95   | 0.12%             | 2051-03-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                               | Freddie Mac Pool                                              | CUSIP: 3133KMBD6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   8054679 | PA      | $6793115.46   | 0.16%             | 2051-06-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                | Fannie Mae Pool                                               | CUSIP: 3138WGHR8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    299134 | PA      | $287593.23    | 0.01%             | 2046-01-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                | Fannie Mae Pool                                               | CUSIP: 31418EBD1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  18245612 | PA      | $16171063.31  | 0.39%             | 2037-02-01      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                  | Ginnie Mae II Pool                                            | CUSIP: 36179VSJ0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   4167933 | PA      | $3976760.58   | 0.10%             | 2050-08-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                               | Freddie Mac Gold Pool                                         | CUSIP: 3132QWMN6<br>LEI: 254900HROIFWPRGM1V77 | Long             | ABS-MBS          | USGSE             | US        |    522814 | PA      | $500809.66    | 0.01%             | 2046-03-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                               | Freddie Mac Pool                                              | CUSIP: 31334YPW1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   5202641 | PA      | $4841968.42   | 0.12%             | 2046-07-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                | Fannie Mae Pool                                               | CUSIP: 3140J9YJ4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    268372 | PA      | $269919.54    | 0.01%             | 2048-12-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                | Fannie Mae Pool                                               | CUSIP: 3140XGKE8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   7808478 | PA      | $6588408.33   | 0.16%             | 2052-01-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                  | Ginnie Mae II Pool                                            | CUSIP: 3622A26R8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1003026 | PA      | $960704.81    | 0.02%             | 2048-04-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                | Fannie Mae Pool                                               | CUSIP: 3140GQ3F1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    317919 | PA      | $312067.25    | 0.01%             | 2047-08-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                | Fannie Mae Pool                                               | CUSIP: 3140MCA75<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   7386180 | PA      | $6218514.80   | 0.15%             | 2052-02-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                  | Ginnie Mae II Pool                                            | CUSIP: 36179RS83<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    182219 | PA      | $170882.45    | 0.00%             | 2045-11-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                | Fannie Mae Pool                                               | CUSIP: 3140EUKN8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    647799 | PA      | $618957.65    | 0.01%             | 2046-03-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                | Fannie Mae Pool                                               | CUSIP: 3138M5F87<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     43557 | PA      | $43227.18     | 0.00%             | 2032-08-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                  | Ginnie Mae II Pool                                            | CUSIP: 36179TEZ4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1117901 | PA      | $1071428.98   | 0.03%             | 2047-08-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                | Fannie Mae Pool                                               | CUSIP: 31419HEL2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     26207 | PA      | $26934.79     | 0.00%             | 2040-10-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                | Fannie Mae Pool                                               | CUSIP: 3140FPDG1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    190354 | PA      | $187124.92    | 0.00%             | 2047-06-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                | Fannie Mae Pool                                               | CUSIP: 3140EVU96<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      9977 | PA      | $10031.98     | 0.00%             | 2046-08-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                | Fannie Mae Pool                                               | CUSIP: 3140J7R23<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    929338 | PA      | $893495.71    | 0.02%             | 2047-01-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                | Fannie Mae Pool                                               | CUSIP: 3138WJN38<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    250665 | PA      | $233813.47    | 0.01%             | 2046-12-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                  | Ginnie Mae II Pool                                            | CUSIP: 3617A1GG3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    204608 | PA      | $196284.96    | 0.00%             | 2045-09-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                  | Ginnie Mae I Pool                                             | CUSIP: 3622A25T5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   3778465 | PA      | $3662878.01   | 0.09%             | 2047-12-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                               | Freddie Mac Pool                                              | CUSIP: 3133KMZD0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |  11657980 | PA      | $9822117.86   | 0.24%             | 2051-10-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                               | Freddie Mac Gold Pool                                         | CUSIP: 3132WHVR3<br>LEI: 254900HROIFWPRGM1V77 | Long             | ABS-MBS          | USGSE             | US        |     50143 | PA      | $47995.80     | 0.00%             | 2046-11-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| BENCHMARK Mortgage Trust                                  | Benchmark 2021-B29 Mortgage Trust                             | CUSIP: 08163JAE4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2763000 | PA      | $2322243.75   | 0.06%             | 2054-09-15      | Fixed         | 2.39%                 | No            |                  2 | On Loan: No      |
| Citigroup Commercial Mortgage Trust                       | Citigroup Commercial Mortgage Trust 2014-GC25                 | CUSIP: 17322YAD2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    413000 | PA      | $402315.24    | 0.01%             | 2047-10-10      | Fixed         | 3.64%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                  | Ginnie Mae II Pool                                            | CUSIP: 36183FLQ0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    169527 | PA      | $162658.87    | 0.00%             | 2044-10-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                | Fannie Mae Pool                                               | CUSIP: 3140H1WA4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    194869 | PA      | $198460.38    | 0.00%             | 2048-03-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                               | Freddie Mac Gold Pool                                         | CUSIP: 31335CEA8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    938485 | PA      | $898276.84    | 0.02%             | 2048-03-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                  | Ginnie Mae II Pool                                            | CUSIP: 36179SLU9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     37688 | PA      | $37780.39     | 0.00%             | 2046-09-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                  | Ginnie Mae II Pool                                            | CUSIP: 3622AABZ6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    400928 | PA      | $398097.79    | 0.01%             | 2048-12-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                | Fannie Mae Pool                                               | CUSIP: 3140E75F3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     47256 | PA      | $46020.90     | 0.00%             | 2030-12-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                | Fannie Mae Pool                                               | CUSIP: 3140QGYV3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    270491 | PA      | $228520.90    | 0.01%             | 2051-02-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                | Fannie Mae Pool                                               | CUSIP: 3140FXGJ5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   5333096 | PA      | $5068070.41   | 0.12%             | 2051-11-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                               | Freddie Mac Gold Pool                                         | CUSIP: 3132XWPW5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    710246 | PA      | $679312.54    | 0.02%             | 2048-02-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fanniemae-Aces                                            | Fannie Mae-Aces                                               | CUSIP: 3136ALYF2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    196512 | PA      | $191348.90    | 0.00%             | 2024-08-25      | Variable      | 3.02%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                               | Freddie Mac Pool                                              | CUSIP: 3132DNFK4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1396846 | PA      | $1326495.19   | 0.03%             | 2052-04-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                | Fannie Mae Pool                                               | CUSIP: 3138ER2P4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    459532 | PA      | $465423.38    | 0.01%             | 2046-02-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                | Fannie Mae Pool                                               | CUSIP: 3140X75T2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    719302 | PA      | $691156.23    | 0.02%             | 2035-07-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                | Fannie Mae Pool                                               | CUSIP: 3138WHBV3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     77656 | PA      | $76531.02     | 0.00%             | 2046-05-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                               | Freddie Mac Gold Pool                                         | CUSIP: 3132Y1GK8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     66848 | PA      | $67870.37     | 0.00%             | 2048-07-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                               | Freddie Mac Gold Pool                                         | CUSIP: 31307PWW5<br>LEI: 254900HROIFWPRGM1V77 | Long             | ABS-MBS          | USGSE             | US        |    231039 | PA      | $225226.65    | 0.01%             | 2030-12-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                               | Freddie Mac Gold Pool                                         | CUSIP: 3132L7CJ6<br>LEI: 254900HROIFWPRGM1V77 | Long             | ABS-MBS          | USGSE             | US        |    151033 | PA      | $148995.95    | 0.00%             | 2045-08-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                               | Freddie Mac Pool                                              | CUSIP: 3133KK3T4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   2809469 | PA      | $2479648.64   | 0.06%             | 2051-01-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                | Fannie Mae Pool                                               | CUSIP: 3140E2HL8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     16217 | PA      | $15890.24     | 0.00%             | 2030-10-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Toyota Auto Receivables Owner Trust                       | Toyota Auto Receivables 2021-B Owner Trust                    | CUSIP: 89190GAC1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   3015627 | PA      | $2904641.86   | 0.07%             | 2025-11-17      | Fixed         | 0.26%                 | No            |                  2 | On Loan: No      |
| GS Mortgage Securities Trust                              | GS Mortgage Securities Trust 2014-GC24                        | CUSIP: 36253GAE2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   5809000 | PA      | $5658317.44   | 0.14%             | 2047-09-10      | Fixed         | 3.93%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                | Fannie Mae Pool                                               | CUSIP: 3140XJNV1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  17950031 | PA      | $17759577.61  | 0.43%             | 2052-09-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                  | Ginnie Mae II Pool                                            | CUSIP: 36179VME7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   2311900 | PA      | $2205925.09   | 0.05%             | 2050-05-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                               | Freddie Mac Gold Pool                                         | CUSIP: 3128P7WT6<br>LEI: 254900HROIFWPRGM1V77 | Long             | ABS-MBS          | USGSE             | US        |     37375 | PA      | $36760.32     | 0.00%             | 2032-09-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                               | Freddie Mac Pool                                              | CUSIP: 3132DM5R2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   6746283 | PA      | $5675503.69   | 0.14%             | 2052-01-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                | Fannie Mae Pool                                               | CUSIP: 3140H23H9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    427451 | PA      | $428346.59    | 0.01%             | 2047-12-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                               | Freddie Mac Gold Pool                                         | CUSIP: 3132L74A4<br>LEI: 254900HROIFWPRGM1V77 | Long             | ABS-MBS          | USGSE             | US        |    324610 | PA      | $310694.95    | 0.01%             | 2046-09-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| UMBS, TBA                                                 | Uniform Mortgage-Backed Security, TBA                         | CUSIP: 01F030421<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |  20300000 | PA      | $19470729.57  | 0.47%             | 2038-02-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| CSAIL Commercial Mortgage Trust                           | CSAIL 2018-CX11 Commercial Mortgage Trust                     | CUSIP: 12652UAU3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   3319000 | PA      | $3189408.32   | 0.08%             | 2051-04-15      | Variable      | 4.03%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                | Fannie Mae Pool                                               | CUSIP: 3140GSPD8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1362296 | PA      | $1340997.87   | 0.03%             | 2047-09-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                | Fannie Mae Pool                                               | CUSIP: 31418CZ64<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     97883 | PA      | $94617.77     | 0.00%             | 2038-09-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                | Fannie Mae Pool                                               | CUSIP: 3138WJNE4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    212565 | PA      | $197675.29    | 0.00%             | 2046-12-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                               | Freddie Mac Gold Pool                                         | CUSIP: 3128MMZB2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    922171 | PA      | $904433.65    | 0.02%             | 2034-06-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                               | Freddie Mac Pool                                              | CUSIP: 3132D56Q0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   4945498 | PA      | $4506425.28   | 0.11%             | 2035-12-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                | Fannie Mae Pool                                               | CUSIP: 3140QGJQ1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   8530504 | PA      | $7773097.21   | 0.19%             | 2035-12-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Citigroup Commercial Mortgage Trust                       | Citigroup Commercial Mortgage Trust 2017-C4                   | CUSIP: 17326FAD9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   7905000 | PA      | $7443055.52   | 0.18%             | 2050-10-12      | Fixed         | 3.47%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                | Fannie Mae Pool                                               | CUSIP: 31418CPE8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    990128 | PA      | $945781.98    | 0.02%             | 2047-09-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                  | Ginnie Mae I Pool                                             | CUSIP: 36180DQF7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      6683 | PA      | $6480.86      | 0.00%             | 2043-03-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                               | Freddie Mac Pool                                              | CUSIP: 3132DWBH5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |  27453003 | PA      | $23178356.24  | 0.56%             | 2051-04-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                  | Ginnie Mae II Pool                                            | CUSIP: 36179WLN6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   7456836 | PA      | $6464383.62   | 0.16%             | 2051-08-20      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                | Fannie Mae Pool                                               | CUSIP: 3138W9RH5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     49129 | PA      | $46963.43     | 0.00%             | 2028-09-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                | Fannie Mae Pool                                               | CUSIP: 31418CNG5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   2843284 | PA      | $2754923.78   | 0.07%             | 2032-08-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                | Fannie Mae Pool                                               | CUSIP: 3138Y9SR0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    176325 | PA      | $167729.54    | 0.00%             | 2030-03-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Citigroup Commercial Mortgage Trust                       | Citigroup Commercial Mortgage Trust 2016-P5                   | CUSIP: 17325DAD5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    829000 | PA      | $773949.92    | 0.02%             | 2049-10-10      | Fixed         | 2.94%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                | Fannie Mae Pool                                               | CUSIP: 31418D7F3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  26741134 | PA      | $23440115.77  | 0.56%             | 2051-12-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                               | Freddie Mac Pool                                              | CUSIP: 3133GFCG8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   2497330 | PA      | $2274887.83   | 0.05%             | 2036-10-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                  | Ginnie Mae II Pool                                            | CUSIP: 36179TUB9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1837718 | PA      | $1808956.22   | 0.04%             | 2048-03-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                               | Freddie Mac Pool                                              | CUSIP: 3132DVK38<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   3382473 | PA      | $3217941.73   | 0.08%             | 2050-04-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                | Fannie Mae Pool                                               | CUSIP: 3138ET5H5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    858914 | PA      | $821488.87    | 0.02%             | 2046-09-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                | Fannie Mae Pool                                               | CUSIP: 3140QPFK8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   4351597 | PA      | $4083066.49   | 0.10%             | 2052-06-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                | Fannie Mae Pool                                               | CUSIP: 31418ECQ1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  29769815 | PA      | $26087483.12  | 0.63%             | 2052-04-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                               | Freddie Mac Gold Pool                                         | CUSIP: 31335ABF4<br>LEI: 254900HROIFWPRGM1V77 | Long             | ABS-MBS          | USGSE             | US        |    441045 | PA      | $426081.75    | 0.01%             | 2044-01-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                  | Ginnie Mae II Pool                                            | CUSIP: 36179MQP8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   3015689 | PA      | $2921039.41   | 0.07%             | 2042-10-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                | Fannie Mae Pool                                               | CUSIP: 3140QQ2A2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   7441331 | PA      | $7361518.66   | 0.18%             | 2052-12-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                               | Freddie Mac Pool                                              | CUSIP: 3133KNNS8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |  29140297 | PA      | $26494625.46  | 0.64%             | 2052-01-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                               | Freddie Mac Gold Pool                                         | CUSIP: 31335AUF3<br>LEI: 254900HROIFWPRGM1V77 | Long             | ABS-MBS          | USGSE             | US        |    229683 | PA      | $220075.34    | 0.01%             | 2046-05-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                | Fannie Mae Pool                                               | CUSIP: 3138WFHS8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    730041 | PA      | $700417.61    | 0.02%             | 2045-08-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                               | Freddie Mac Gold Pool                                         | CUSIP: 3132WKQ84<br>LEI: 254900HROIFWPRGM1V77 | Long             | ABS-MBS          | USGSE             | US        |    211785 | PA      | $195957.57    | 0.00%             | 2046-12-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| COMM Mortgage Trust                                       | Comm 2014-UBS2 Mortgage Trust                                 | CUSIP: 12591UAF0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    413000 | PA      | $405804.92    | 0.01%             | 2047-03-10      | Fixed         | 3.96%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                | Fannie Mae Pool                                               | CUSIP: 3140QHQ57<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   3581554 | PA      | $3263549.73   | 0.08%             | 2036-03-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                               | Freddie Mac Pool                                              | CUSIP: 3132DWBG7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   3913778 | PA      | $3128152.67   | 0.08%             | 2051-04-01      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                               | Freddie Mac Pool                                              | CUSIP: 3132DPN87<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   4200000 | PA      | $4087967.18   | 0.10%             | 2052-10-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                | Fannie Mae Pool                                               | CUSIP: 31418DTN2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   2687197 | PA      | $2515805.35   | 0.06%             | 2035-10-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                               | Freddie Mac Pool                                              | CUSIP: 3132A8TN9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   4907018 | PA      | $4779284.53   | 0.12%             | 2030-03-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                | Fannie Mae Pool                                               | CUSIP: 31418C3D4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    749451 | PA      | $734879.77    | 0.02%             | 2048-10-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                | Fannie Mae Pool                                               | CUSIP: 3140J7WU5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    479221 | PA      | $461353.16    | 0.01%             | 2047-11-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                | Fannie Mae Pool                                               | CUSIP: 3138MFPY7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     72578 | PA      | $70209.32     | 0.00%             | 2027-10-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                  | Ginnie Mae II Pool                                            | CUSIP: 36179R7H6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1101869 | PA      | $1031885.93   | 0.02%             | 2046-04-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                               | Freddie Mac Gold Pool                                         | CUSIP: 3132WDYQ1<br>LEI: 254900HROIFWPRGM1V77 | Long             | ABS-MBS          | USGSE             | US        |    112862 | PA      | $107994.65    | 0.00%             | 2046-05-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                               | Freddie Mac Pool                                              | CUSIP: 3133KKNC9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1945065 | PA      | $1715960.43   | 0.04%             | 2050-11-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                  | Ginnie Mae II Pool                                            | CUSIP: 36179VBG4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   3456216 | PA      | $3286006.39   | 0.08%             | 2049-12-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                  | Ginnie Mae II Pool                                            | CUSIP: 36179RQ28<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     83079 | PA      | $79676.38     | 0.00%             | 2045-10-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                | Fannie Mae Pool                                               | CUSIP: 3140QBR75<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   2930245 | PA      | $2709351.34   | 0.07%             | 2049-09-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                  | Ginnie Mae II Pool                                            | CUSIP: 36179TCW3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     72135 | PA      | $67353.55     | 0.00%             | 2047-07-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                | Fannie Mae Pool                                               | CUSIP: 3140X9ED3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   3722887 | PA      | $3410907.62   | 0.08%             | 2051-01-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                | Fannie Mae Pool                                               | CUSIP: 3140QNWL2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   7955494 | PA      | $6977575.25   | 0.17%             | 2052-04-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                  | Ginnie Mae II Pool                                            | CUSIP: 3617NWHH8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   5391870 | PA      | $4646666.55   | 0.11%             | 2050-08-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                               | Freddie Mac Gold Pool                                         | CUSIP: 3132LA2L5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1898075 | PA      | $1818337.41   | 0.04%             | 2049-04-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| UMBS, TBA                                                 | Uniform Mortgage-Backed Security, TBA                         | CUSIP: 01F042624<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |  26925000 | PA      | $26588437.50  | 0.64%             | 2053-02-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Bank of America Credit Card Trust                         | BA Credit Card Trust                                          | CUSIP: 05522RDD7<br>LEI: 5493006DQ60M1CRKHH19 | Long             | ABS-O            | CORP              | US        |   4166000 | PA      | $3954034.75   | 0.10%             | 2026-09-15      | Fixed         | 0.44%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                  | Ginnie Mae II Pool                                            | CUSIP: 36179RTB5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    204005 | PA      | $209083.07    | 0.01%             | 2045-11-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                | Fannie Mae Pool                                               | CUSIP: 3140X6F55<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   2006167 | PA      | $1849898.95   | 0.04%             | 2050-03-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                | Fannie Mae Pool                                               | CUSIP: 3140XGT74<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   9159109 | PA      | $8739713.19   | 0.21%             | 2051-10-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                               | Freddie Mac Gold Pool                                         | CUSIP: 3132WJSN2<br>LEI: 254900HROIFWPRGM1V77 | Long             | ABS-MBS          | USGSE             | US        |   1257979 | PA      | $1204184.34   | 0.03%             | 2046-12-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                | Fannie Mae Pool                                               | CUSIP: 3140QA2X7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1575268 | PA      | $1557676.47   | 0.04%             | 2049-05-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                               | Freddie Mac Gold Pool                                         | CUSIP: 3132L87K7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     89494 | PA      | $85605.53     | 0.00%             | 2047-12-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                | Fannie Mae Pool                                               | CUSIP: 3140M2E24<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   2009594 | PA      | $1715646.22   | 0.04%             | 2051-10-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                | Fannie Mae Pool                                               | CUSIP: 3138ETJU1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   7784709 | PA      | $7741208.12   | 0.19%             | 2046-05-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                | Fannie Mae Pool                                               | CUSIP: 31418CEF7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   3262604 | PA      | $3034345.46   | 0.07%             | 2046-12-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| BENCHMARK Mortgage Trust                                  | Benchmark 2019-B13 Mortgage Trust                             | CUSIP: 08162DAE8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   7093000 | PA      | $6373641.42   | 0.15%             | 2057-08-15      | Fixed         | 2.95%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                               | Freddie Mac Gold Pool                                         | CUSIP: 31335BNL6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   1418860 | PA      | $1362945.04   | 0.03%             | 2047-09-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                | Fannie Mae Pool                                               | CUSIP: 3138WJBY3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     11580 | PA      | $11666.73     | 0.00%             | 2046-10-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                  | Ginnie Mae I Pool                                             | CUSIP: 36297FSM5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    101620 | PA      | $103083.37    | 0.00%             | 2039-08-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                               | Freddie Mac Pool                                              | CUSIP: 3132D6BS8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    434155 | PA      | $405756.46    | 0.01%             | 2037-04-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FHLMC Multifamily Structured Pass Through Certs.          | Freddie Mac Multifamily Structured Pass Through Certificates  | CUSIP: 3137H2NY6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   3967000 | PA      | $3119775.74   | 0.08%             | 2036-08-25      | Fixed         | 2.18%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                               | Freddie Mac Pool                                              | CUSIP: 3132AEB39<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   2601631 | PA      | $2630010.65   | 0.06%             | 2049-04-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                | Fannie Mae Pool                                               | CUSIP: 31418XK31<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     30425 | PA      | $31123.11     | 0.00%             | 2040-08-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                | Fannie Mae Pool                                               | CUSIP: 31418AMX3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    127658 | PA      | $123187.29    | 0.00%             | 2042-12-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                | Fannie Mae Pool                                               | CUSIP: 3140QEKL5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   4225524 | PA      | $3733822.86   | 0.09%             | 2050-08-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                | Fannie Mae Pool                                               | CUSIP: 3140LQPU8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   4409227 | PA      | $4006562.01   | 0.10%             | 2037-04-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                | Fannie Mae Pool                                               | CUSIP: 3140HFFN4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    290226 | PA      | $296945.42    | 0.01%             | 2048-03-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                | Fannie Mae Pool                                               | CUSIP: 3140GYNH8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    124318 | PA      | $122115.02    | 0.00%             | 2032-10-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                               | Freddie Mac Pool                                              | CUSIP: 31329QCR0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    471459 | PA      | $461808.45    | 0.01%             | 2049-03-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                               | Freddie Mac Pool                                              | CUSIP: 3133KMXX8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1016755 | PA      | $891613.06    | 0.02%             | 2051-10-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                  | Ginnie Mae II Pool                                            | CUSIP: 36179SUV7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    328140 | PA      | $315069.48    | 0.01%             | 2047-01-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                | Fannie Mae Pool                                               | CUSIP: 3140QMVC5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   5557427 | PA      | $4872844.64   | 0.12%             | 2051-12-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                | Fannie Mae Pool                                               | CUSIP: 3140FVVS2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     66453 | PA      | $66734.65     | 0.00%             | 2047-06-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                               | Freddie Mac Gold Pool                                         | CUSIP: 3128MAD63<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    224053 | PA      | $223153.52    | 0.01%             | 2045-02-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                               | Freddie Mac Gold Pool                                         | CUSIP: 3132WF3E7<br>LEI: 254900HROIFWPRGM1V77 | Long             | ABS-MBS          | USGSE             | US        |    240033 | PA      | $230559.74    | 0.01%             | 2046-08-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                | Fannie Mae Pool                                               | CUSIP: 3140X7VZ9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  12094788 | PA      | $10696193.29  | 0.26%             | 2050-09-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                | Fannie Mae Pool                                               | CUSIP: 3138XHZD6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      3090 | PA      | $3042.89      | 0.00%             | 2029-01-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                               | Freddie Mac Gold Pool                                         | CUSIP: 3132L8T31<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    424898 | PA      | $406655.60    | 0.01%             | 2047-07-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                  | Ginnie Mae II Pool                                            | CUSIP: 36179SSP3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   3265380 | PA      | $3046831.92   | 0.07%             | 2046-12-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                | Fannie Mae Pool                                               | CUSIP: 3138NXRX7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     77241 | PA      | $74552.53     | 0.00%             | 2043-01-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                  | Ginnie Mae II Pool                                            | CUSIP: 36179SSQ1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1579918 | PA      | $1515208.84   | 0.04%             | 2046-12-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                               | Freddie Mac Gold Pool                                         | CUSIP: 3128MJ3F5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1253111 | PA      | $1235822.64   | 0.03%             | 2048-01-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                | Fannie Mae Pool                                               | CUSIP: 3140Q7HS9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    270568 | PA      | $258608.16    | 0.01%             | 2047-08-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                               | Freddie Mac Gold Pool                                         | CUSIP: 3128MJ4M9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    168467 | PA      | $169558.94    | 0.00%             | 2048-07-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                               | Freddie Mac Gold Pool                                         | CUSIP: 3132XW5W7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     52772 | PA      | $52499.94     | 0.00%             | 2048-02-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                | Fannie Mae Pool                                               | CUSIP: 3140XCPY8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   3235726 | PA      | $2948338.78   | 0.07%             | 2036-08-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Bank                                                      | BANK 2019-BNK21                                               | CUSIP: 06540BBD0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   4564000 | PA      | $4083262.47   | 0.10%             | 2052-10-17      | Fixed         | 2.85%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                  | Ginnie Mae                                                    | CUSIP: 21H052629<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   7000000 | PA      | $7113203.09   | 0.17%             | 2053-02-21      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                               | Freddie Mac Gold Pool                                         | CUSIP: 3128MDKW2<br>LEI: 254900HROIFWPRGM1V77 | Long             | ABS-MBS          | USGSE             | US        |     26789 | PA      | $25943.45     | 0.00%             | 2027-11-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                  | Ginnie Mae I Pool                                             | CUSIP: 3622AABE3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    690755 | PA      | $695867.69    | 0.02%             | 2041-08-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                | Fannie Mae Pool                                               | CUSIP: 3140QPNY9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  16761232 | PA      | $15272153.92  | 0.37%             | 2037-05-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                               | Freddie Mac Gold Pool                                         | CUSIP: 312936RV1<br>LEI: 254900HROIFWPRGM1V77 | Long             | ABS-MBS          | USGSE             | US        |     10224 | PA      | $10385.16     | 0.00%             | 2039-10-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                | Fannie Mae Pool                                               | CUSIP: 31418ECT5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   4105938 | PA      | $3638998.92   | 0.09%             | 2037-04-01      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                | Fannie Mae Pool                                               | CUSIP: 31417GHQ2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    155192 | PA      | $145953.89    | 0.00%             | 2043-05-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                               | Freddie Mac Gold Pool                                         | CUSIP: 3128MJ3Z1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     48038 | PA      | $48878.55     | 0.00%             | 2048-03-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                | Fannie Mae Pool                                               | CUSIP: 3140XH4Z7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  17470296 | PA      | $15372817.46  | 0.37%             | 2052-01-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                               | Freddie Mac Gold Pool                                         | CUSIP: 3128MJ2C3<br>LEI: 254900HROIFWPRGM1V77 | Long             | ABS-MBS          | USGSE             | US        |    535330 | PA      | $514356.80    | 0.01%             | 2047-07-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                | Fannie Mae Pool                                               | CUSIP: 31417G3Y0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    180346 | PA      | $169610.72    | 0.00%             | 2043-07-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                | Fannie Mae Pool                                               | CUSIP: 3138WJ6C7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     11047 | PA      | $10850.31     | 0.00%             | 2047-03-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                               | Freddie Mac Pool                                              | CUSIP: 3132DWBP7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |  61535672 | PA      | $51769536.37  | 1.25%             | 2051-05-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                | Fannie Mae Pool                                               | CUSIP: 3138WKUL7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    659274 | PA      | $652944.80    | 0.02%             | 2047-05-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                  | Ginnie Mae I Pool                                             | CUSIP: 36200AJD2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     19487 | PA      | $20526.87     | 0.00%             | 2032-12-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                | Fannie Mae Pool                                               | CUSIP: 31418D5B4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   2128958 | PA      | $1886914.30   | 0.05%             | 2036-10-01      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                               | Freddie Mac Gold Pool                                         | CUSIP: 3128MJZR4<br>LEI: 254900HROIFWPRGM1V77 | Long             | ABS-MBS          | USGSE             | US        |    269443 | PA      | $257945.66    | 0.01%             | 2047-03-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                  | Ginnie Mae II Pool                                            | CUSIP: 36179S2P1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    543525 | PA      | $519753.91    | 0.01%             | 2047-04-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                | Fannie Mae Pool                                               | CUSIP: 3140JLL28<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    527293 | PA      | $517043.63    | 0.01%             | 2049-01-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                | Fannie Mae Pool                                               | CUSIP: 3140GVKY0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     60340 | PA      | $59185.30     | 0.00%             | 2032-07-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                | Fannie Mae Pool                                               | CUSIP: 3140X9VZ5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   6327718 | PA      | $5341667.44   | 0.13%             | 2051-02-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                               | Freddie Mac Gold Pool                                         | CUSIP: 3128MMX24<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    357329 | PA      | $349569.37    | 0.01%             | 2033-07-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                | Fannie Mae Pool                                               | CUSIP: 3138ETQU3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    300823 | PA      | $292969.51    | 0.01%             | 2031-06-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Verizon Master Trust                                      | Verizon Master Trust                                          | CUSIP: 92348KAA1<br>LEI: 5493007MUBNP1GFMEB89 | Long             | ABS-O            | CORP              | US        |   2382000 | PA      | $2249179.44   | 0.05%             | 2027-05-20      | Fixed         | 0.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                  | Ginnie Mae II Pool                                            | CUSIP: 36179XHX7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   8611912 | PA      | $8360207.19   | 0.20%             | 2052-10-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                  | Ginnie Mae II Pool                                            | CUSIP: 36179RF87<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    440254 | PA      | $413773.94    | 0.01%             | 2045-06-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                | Fannie Mae Pool                                               | CUSIP: 3140J7S30<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    486207 | PA      | $465915.46    | 0.01%             | 2047-05-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                | Fannie Mae Pool                                               | CUSIP: 3138AWMK6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     60992 | PA      | $60260.29     | 0.00%             | 2041-12-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                | Fannie Mae Pool                                               | CUSIP: 3140XASY9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   2961371 | PA      | $2500822.20   | 0.06%             | 2051-04-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                  | Ginnie Mae II Pool                                            | CUSIP: 3617J3E56<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     78017 | PA      | $77454.53     | 0.00%             | 2048-12-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                               | Freddie Mac Gold Pool                                         | CUSIP: 3132LAS94<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    721530 | PA      | $708227.66    | 0.02%             | 2048-12-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                  | Ginnie Mae II Pool                                            | CUSIP: 36179WY85<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |  10480650 | PA      | $9057303.92   | 0.22%             | 2052-03-20      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                  | Ginnie Mae II Pool                                            | CUSIP: 36179USW3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    116968 | PA      | $119127.44    | 0.00%             | 2049-05-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                | Fannie Mae Pool                                               | CUSIP: 3140X6ME8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1897038 | PA      | $1813492.38   | 0.04%             | 2048-07-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fanniemae-Aces                                            | Fannie Mae-Aces                                               | CUSIP: 3136B1LF9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   7296221 | PA      | $6870867.05   | 0.17%             | 2030-02-25      | Variable      | 3.07%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                  | Ginnie Mae II Pool                                            | CUSIP: 36179R4E6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   2912346 | PA      | $2792585.27   | 0.07%             | 2046-03-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                  | Ginnie Mae I Pool                                             | CUSIP: 36180DVC8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     83908 | PA      | $81360.71     | 0.00%             | 2043-05-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                | Fannie Mae Pool                                               | CUSIP: 3140M2RB0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   2117699 | PA      | $1929061.15   | 0.05%             | 2036-12-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| GM Financial Consumer Automobile Receivables Trust 2020-2 | GM Financial Consumer Automobile Receivables Trust 2020-2     | CUSIP: 36258VAE4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1962000 | PA      | $1903940.69   | 0.05%             | 2025-08-18      | Fixed         | 1.74%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                | Fannie Mae Pool                                               | CUSIP: 3140QHPV1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   2643448 | PA      | $2408820.69   | 0.06%             | 2036-03-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                               | Freddie Mac Gold Pool                                         | CUSIP: 3128M73A2<br>LEI: 254900HROIFWPRGM1V77 | Long             | ABS-MBS          | USGSE             | US        |     17578 | PA      | $18444.59     | 0.00%             | 2039-01-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                  | Ginnie Mae II Pool                                            | CUSIP: 36179MX39<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1173823 | PA      | $1104448.49   | 0.03%             | 2043-01-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                | Fannie Mae Pool                                               | CUSIP: 3140Q8C52<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1189607 | PA      | $1145748.51   | 0.03%             | 2048-01-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                               | Freddie Mac Pool                                              | CUSIP: 3132DVLC7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    883602 | PA      | $786513.59    | 0.02%             | 2050-08-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                | Fannie Mae Pool                                               | CUSIP: 3140J92G5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    275794 | PA      | $271798.40    | 0.01%             | 2047-02-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fanniemae-Aces                                            | Fannie Mae-Aces                                               | CUSIP: 3136BGFQ9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   2489000 | PA      | $2038129.60   | 0.05%             | 2031-07-25      | Variable      | 1.71%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                | Fannie Mae Pool                                               | CUSIP: 3138WGRR7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     43443 | PA      | $42744.30     | 0.00%             | 2046-03-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                | Fannie Mae Pool                                               | CUSIP: 3138ERV49<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    387279 | PA      | $373806.95    | 0.01%             | 2045-10-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                | Fannie Mae Pool                                               | CUSIP: 3140J82T9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    650766 | PA      | $661347.13    | 0.02%             | 2046-02-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                  | Ginnie Mae II Pool                                            | CUSIP: 36202FJQ0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     39347 | PA      | $40155.09     | 0.00%             | 2040-08-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                | Fannie Mae Pool                                               | CUSIP: 3138WGRV8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     70798 | PA      | $68950.49     | 0.00%             | 2031-03-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                | Fannie Mae Pool                                               | CUSIP: 3140J9EY3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1650434 | PA      | $1552299.66   | 0.04%             | 2044-10-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                               | Freddie Mac Gold Pool                                         | CUSIP: 3132LAUF7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     92475 | PA      | $93181.59     | 0.00%             | 2048-12-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                               | Freddie Mac Pool                                              | CUSIP: 3132D6NZ9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   7390624 | PA      | $6734796.21   | 0.16%             | 2036-02-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                | Fannie Mae Pool                                               | CUSIP: 3140XCXY9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   7351716 | PA      | $6450551.82   | 0.16%             | 2051-09-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| JPMDB Commercial Mortgage Securities Trust                | JPMDB Commercial Mortgage Securities Trust 2017-C7            | CUSIP: 46648KAU0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   4979000 | PA      | $4687199.23   | 0.11%             | 2050-10-15      | Fixed         | 3.41%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                | Fannie Mae Pool                                               | CUSIP: 3138W9GM6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     40390 | PA      | $37985.57     | 0.00%             | 2043-08-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                | Fannie Mae Pool                                               | CUSIP: 3138ETQT6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    334728 | PA      | $325973.77    | 0.01%             | 2031-06-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                  | Ginnie Mae II Pool                                            | CUSIP: 36179RBX6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1064642 | PA      | $1023139.05   | 0.02%             | 2045-04-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                | Fannie Mae Pool                                               | CUSIP: 3138WFWW2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    248356 | PA      | $241726.57    | 0.01%             | 2030-10-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                | Fannie Mae Pool                                               | CUSIP: 3140J9FC0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   6304702 | PA      | $6213387.97   | 0.15%             | 2047-08-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                  | Ginnie Mae II Pool                                            | CUSIP: 36179NBB3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    134636 | PA      | $130410.05    | 0.00%             | 2043-04-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                               | Freddie Mac Pool                                              | CUSIP: 3132D6N55<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   6852449 | PA      | $6243993.46   | 0.15%             | 2036-05-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                | Fannie Mae Pool                                               | CUSIP: 3140XD6J0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   3997543 | PA      | $3509519.30   | 0.08%             | 2051-12-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                               | Freddie Mac Gold Pool                                         | CUSIP: 3128MMUC5<br>LEI: 254900HROIFWPRGM1V77 | Long             | ABS-MBS          | USGSE             | US        |    209404 | PA      | $203618.90    | 0.00%             | 2030-12-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                | Fannie Mae Pool                                               | CUSIP: 3140QLF84<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   3103844 | PA      | $2906043.20   | 0.07%             | 2036-07-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                | Fannie Mae Pool                                               | CUSIP: 31418AGR3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     18853 | PA      | $18379.73     | 0.00%             | 2032-07-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                | Fannie Mae Pool                                               | CUSIP: 3140J5G78<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    310373 | PA      | $297418.33    | 0.01%             | 2046-12-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                | Fannie Mae Pool                                               | CUSIP: 31418D6A5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  11872716 | PA      | $9490412.78   | 0.23%             | 2051-11-01      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                | Fannie Mae Pool                                               | CUSIP: 3138WEMY2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    130502 | PA      | $127092.35    | 0.00%             | 2030-04-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                | Fannie Mae Pool                                               | CUSIP: 31418EAM2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   2149388 | PA      | $1809518.77   | 0.04%             | 2052-01-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                | Fannie Mae Pool                                               | CUSIP: 3138ETGM2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    289271 | PA      | $272070.69    | 0.01%             | 2045-01-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Bank                                                      | BANK 2020-BNK27                                               | CUSIP: 06539XAH7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   4515000 | PA      | $3819396.53   | 0.09%             | 2063-04-15      | Fixed         | 2.14%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                | Fannie Mae Pool                                               | CUSIP: 3140FCNG9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    346510 | PA      | $331339.77    | 0.01%             | 2046-08-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                               | Freddie Mac Pool                                              | CUSIP: 3132D6NR7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   7666959 | PA      | $7178122.91   | 0.17%             | 2035-07-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                | Fannie Mae Pool                                               | CUSIP: 3140J8KW2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    447766 | PA      | $468945.27    | 0.01%             | 2047-01-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                               | Freddie Mac Pool                                              | CUSIP: 3132DWCQ4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   4600238 | PA      | $4185535.10   | 0.10%             | 2051-11-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                               | Freddie Mac Gold Pool                                         | CUSIP: 3132WNEK4<br>LEI: 254900HROIFWPRGM1V77 | Long             | ABS-MBS          | USGSE             | US        |    122466 | PA      | $123249.04    | 0.00%             | 2047-05-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                               | Freddie Mac Pool                                              | CUSIP: 3133KL6J1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   2485972 | PA      | $2107588.30   | 0.05%             | 2051-06-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                  | Ginnie Mae I Pool                                             | CUSIP: 3622A27M8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    342038 | PA      | $316789.39    | 0.01%             | 2047-02-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                               | Freddie Mac Pool                                              | CUSIP: 3133KJQ39<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   3967507 | PA      | $3657543.10   | 0.09%             | 2050-07-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                               | Freddie Mac Pool                                              | CUSIP: 3133KH2L9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1193157 | PA      | $1095880.74   | 0.03%             | 2050-05-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                | Fannie Mae Pool                                               | CUSIP: 3140QHET8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   4239117 | PA      | $3862977.39   | 0.09%             | 2036-02-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                | Fannie Mae Pool                                               | CUSIP: 3140QLRW8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   4539766 | PA      | $4179821.98   | 0.10%             | 2051-08-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                | Fannie Mae Pool                                               | CUSIP: 3140X9R64<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   5315970 | PA      | $4844084.85   | 0.12%             | 2036-02-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                | Fannie Mae Pool                                               | CUSIP: 3138EQTZ5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     31611 | PA      | $31385.54     | 0.00%             | 2044-06-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                | Fannie Mae Pool                                               | CUSIP: 3140XBQ78<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  17950506 | PA      | $15874792.63  | 0.38%             | 2051-03-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                               | Freddie Mac Gold Pool                                         | CUSIP: 3132WM7L2<br>LEI: 254900HROIFWPRGM1V77 | Long             | ABS-MBS          | USGSE             | US        |    278650 | PA      | $266703.36    | 0.01%             | 2047-05-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                | Fannie Mae Pool                                               | CUSIP: 3138ETYW0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    199226 | PA      | $191539.50    | 0.00%             | 2046-07-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                | Fannie Mae Pool                                               | CUSIP: 3140QAXY1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    460873 | PA      | $469746.55    | 0.01%             | 2049-04-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                  | Ginnie Mae II Pool                                            | CUSIP: 36179UPB2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    447202 | PA      | $448939.96    | 0.01%             | 2049-03-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                               | Freddie Mac Gold Pool                                         | CUSIP: 3132WFNV7<br>LEI: 254900HROIFWPRGM1V77 | Long             | ABS-MBS          | USGSE             | US        |     34391 | PA      | $32965.40     | 0.00%             | 2046-08-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                  | Ginnie Mae II Pool                                            | CUSIP: 36179TE27<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    126738 | PA      | $124753.18    | 0.00%             | 2047-08-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| American Express Credit Account Master Trust              | American Express Credit Account Master Trust                  | CUSIP: 02589BAA8<br>LEI: 549300Y4SA5G3GIJTP18 | Long             | ABS-O            | CORP              | US        |   3750000 | PA      | $3574467.00   | 0.09%             | 2027-03-15      | Fixed         | 2.21%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                | Fannie Mae Pool                                               | CUSIP: 3140QEY30<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   2003194 | PA      | $1795489.41   | 0.04%             | 2050-09-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                               | Freddie Mac Gold Pool                                         | CUSIP: 31292HVV3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    397078 | PA      | $408491.13    | 0.01%             | 2033-04-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                | Fannie Mae Pool                                               | CUSIP: 3140QPSF5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   4000392 | PA      | $3754641.42   | 0.09%             | 2052-07-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                | Fannie Mae Pool                                               | CUSIP: 31418ECU2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  28893240 | PA      | $26254825.56  | 0.63%             | 2037-04-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                  | Ginnie Mae I Pool                                             | CUSIP: 3622AADS0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    131841 | PA      | $122103.01    | 0.00%             | 2047-02-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                | Fannie Mae Pool                                               | CUSIP: 3140EUC64<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    199018 | PA      | $190448.41    | 0.00%             | 2045-12-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                | Fannie Mae Pool                                               | CUSIP: 3140F5CD3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    617402 | PA      | $572096.97    | 0.01%             | 2046-12-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                | Fannie Mae Pool                                               | CUSIP: 3140H36T8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    518002 | PA      | $527227.14    | 0.01%             | 2048-04-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                               | Freddie Mac Pool                                              | CUSIP: 3132D57D8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   3013734 | PA      | $2672126.05   | 0.06%             | 2036-03-01      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                  | Ginnie Mae II Pool                                            | CUSIP: 36179XFG6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |  17457612 | PA      | $16947369.73  | 0.41%             | 2052-09-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                | Fannie Mae Pool                                               | CUSIP: 31418CUB8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    296049 | PA      | $288478.35    | 0.01%             | 2048-02-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                               | Freddie Mac Gold Pool                                         | CUSIP: 3128P8GW5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    136248 | PA      | $131974.32    | 0.00%             | 2038-09-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                  | Ginnie Mae II Pool                                            | CUSIP: 36179XDE3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   7017700 | PA      | $6968527.96   | 0.17%             | 2052-08-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |

### Signature

**Date Signed:** 2023-03-01

**Name of Applicant:** BlackRock Funds

**Signature:** Chuck Pulsfort

**Name of Signer:** Chuck Pulsfort

**Title:** Assistant Treasurer