# EDGAR Filing Document

**Accession Number:** 0001100663
**File Stem:** 0001752724-23-012299
**Filing Date:** 2023-1
**Character Count:** 4319465
**Document Hash:** 188f6175d4806d7a8292ae19048d7c8f
**Contains OCR:** False
**Source Format:** 

## Filing Content

## Filing Summary
**0001752724-23-012299.hdr.sgml**: 20230125

**ACCESSION NUMBER**: 0001752724-23-012299

**CONFORMED SUBMISSION TYPE**: NPORT-P

**PUBLIC DOCUMENT COUNT**: 2

**CONFORMED PERIOD OF REPORT**: 20221130

**FILED AS OF DATE**: 20230125

**DATE AS OF CHANGE**: 20230125

**PERIOD START**: 20230228

**FILER**: 

**COMPANY DATA:**
- **COMPANY CONFORMED NAME:** iSHARES TRUST
- **CENTRAL INDEX KEY:** 0001100663
- **IRS NUMBER:** 943351276
- **STATE OF INCORPORATION:** DE
- **FISCAL YEAR END:** 1231

**FILING VALUES:**
- **FORM TYPE:** NPORT-P
- **SEC ACT:** 1940 Act
- **SEC FILE NUMBER:** 811-09729
- **FILM NUMBER:** 23551459

**BUSINESS ADDRESS:**
- **STREET 1:** 400 HOWARD STREET
- **CITY:** SAN FRANCISCO
- **STATE:** CA
- **ZIP:** 94105
- **BUSINESS PHONE:** (415) 670-2000

**MAIL ADDRESS:**
- **STREET 1:** 400 HOWARD STREET
- **CITY:** SAN FRANCISCO
- **STATE:** CA
- **ZIP:** 94105

**FORMER COMPANY:**
- **FORMER CONFORMED NAME:** ISHARES TRUST
- **DATE OF NAME CHANGE:** 19991213

## Series and Classes Contracts Data

### iShares MBS ETF (Series ID: S000013702)

| Class ID   | Class Name      | Ticker Symbol   |
|:---|:---|:---|
| C000037544 | iShares MBS ETF | MBB             |

## Nport-Ex

---

| | |
|:---|:---|
| Schedule of Investments (unaudited) | **iShares<sup>®</sup> MBS ETF** |
| November 30, 2022 | **(Percentages shown are based on Net Assets)** |

---

---

| | | |
|:---|:---|:---|
| *Security* | *Par<br> (000)* | *Value* |
| **U.S. Government Agency Obligations** |  |  |
| **Mortgage-Backed Securities — 99.5%** |  |  |
| Federal Home Loan Mortgage Corp. |  |  |
| &nbsp;&nbsp;&nbsp;2.00%, 03/01/28 | $50 | $47319 |
| &nbsp;&nbsp;&nbsp;2.00%, 05/01/28 | 10 | 9422 |
| &nbsp;&nbsp;&nbsp;2.00%, 08/01/28 | 153 | 144798 |
| &nbsp;&nbsp;&nbsp;2.00%, 09/01/28 | 94 | 88353 |
| &nbsp;&nbsp;&nbsp;2.00%, 12/01/28 | 32 | 30595 |
| &nbsp;&nbsp;&nbsp;2.00%, 01/01/30 | 130 | 122803 |
| &nbsp;&nbsp;&nbsp;2.00%, 06/01/36 | 1022 | 918157 |
| &nbsp;&nbsp;&nbsp;2.00%, 05/01/37 | 1786 | 1605817 |
| &nbsp;&nbsp;&nbsp;2.00%, 12/01/50 | 16038 | 13249910 |
| &nbsp;&nbsp;&nbsp;2.00%, 11/01/51 | 27439 | 22602337 |
| &nbsp;&nbsp;&nbsp;2.00%, 02/01/52 | 11869 | 9777076 |
| &nbsp;&nbsp;&nbsp;2.00%, 04/01/52 | 1186 | 976696 |
| &nbsp;&nbsp;&nbsp;&nbsp;2.03%, 11/01/40, (12 mo. LIBOR US + 1.775%)<sup>(a)</sup> | 8 | 7438 |
| &nbsp;&nbsp;&nbsp;&nbsp;2.38%, 12/01/33, (12 mo. LIBOR US + 2.250%)<sup>(a)</sup> | 45 | 45171 |
| &nbsp;&nbsp;&nbsp;&nbsp;2.39%, 08/01/43, (12 mo. LIBOR US + 1.600%)<sup>(a)</sup> | 34 | 34125 |
| &nbsp;&nbsp;&nbsp;&nbsp;2.45%, 05/01/43, (12 mo. LIBOR US + 1.650%)<sup>(a)</sup> | 170 | 172212 |
| &nbsp;&nbsp;&nbsp;2.50%, 12/01/25 | 189 | 181888 |
| &nbsp;&nbsp;&nbsp;2.50%, 03/01/27 | 25 | 23786 |
| &nbsp;&nbsp;&nbsp;2.50%, 06/01/27 | 29 | 27566 |
| &nbsp;&nbsp;&nbsp;2.50%, 07/01/27 | 254 | 243542 |
| &nbsp;&nbsp;&nbsp;2.50%, 08/01/27 | 488 | 468743 |
| &nbsp;&nbsp;&nbsp;2.50%, 09/01/27 | 578 | 554936 |
| &nbsp;&nbsp;&nbsp;2.50%, 11/01/27 | 257 | 246557 |
| &nbsp;&nbsp;&nbsp;2.50%, 12/01/27 | 5 | 4617 |
| &nbsp;&nbsp;&nbsp;2.50%, 01/01/28 | 8 | 7629 |
| &nbsp;&nbsp;&nbsp;2.50%, 02/01/28 | 3808 | 3657501 |
| &nbsp;&nbsp;&nbsp;2.50%, 03/01/28 | 530 | 508841 |
| &nbsp;&nbsp;&nbsp;2.50%, 04/01/28 | 379 | 363478 |
| &nbsp;&nbsp;&nbsp;2.50%, 05/01/28 | 75 | 72349 |
| &nbsp;&nbsp;&nbsp;2.50%, 06/01/28 | 114 | 108494 |
| &nbsp;&nbsp;&nbsp;2.50%, 07/01/28 | 317 | 303946 |
| &nbsp;&nbsp;&nbsp;2.50%, 09/01/28 | 87 | 83310 |
| &nbsp;&nbsp;&nbsp;2.50%, 07/01/29 | 1547 | 1480732 |
| &nbsp;&nbsp;&nbsp;2.50%, 08/01/29 | 138 | 131250 |
| &nbsp;&nbsp;&nbsp;2.50%, 10/01/29 | 178 | 169873 |
| &nbsp;&nbsp;&nbsp;2.50%, 12/01/29 | 1050 | 999679 |
| &nbsp;&nbsp;&nbsp;2.50%, 01/01/30 | 6338 | 6084811 |
| &nbsp;&nbsp;&nbsp;2.50%, 02/01/30 | 728 | 692778 |
| &nbsp;&nbsp;&nbsp;2.50%, 03/01/30 | 3171 | 3007560 |
| &nbsp;&nbsp;&nbsp;2.50%, 04/01/30 | 3983 | 3777799 |
| &nbsp;&nbsp;&nbsp;2.50%, 05/01/30 | 4071 | 3861669 |
| &nbsp;&nbsp;&nbsp;2.50%, 06/01/30 | 10686 | 10135136 |
| &nbsp;&nbsp;&nbsp;2.50%, 07/01/30 | 856 | 811948 |
| &nbsp;&nbsp;&nbsp;2.50%, 08/01/30 | 399 | 378634 |
| &nbsp;&nbsp;&nbsp;2.50%, 09/01/30 | 333 | 316048 |
| &nbsp;&nbsp;&nbsp;2.50%, 10/01/30 | 7 | 6846 |
| &nbsp;&nbsp;&nbsp;2.50%, 12/01/30 | 12 | 11719 |
| &nbsp;&nbsp;&nbsp;2.50%, 01/01/31 | 42 | 39360 |
| &nbsp;&nbsp;&nbsp;2.50%, 04/01/31 | 4 | 3943 |
| &nbsp;&nbsp;&nbsp;2.50%, 06/01/31 | 858 | 808545 |
| &nbsp;&nbsp;&nbsp;2.50%, 08/01/31 | 1238 | 1166697 |
| &nbsp;&nbsp;&nbsp;2.50%, 09/01/31 | 966 | 910435 |
| &nbsp;&nbsp;&nbsp;2.50%, 10/01/31 | 4919 | 4636577 |
| &nbsp;&nbsp;&nbsp;2.50%, 11/01/31 | 5499 | 5181619 |
| &nbsp;&nbsp;&nbsp;2.50%, 12/01/31 | 13935 | 13132563 |
| &nbsp;&nbsp;&nbsp;2.50%, 01/01/32 | 17934 | 16901640 |
| &nbsp;&nbsp;&nbsp;2.50%, 02/01/32 | 10821 | 10198294 |
| &nbsp;&nbsp;&nbsp;2.50%, 07/01/32 | 1456 | 1370643 |

---

---

| | | |
|:---|:---|:---|
| *Security* | *Par<br> (000)* | *Value* |
| **Mortgage-Backed Securities (continued)** |  |  |
| &nbsp;&nbsp;&nbsp;2.50%, 08/01/32 | $1419 | $1336037 |
| &nbsp;&nbsp;&nbsp;2.50%, 09/01/32 | 6931 | 6541043 |
| &nbsp;&nbsp;&nbsp;2.50%, 10/01/32 | 1276 | 1201337 |
| &nbsp;&nbsp;&nbsp;2.50%, 11/01/32 | 12026 | 11320419 |
| &nbsp;&nbsp;&nbsp;2.50%, 12/01/32 | 667 | 627083 |
| &nbsp;&nbsp;&nbsp;2.50%, 01/01/33 | 6670 | 6279279 |
| &nbsp;&nbsp;&nbsp;2.50%, 02/01/33 | 990 | 932041 |
| &nbsp;&nbsp;&nbsp;2.50%, 04/01/33 | 1168 | 1095584 |
| &nbsp;&nbsp;&nbsp;2.50%, 08/01/33 | 473 | 432393 |
| &nbsp;&nbsp;&nbsp;2.50%, 06/01/34 | 443 | 410587 |
| &nbsp;&nbsp;&nbsp;2.50%, 09/01/34 | 599 | 554902 |
| &nbsp;&nbsp;&nbsp;2.50%, 08/01/36 | 3183 | 2942242 |
| &nbsp;&nbsp;&nbsp;2.50%, 07/01/37 | 14202 | 13105468 |
| &nbsp;&nbsp;&nbsp;2.50%, 09/01/37 | 4865 | 4489488 |
| &nbsp;&nbsp;&nbsp;2.50%, 01/01/43 | 61 | 53991 |
| &nbsp;&nbsp;&nbsp;2.50%, 02/01/43 | 681 | 603757 |
| &nbsp;&nbsp;&nbsp;2.50%, 03/01/43 | 95 | 83813 |
| &nbsp;&nbsp;&nbsp;2.50%, 04/01/43 | 369 | 326485 |
| &nbsp;&nbsp;&nbsp;2.50%, 06/01/43 | 286 | 253484 |
| &nbsp;&nbsp;&nbsp;2.50%, 07/01/43 | 1191 | 1055966 |
| &nbsp;&nbsp;&nbsp;2.50%, 08/01/43 | 122 | 107857 |
| &nbsp;&nbsp;&nbsp;2.50%, 04/01/45 | 97 | 84561 |
| &nbsp;&nbsp;&nbsp;2.50%, 07/01/45 | 17 | 14848 |
| &nbsp;&nbsp;&nbsp;2.50%, 01/01/46 | 122 | 106952 |
| &nbsp;&nbsp;&nbsp;2.50%, 11/01/46 | 69 | 60370 |
| &nbsp;&nbsp;&nbsp;2.50%, 12/01/46 | 935 | 818383 |
| &nbsp;&nbsp;&nbsp;2.50%, 01/01/47 | 975 | 853200 |
| &nbsp;&nbsp;&nbsp;2.50%, 02/01/47 | 19 | 16203 |
| &nbsp;&nbsp;&nbsp;2.50%, 03/01/47 | 2046 | 1789949 |
| &nbsp;&nbsp;&nbsp;2.50%, 04/01/51 | 2462 | 2113995 |
| &nbsp;&nbsp;&nbsp;2.50%, 06/01/51 | 1008 | 864894 |
| &nbsp;&nbsp;&nbsp;2.50%, 08/01/51 | 3423 | 2935235 |
| &nbsp;&nbsp;&nbsp;2.50%, 09/01/51 | 4479 | 3829500 |
| &nbsp;&nbsp;&nbsp;2.50%, 10/01/51 | 5235 | 4468854 |
| &nbsp;&nbsp;&nbsp;2.50%, 12/01/51 | 48956 | 41970861 |
| &nbsp;&nbsp;&nbsp;2.50%, 01/01/52 | 708 | 606944 |
| &nbsp;&nbsp;&nbsp;2.50%, 02/01/52 | 8219 | 7040440 |
| &nbsp;&nbsp;&nbsp;&nbsp;2.89%, 12/01/38, (12 mo. LIBOR US + 1.760%)<sup>(a)</sup> | 287 | 283870 |
| &nbsp;&nbsp;&nbsp;&nbsp;2.94%, 05/01/42, (12 mo. LIBOR US + 1.804%)<sup>(a)</sup> | 337 | 335037 |
| &nbsp;&nbsp;&nbsp;3.00%, 12/01/22 | 0 <sup>(b)</sup> | 28 |
| &nbsp;&nbsp;&nbsp;3.00%, 02/01/23 | 2 | 1793 |
| &nbsp;&nbsp;&nbsp;3.00%, 12/01/25 | 6 | 5843 |
| &nbsp;&nbsp;&nbsp;3.00%, 01/01/26 | 12 | 11620 |
| &nbsp;&nbsp;&nbsp;3.00%, 10/01/26 | 169 | 163443 |
| &nbsp;&nbsp;&nbsp;3.00%, 11/01/26 | 203 | 195547 |
| &nbsp;&nbsp;&nbsp;3.00%, 12/01/26 | 140 | 135347 |
| &nbsp;&nbsp;&nbsp;3.00%, 01/01/27 | 10 | 9403 |
| &nbsp;&nbsp;&nbsp;3.00%, 02/01/27 | 470 | 453798 |
| &nbsp;&nbsp;&nbsp;3.00%, 03/01/27 | 7 | 7076 |
| &nbsp;&nbsp;&nbsp;3.00%, 04/01/27 | 588 | 570122 |
| &nbsp;&nbsp;&nbsp;3.00%, 05/01/27 | 2565 | 2489720 |
| &nbsp;&nbsp;&nbsp;3.00%, 06/01/27 | 926 | 898373 |
| &nbsp;&nbsp;&nbsp;3.00%, 07/01/27 | 79 | 76215 |
| &nbsp;&nbsp;&nbsp;3.00%, 08/01/27 | 248 | 241527 |
| &nbsp;&nbsp;&nbsp;3.00%, 09/01/27 | 2816 | 2734356 |
| &nbsp;&nbsp;&nbsp;3.00%, 11/01/27 | 473 | 459447 |
| &nbsp;&nbsp;&nbsp;3.00%, 12/01/27 | 253 | 246388 |
| &nbsp;&nbsp;&nbsp;3.00%, 01/01/28 | 69 | 67238 |
| &nbsp;&nbsp;&nbsp;3.00%, 04/01/28 | 29 | 27663 |
| &nbsp;&nbsp;&nbsp;3.00%, 05/01/28 | 247 | 239558 |

---

---

| | |
|:---|:---|
| Schedule of Investments (unaudited) (continued) | **iShares<sup>®</sup> MBS ETF** |
| November 30, 2022 | **(Percentages shown are based on Net Assets)** |

---

---

| | | |
|:---|:---|:---|
| *Security* | *Par<br> (000)* | *Value* |
| **Mortgage-Backed Securities (continued)** |  |  |
| &nbsp;&nbsp;&nbsp;3.00%, 06/01/28 | $712 | $691034 |
| &nbsp;&nbsp;&nbsp;3.00%, 07/01/28 | 10 | 9374 |
| &nbsp;&nbsp;&nbsp;3.00%, 09/01/28 | 1739 | 1688355 |
| &nbsp;&nbsp;&nbsp;3.00%, 10/01/28 | 358 | 348527 |
| &nbsp;&nbsp;&nbsp;3.00%, 11/01/28 | 62 | 60454 |
| &nbsp;&nbsp;&nbsp;3.00%, 01/01/29 | 264 | 255951 |
| &nbsp;&nbsp;&nbsp;3.00%, 04/01/29 | 2835 | 2724796 |
| &nbsp;&nbsp;&nbsp;3.00%, 05/01/29 | 4196 | 4033429 |
| &nbsp;&nbsp;&nbsp;3.00%, 06/01/29 | 305 | 293015 |
| &nbsp;&nbsp;&nbsp;3.00%, 07/01/29 | 421 | 404979 |
| &nbsp;&nbsp;&nbsp;3.00%, 09/01/29 | 40 | 38238 |
| &nbsp;&nbsp;&nbsp;3.00%, 10/01/29 | 117 | 112138 |
| &nbsp;&nbsp;&nbsp;3.00%, 11/01/29 | 926 | 891042 |
| &nbsp;&nbsp;&nbsp;3.00%, 12/01/29 | 1165 | 1119984 |
| &nbsp;&nbsp;&nbsp;3.00%, 01/01/30 | 180 | 173306 |
| &nbsp;&nbsp;&nbsp;3.00%, 02/01/30 | 2019 | 1941256 |
| &nbsp;&nbsp;&nbsp;3.00%, 03/01/30 | 294 | 282062 |
| &nbsp;&nbsp;&nbsp;3.00%, 05/01/30 | 2214 | 2122580 |
| &nbsp;&nbsp;&nbsp;3.00%, 06/01/30 | 3014 | 2894143 |
| &nbsp;&nbsp;&nbsp;3.00%, 07/01/30 | 1680 | 1610530 |
| &nbsp;&nbsp;&nbsp;3.00%, 08/01/30 | 334 | 319885 |
| &nbsp;&nbsp;&nbsp;3.00%, 09/01/30 | 2153 | 2062561 |
| &nbsp;&nbsp;&nbsp;3.00%, 10/01/30 | 501 | 480258 |
| &nbsp;&nbsp;&nbsp;3.00%, 11/01/30 | 804 | 770999 |
| &nbsp;&nbsp;&nbsp;3.00%, 12/01/30 | 528 | 506122 |
| &nbsp;&nbsp;&nbsp;3.00%, 01/01/31 | 1072 | 1027028 |
| &nbsp;&nbsp;&nbsp;3.00%, 02/01/31 | 3574 | 3410229 |
| &nbsp;&nbsp;&nbsp;3.00%, 03/01/31 | 2087 | 1991392 |
| &nbsp;&nbsp;&nbsp;3.00%, 05/01/31 | 5319 | 5074948 |
| &nbsp;&nbsp;&nbsp;3.00%, 06/01/31 | 4620 | 4408685 |
| &nbsp;&nbsp;&nbsp;3.00%, 07/01/31 | 392 | 373893 |
| &nbsp;&nbsp;&nbsp;3.00%, 09/01/31 | 1030 | 982857 |
| &nbsp;&nbsp;&nbsp;3.00%, 10/01/31 | 157 | 150136 |
| &nbsp;&nbsp;&nbsp;3.00%, 12/01/31 | 567 | 541061 |
| &nbsp;&nbsp;&nbsp;3.00%, 01/01/32 | 1780 | 1698558 |
| &nbsp;&nbsp;&nbsp;3.00%, 02/01/32 | 513 | 489272 |
| &nbsp;&nbsp;&nbsp;3.00%, 03/01/32 | 3875 | 3696128 |
| &nbsp;&nbsp;&nbsp;3.00%, 07/01/32 | 311 | 296406 |
| &nbsp;&nbsp;&nbsp;3.00%, 08/01/32 | 1089 | 1037619 |
| &nbsp;&nbsp;&nbsp;3.00%, 09/01/32 | 2556 | 2436627 |
| &nbsp;&nbsp;&nbsp;3.00%, 10/01/32 | 419 | 399595 |
| &nbsp;&nbsp;&nbsp;3.00%, 11/01/32 | 5559 | 5298426 |
| &nbsp;&nbsp;&nbsp;3.00%, 12/01/32 | 4977 | 4719007 |
| &nbsp;&nbsp;&nbsp;3.00%, 01/01/33 | 3732 | 3557731 |
| &nbsp;&nbsp;&nbsp;3.00%, 02/01/33 | 3347 | 3154058 |
| &nbsp;&nbsp;&nbsp;3.00%, 03/01/33 | 65 | 62028 |
| &nbsp;&nbsp;&nbsp;3.00%, 05/01/33 | 8383 | 7973084 |
| &nbsp;&nbsp;&nbsp;3.00%, 07/01/33 | 1589 | 1514137 |
| &nbsp;&nbsp;&nbsp;3.00%, 08/01/33 | 503 | 479114 |
| &nbsp;&nbsp;&nbsp;3.00%, 11/01/33 | 394 | 375302 |
| &nbsp;&nbsp;&nbsp;3.00%, 01/01/35 | 725 | 685939 |
| &nbsp;&nbsp;&nbsp;3.00%, 07/01/35 | 1099 | 1040010 |
| &nbsp;&nbsp;&nbsp;3.00%, 09/01/37 | 4862 | 4569506 |
| &nbsp;&nbsp;&nbsp;3.00%, 11/01/37 | 32041 | 30115237 |
| &nbsp;&nbsp;&nbsp;3.00%, 03/01/42 | 20 | 18528 |
| &nbsp;&nbsp;&nbsp;3.00%, 08/01/42 | 6 | 5872 |
| &nbsp;&nbsp;&nbsp;3.00%, 10/01/42 | 657 | 600570 |
| &nbsp;&nbsp;&nbsp;3.00%, 11/01/42 | 13941 | 12746663 |
| &nbsp;&nbsp;&nbsp;3.00%, 12/01/42 | 45 | 41171 |
| &nbsp;&nbsp;&nbsp;3.00%, 01/01/43 | 4798 | 4385756 |

---

---

| | | |
|:---|:---|:---|
| *Security* | *Par<br> (000)* | *Value* |
| **Mortgage-Backed Securities (continued)** |  |  |
| &nbsp;&nbsp;&nbsp;3.00%, 02/01/43 | $3505 | $3204551 |
| &nbsp;&nbsp;&nbsp;3.00%, 03/01/43 | 1093 | 998972 |
| &nbsp;&nbsp;&nbsp;3.00%, 04/01/43 | 659 | 602087 |
| &nbsp;&nbsp;&nbsp;3.00%, 05/01/43 | 1636 | 1494844 |
| &nbsp;&nbsp;&nbsp;3.00%, 06/01/43 | 940 | 859771 |
| &nbsp;&nbsp;&nbsp;3.00%, 07/01/43 | 1946 | 1778825 |
| &nbsp;&nbsp;&nbsp;3.00%, 08/01/43 | 948 | 866734 |
| &nbsp;&nbsp;&nbsp;3.00%, 09/01/43 | 2334 | 2133884 |
| &nbsp;&nbsp;&nbsp;3.00%, 10/01/43 | 1085 | 992165 |
| &nbsp;&nbsp;&nbsp;3.00%, 04/01/44 | 46 | 41859 |
| &nbsp;&nbsp;&nbsp;3.00%, 01/01/45 | 7 | 6661 |
| &nbsp;&nbsp;&nbsp;3.00%, 02/01/45 | 1545 | 1412145 |
| &nbsp;&nbsp;&nbsp;3.00%, 03/01/45 | 222 | 201577 |
| &nbsp;&nbsp;&nbsp;3.00%, 04/01/45 | 23594 | 21358192 |
| &nbsp;&nbsp;&nbsp;3.00%, 05/01/45 | 7287 | 6622866 |
| &nbsp;&nbsp;&nbsp;3.00%, 06/01/45 | 848 | 768375 |
| &nbsp;&nbsp;&nbsp;3.00%, 07/01/45 | 2524 | 2285219 |
| &nbsp;&nbsp;&nbsp;3.00%, 08/01/45 | 645 | 587224 |
| &nbsp;&nbsp;&nbsp;3.00%, 10/01/45 | 164 | 148818 |
| &nbsp;&nbsp;&nbsp;3.00%, 11/01/45 | 596 | 543365 |
| &nbsp;&nbsp;&nbsp;3.00%, 12/01/45 | 5693 | 5153296 |
| &nbsp;&nbsp;&nbsp;3.00%, 01/01/46 | 1679 | 1520188 |
| &nbsp;&nbsp;&nbsp;3.00%, 02/01/46 | 117 | 105196 |
| &nbsp;&nbsp;&nbsp;3.00%, 03/01/46 | 18978 | 17167841 |
| &nbsp;&nbsp;&nbsp;3.00%, 04/01/46 | 466 | 421560 |
| &nbsp;&nbsp;&nbsp;3.00%, 05/01/46 | 492 | 445329 |
| &nbsp;&nbsp;&nbsp;3.00%, 06/01/46 | 926 | 845375 |
| &nbsp;&nbsp;&nbsp;3.00%, 07/01/46 | 681 | 615975 |
| &nbsp;&nbsp;&nbsp;3.00%, 08/01/46 | 14676 | 13311842 |
| &nbsp;&nbsp;&nbsp;3.00%, 09/01/46 | 11734 | 10678607 |
| &nbsp;&nbsp;&nbsp;3.00%, 10/01/46 | 27435 | 24831107 |
| &nbsp;&nbsp;&nbsp;3.00%, 11/01/46 | 28325 | 25626457 |
| &nbsp;&nbsp;&nbsp;3.00%, 12/01/46 | 46744 | 42349501 |
| &nbsp;&nbsp;&nbsp;3.00%, 01/01/47 | 11040 | 10006543 |
| &nbsp;&nbsp;&nbsp;3.00%, 02/01/47 | 53032 | 48195838 |
| &nbsp;&nbsp;&nbsp;3.00%, 03/01/47 | 933 | 844199 |
| &nbsp;&nbsp;&nbsp;3.00%, 04/01/47 | 1291 | 1168148 |
| &nbsp;&nbsp;&nbsp;3.00%, 05/01/47 | 16018 | 14598865 |
| &nbsp;&nbsp;&nbsp;3.00%, 06/01/47 | 13940 | 12610002 |
| &nbsp;&nbsp;&nbsp;3.00%, 07/01/47 | 13333 | 12063019 |
| &nbsp;&nbsp;&nbsp;3.00%, 08/01/47 | 2390 | 2162294 |
| &nbsp;&nbsp;&nbsp;3.00%, 10/01/47 | 4236 | 3832076 |
| &nbsp;&nbsp;&nbsp;3.00%, 11/01/47 | 443 | 402428 |
| &nbsp;&nbsp;&nbsp;3.00%, 12/01/47 | 735 | 674301 |
| &nbsp;&nbsp;&nbsp;3.00%, 01/01/48 | 2728 | 2479912 |
| &nbsp;&nbsp;&nbsp;3.00%, 02/01/48 | 958 | 872653 |
| &nbsp;&nbsp;&nbsp;3.00%, 07/01/48 | 356 | 318582 |
| &nbsp;&nbsp;&nbsp;3.00%, 10/01/48 | 417 | 373246 |
| &nbsp;&nbsp;&nbsp;3.00%, 11/01/48 | 731 | 654506 |
| &nbsp;&nbsp;&nbsp;3.00%, 01/01/52 | 4646 | 4119648 |
| &nbsp;&nbsp;&nbsp;&nbsp;3.20%, 01/01/42, (12 mo. LIBOR US + 1.900%)<sup>(a)</sup> | 230 | 226827 |
| &nbsp;&nbsp;&nbsp;&nbsp;3.25%, 06/01/43, (12 mo. LIBOR US + 1.495%)<sup>(a)</sup> | 12 | 12158 |
| &nbsp;&nbsp;&nbsp;3.50%, 08/01/23 | 0 <sup>(b)</sup> | 444 |
| &nbsp;&nbsp;&nbsp;3.50%, 10/01/23 | 10 | 8991 |
| &nbsp;&nbsp;&nbsp;3.50%, 11/01/23 | 1 | 1110 |
| &nbsp;&nbsp;&nbsp;3.50%, 10/01/25 | 60 | 58131 |
| &nbsp;&nbsp;&nbsp;3.50%, 11/01/25 | 2092 | 2044695 |
| &nbsp;&nbsp;&nbsp;3.50%, 12/01/25 | 18 | 17117 |
| &nbsp;&nbsp;&nbsp;3.50%, 01/01/26 | 66 | 64788 |
| &nbsp;&nbsp;&nbsp;3.50%, 02/01/26 | 214 | 208948 |

---

---

| | |
|:---|:---|
| Schedule of Investments (unaudited) (continued) | **iShares<sup>®</sup> MBS ETF** |
| November 30, 2022 | **(Percentages shown are based on Net Assets)** |

---

---

| | | |
|:---|:---|:---|
| *Security* | *Par<br> (000)* | *Value* |
| **Mortgage-Backed Securities (continued)** |  |  |
| &nbsp;&nbsp;&nbsp;3.50%, 03/01/26 | $516 | $503278 |
| &nbsp;&nbsp;&nbsp;3.50%, 04/01/26 | 58 | 56951 |
| &nbsp;&nbsp;&nbsp;3.50%, 05/01/26 | 25 | 24215 |
| &nbsp;&nbsp;&nbsp;3.50%, 06/01/26 | 185 | 179495 |
| &nbsp;&nbsp;&nbsp;3.50%, 07/01/26 | 207 | 200558 |
| &nbsp;&nbsp;&nbsp;3.50%, 08/01/26 | 338 | 328612 |
| &nbsp;&nbsp;&nbsp;3.50%, 09/01/26 | 8 | 7959 |
| &nbsp;&nbsp;&nbsp;3.50%, 10/01/26 | 641 | 625024 |
| &nbsp;&nbsp;&nbsp;3.50%, 01/01/27 | 24 | 23134 |
| &nbsp;&nbsp;&nbsp;3.50%, 02/01/27 | 2 | 1961 |
| &nbsp;&nbsp;&nbsp;3.50%, 03/01/27 | 134 | 134052 |
| &nbsp;&nbsp;&nbsp;3.50%, 04/01/27 | 16 | 16210 |
| &nbsp;&nbsp;&nbsp;3.50%, 01/01/28 | 272 | 263504 |
| &nbsp;&nbsp;&nbsp;3.50%, 12/01/28 | 58 | 56648 |
| &nbsp;&nbsp;&nbsp;3.50%, 02/01/29 | 17 | 16277 |
| &nbsp;&nbsp;&nbsp;3.50%, 03/01/29 | 11 | 10959 |
| &nbsp;&nbsp;&nbsp;3.50%, 06/01/29 | 1135 | 1110277 |
| &nbsp;&nbsp;&nbsp;3.50%, 07/01/29 | 110 | 107931 |
| &nbsp;&nbsp;&nbsp;3.50%, 08/01/29 | 168 | 164188 |
| &nbsp;&nbsp;&nbsp;3.50%, 09/01/29 | 26 | 25408 |
| &nbsp;&nbsp;&nbsp;3.50%, 10/01/29 | 911 | 891963 |
| &nbsp;&nbsp;&nbsp;3.50%, 11/01/29 | 12 | 11500 |
| &nbsp;&nbsp;&nbsp;3.50%, 01/01/30 | 15 | 14520 |
| &nbsp;&nbsp;&nbsp;3.50%, 06/01/30 | 152 | 148674 |
| &nbsp;&nbsp;&nbsp;3.50%, 09/01/30 | 18 | 17394 |
| &nbsp;&nbsp;&nbsp;3.50%, 05/01/31 | 2128 | 2081524 |
| &nbsp;&nbsp;&nbsp;3.50%, 01/01/32 | 1126 | 1098155 |
| &nbsp;&nbsp;&nbsp;3.50%, 03/01/32 | 152 | 147827 |
| &nbsp;&nbsp;&nbsp;3.50%, 04/01/32 | 1889 | 1838500 |
| &nbsp;&nbsp;&nbsp;3.50%, 05/01/32 | 1710 | 1664541 |
| &nbsp;&nbsp;&nbsp;3.50%, 06/01/32 | 1516 | 1475327 |
| &nbsp;&nbsp;&nbsp;3.50%, 07/01/32 | 1853 | 1802850 |
| &nbsp;&nbsp;&nbsp;3.50%, 09/01/32 | 1194 | 1161886 |
| &nbsp;&nbsp;&nbsp;3.50%, 01/01/33 | 815 | 793078 |
| &nbsp;&nbsp;&nbsp;3.50%, 02/01/33 | 431 | 418943 |
| &nbsp;&nbsp;&nbsp;3.50%, 03/01/33 | 1664 | 1617262 |
| &nbsp;&nbsp;&nbsp;3.50%, 06/01/33 | 1338 | 1299999 |
| &nbsp;&nbsp;&nbsp;3.50%, 07/01/33 | 827 | 803463 |
| &nbsp;&nbsp;&nbsp;3.50%, 09/01/33 | 753 | 731945 |
| &nbsp;&nbsp;&nbsp;3.50%, 12/01/34 | 903 | 874727 |
| &nbsp;&nbsp;&nbsp;3.50%, 02/01/35 | 1269 | 1229287 |
| &nbsp;&nbsp;&nbsp;3.50%, 05/01/35 | 7430 | 7182462 |
| &nbsp;&nbsp;&nbsp;3.50%, 06/01/37 | 828 | 795355 |
| &nbsp;&nbsp;&nbsp;3.50%, 03/01/38 | 5912 | 5690425 |
| &nbsp;&nbsp;&nbsp;3.50%, 06/01/38 | 6094 | 5868732 |
| &nbsp;&nbsp;&nbsp;3.50%, 02/01/41 | 11 | 10800 |
| &nbsp;&nbsp;&nbsp;3.50%, 10/01/41 | 15 | 13677 |
| &nbsp;&nbsp;&nbsp;3.50%, 11/01/41 | 45 | 42796 |
| &nbsp;&nbsp;&nbsp;3.50%, 01/01/42 | 154 | 145501 |
| &nbsp;&nbsp;&nbsp;3.50%, 02/01/42 | 236 | 223416 |
| &nbsp;&nbsp;&nbsp;3.50%, 03/01/42 | 1901 | 1793780 |
| &nbsp;&nbsp;&nbsp;3.50%, 04/01/42 | 1723 | 1626342 |
| &nbsp;&nbsp;&nbsp;3.50%, 05/01/42 | 1212 | 1144546 |
| &nbsp;&nbsp;&nbsp;3.50%, 06/01/42 | 547 | 515713 |
| &nbsp;&nbsp;&nbsp;3.50%, 08/01/42 | 57 | 53418 |
| &nbsp;&nbsp;&nbsp;3.50%, 09/01/42 | 4407 | 4158761 |
| &nbsp;&nbsp;&nbsp;3.50%, 10/01/42 | 1460 | 1377943 |
| &nbsp;&nbsp;&nbsp;3.50%, 11/01/42 | 876 | 826425 |
| &nbsp;&nbsp;&nbsp;3.50%, 01/01/43 | 1039 | 980462 |
| &nbsp;&nbsp;&nbsp;3.50%, 02/01/43 | 1000 | 944359 |

---

---

| | | |
|:---|:---|:---|
| *Security* | *Par<br> (000)* | *Value* |
| **Mortgage-Backed Securities (continued)** |  |  |
| &nbsp;&nbsp;&nbsp;3.50%, 04/01/43 | $22 | $20553 |
| &nbsp;&nbsp;&nbsp;3.50%, 06/01/43 | 2911 | 2749495 |
| &nbsp;&nbsp;&nbsp;3.50%, 07/01/43 | 2951 | 2784233 |
| &nbsp;&nbsp;&nbsp;3.50%, 08/01/43 | 15 | 14082 |
| &nbsp;&nbsp;&nbsp;3.50%, 09/01/43 | 15 | 14583 |
| &nbsp;&nbsp;&nbsp;3.50%, 01/01/44 | 202 | 190466 |
| &nbsp;&nbsp;&nbsp;3.50%, 08/01/44 | 438 | 411787 |
| &nbsp;&nbsp;&nbsp;3.50%, 09/01/44 | 1560 | 1471503 |
| &nbsp;&nbsp;&nbsp;3.50%, 10/01/44 | 9153 | 8592125 |
| &nbsp;&nbsp;&nbsp;3.50%, 11/01/44 | 524 | 491813 |
| &nbsp;&nbsp;&nbsp;3.50%, 12/01/44 | 5115 | 4800772 |
| &nbsp;&nbsp;&nbsp;3.50%, 02/01/45 | 1121 | 1060605 |
| &nbsp;&nbsp;&nbsp;3.50%, 03/01/45 | 4600 | 4335279 |
| &nbsp;&nbsp;&nbsp;3.50%, 04/01/45 | 3 | 3104 |
| &nbsp;&nbsp;&nbsp;3.50%, 05/01/45 | 50 | 46289 |
| &nbsp;&nbsp;&nbsp;3.50%, 06/01/45 | 592 | 557337 |
| &nbsp;&nbsp;&nbsp;3.50%, 08/01/45 | 13035 | 12275521 |
| &nbsp;&nbsp;&nbsp;3.50%, 09/01/45 | 7 | 6761 |
| &nbsp;&nbsp;&nbsp;3.50%, 11/01/45 | 361 | 337737 |
| &nbsp;&nbsp;&nbsp;3.50%, 12/01/45 | 6659 | 6222162 |
| &nbsp;&nbsp;&nbsp;3.50%, 01/01/46 | 6059 | 5669757 |
| &nbsp;&nbsp;&nbsp;3.50%, 03/01/46 | 6343 | 5918801 |
| &nbsp;&nbsp;&nbsp;3.50%, 04/01/46 | 1945 | 1813866 |
| &nbsp;&nbsp;&nbsp;3.50%, 05/01/46 | 22277 | 20825112 |
| &nbsp;&nbsp;&nbsp;3.50%, 06/01/46 | 6268 | 5934040 |
| &nbsp;&nbsp;&nbsp;3.50%, 07/01/46 | 5803 | 5414861 |
| &nbsp;&nbsp;&nbsp;3.50%, 08/01/46 | 4961 | 4634144 |
| &nbsp;&nbsp;&nbsp;3.50%, 09/01/46 | 6287 | 5896552 |
| &nbsp;&nbsp;&nbsp;3.50%, 10/01/46 | 570 | 532203 |
| &nbsp;&nbsp;&nbsp;3.50%, 11/01/46 | 1101 | 1027248 |
| &nbsp;&nbsp;&nbsp;3.50%, 12/01/46 | 7037 | 6590305 |
| &nbsp;&nbsp;&nbsp;3.50%, 01/01/47 | 1829 | 1706739 |
| &nbsp;&nbsp;&nbsp;3.50%, 02/01/47 | 6191 | 5794422 |
| &nbsp;&nbsp;&nbsp;3.50%, 03/01/47 | 7762 | 7242424 |
| &nbsp;&nbsp;&nbsp;3.50%, 04/01/47 | 2899 | 2709120 |
| &nbsp;&nbsp;&nbsp;3.50%, 05/01/47 | 5345 | 5002248 |
| &nbsp;&nbsp;&nbsp;3.50%, 06/01/47 | 164 | 152884 |
| &nbsp;&nbsp;&nbsp;3.50%, 07/01/47 | 6484 | 6048373 |
| &nbsp;&nbsp;&nbsp;3.50%, 08/01/47 | 3551 | 3332439 |
| &nbsp;&nbsp;&nbsp;3.50%, 09/01/47 | 25707 | 24016974 |
| &nbsp;&nbsp;&nbsp;3.50%, 10/01/47 | 789 | 735907 |
| &nbsp;&nbsp;&nbsp;3.50%, 11/01/47 | 2101 | 1959589 |
| &nbsp;&nbsp;&nbsp;3.50%, 12/01/47 | 6768 | 6369104 |
| &nbsp;&nbsp;&nbsp;3.50%, 01/01/48 | 1264 | 1178771 |
| &nbsp;&nbsp;&nbsp;3.50%, 02/01/48 | 2748 | 2547858 |
| &nbsp;&nbsp;&nbsp;3.50%, 03/01/48 | 12726 | 11862624 |
| &nbsp;&nbsp;&nbsp;3.50%, 04/01/48 | 2605 | 2446344 |
| &nbsp;&nbsp;&nbsp;3.50%, 05/01/48 | 8835 | 8261393 |
| &nbsp;&nbsp;&nbsp;3.50%, 09/01/48 | 2870 | 2695783 |
| &nbsp;&nbsp;&nbsp;3.50%, 04/01/49 | 3081 | 2880900 |
| &nbsp;&nbsp;&nbsp;3.50%, 05/01/49 | 1100 | 1028732 |
| &nbsp;&nbsp;&nbsp;3.50%, 06/01/49 | 1228 | 1147930 |
| &nbsp;&nbsp;&nbsp;3.50%, 04/01/50 | 887 | 825043 |
| &nbsp;&nbsp;&nbsp;3.50%, 12/01/51 | 2409 | 2212509 |
| &nbsp;&nbsp;&nbsp;3.50%, 02/01/52 | 13914 | 12777928 |
| &nbsp;&nbsp;&nbsp;3.50%, 03/01/52 | 20591 | 18895787 |
| &nbsp;&nbsp;&nbsp;3.50%, 04/01/52 | 6559 | 6019557 |
| &nbsp;&nbsp;&nbsp;&nbsp;3.77%, 08/01/41, (12 mo. LIBOR US + 1.732%)<sup>(a)</sup> | 61 | 60535 |
| &nbsp;&nbsp;&nbsp;&nbsp;3.83%, 11/01/40, (12 mo. LIBOR US + 1.910%)<sup>(a)</sup> | 209 | 207489 |
| &nbsp;&nbsp;&nbsp;4.00%, 04/01/23 | 0 <sup>(b)</sup> | 12 |

---

---

| | |
|:---|:---|
| Schedule of Investments (unaudited) (continued) | **iShares<sup>®</sup> MBS ETF** |
| November 30, 2022 | **(Percentages shown are based on Net Assets)** |

---

---

| | | |
|:---|:---|:---|
| *Security* | *Par<br> (000)* | *Value* |
| **Mortgage-Backed Securities (continued)** |  |  |
| &nbsp;&nbsp;&nbsp;4.00%, 04/01/24 | $2 | $2197 |
| &nbsp;&nbsp;&nbsp;4.00%, 04/01/24 | 0 <sup>(b)</sup> | 129 |
| &nbsp;&nbsp;&nbsp;4.00%, 05/01/24 | 7 | 6782 |
| &nbsp;&nbsp;&nbsp;4.00%, 05/01/24 | 0 <sup>(b)</sup> | 217 |
| &nbsp;&nbsp;&nbsp;4.00%, 06/01/24 | 0 <sup>(b)</sup> | 444 |
| &nbsp;&nbsp;&nbsp;4.00%, 07/01/24 | 4 | 3755 |
| &nbsp;&nbsp;&nbsp;4.00%, 08/01/24 | 1 | 769 |
| &nbsp;&nbsp;&nbsp;4.00%, 09/01/24 | 4 | 3476 |
| &nbsp;&nbsp;&nbsp;4.00%, 11/01/24 | 5 | 4780 |
| &nbsp;&nbsp;&nbsp;4.00%, 12/01/24 | 7 | 6902 |
| &nbsp;&nbsp;&nbsp;4.00%, 01/01/25 | 4 | 4085 |
| &nbsp;&nbsp;&nbsp;4.00%, 02/01/25 | 9 | 8610 |
| &nbsp;&nbsp;&nbsp;4.00%, 02/01/25 | 0 <sup>(b)</sup> | 678 |
| &nbsp;&nbsp;&nbsp;4.00%, 03/01/25 | 5 | 4923 |
| &nbsp;&nbsp;&nbsp;4.00%, 03/01/25 | 0 <sup>(b)</sup> | 778 |
| &nbsp;&nbsp;&nbsp;4.00%, 04/01/25 | 9 | 9014 |
| &nbsp;&nbsp;&nbsp;4.00%, 05/01/25 | 332 | 325804 |
| &nbsp;&nbsp;&nbsp;4.00%, 06/01/25 | 10 | 9455 |
| &nbsp;&nbsp;&nbsp;4.00%, 06/01/25 | 0 <sup>(b)</sup> | 373 |
| &nbsp;&nbsp;&nbsp;4.00%, 07/01/25 | 10 | 9859 |
| &nbsp;&nbsp;&nbsp;4.00%, 07/01/25 | 0 <sup>(b)</sup> | 307 |
| &nbsp;&nbsp;&nbsp;4.00%, 08/01/25 | 24 | 23011 |
| &nbsp;&nbsp;&nbsp;4.00%, 09/01/25 | 0 <sup>(b)</sup> | 392 |
| &nbsp;&nbsp;&nbsp;4.00%, 10/01/25 | 277 | 271684 |
| &nbsp;&nbsp;&nbsp;4.00%, 02/01/26 | 291 | 286380 |
| &nbsp;&nbsp;&nbsp;4.00%, 03/01/26 | 1 | 674 |
| &nbsp;&nbsp;&nbsp;4.00%, 04/01/26 | 4 | 4292 |
| &nbsp;&nbsp;&nbsp;4.00%, 04/01/26 | 0 <sup>(b)</sup> | 347 |
| &nbsp;&nbsp;&nbsp;4.00%, 05/01/26 | 15 | 14397 |
| &nbsp;&nbsp;&nbsp;4.00%, 07/01/26 | 8 | 8024 |
| &nbsp;&nbsp;&nbsp;4.00%, 05/01/33 | 1072 | 1059529 |
| &nbsp;&nbsp;&nbsp;4.00%, 09/01/33 | 1 | 931 |
| &nbsp;&nbsp;&nbsp;4.00%, 11/01/33 | 21 | 20237 |
| &nbsp;&nbsp;&nbsp;4.00%, 01/01/34 | 187 | 185037 |
| &nbsp;&nbsp;&nbsp;4.00%, 06/01/34 | 821 | 811372 |
| &nbsp;&nbsp;&nbsp;4.00%, 11/01/34 | 542 | 533959 |
| &nbsp;&nbsp;&nbsp;4.00%, 09/01/37 | 7773 | 7610347 |
| &nbsp;&nbsp;&nbsp;4.00%, 07/01/38 | 2423 | 2383119 |
| &nbsp;&nbsp;&nbsp;4.00%, 04/01/39 | 15 | 14791 |
| &nbsp;&nbsp;&nbsp;4.00%, 06/01/39 | 29 | 28121 |
| &nbsp;&nbsp;&nbsp;4.00%, 07/01/39 | 69 | 66716 |
| &nbsp;&nbsp;&nbsp;4.00%, 08/01/39 | 9 | 8309 |
| &nbsp;&nbsp;&nbsp;4.00%, 09/01/39 | 10 | 10543 |
| &nbsp;&nbsp;&nbsp;4.00%, 10/01/39 | 78 | 75428 |
| &nbsp;&nbsp;&nbsp;4.00%, 11/01/39 | 15 | 14170 |
| &nbsp;&nbsp;&nbsp;4.00%, 12/01/39 | 25 | 24348 |
| &nbsp;&nbsp;&nbsp;4.00%, 01/01/40 | 48 | 46346 |
| &nbsp;&nbsp;&nbsp;4.00%, 02/01/40 | 9 | 8751 |
| &nbsp;&nbsp;&nbsp;4.00%, 03/01/40 | 4 | 3869 |
| &nbsp;&nbsp;&nbsp;4.00%, 05/01/40 | 20 | 19856 |
| &nbsp;&nbsp;&nbsp;4.00%, 06/01/40 | 6 | 5813 |
| &nbsp;&nbsp;&nbsp;4.00%, 09/01/40 | 9 | 9181 |
| &nbsp;&nbsp;&nbsp;4.00%, 10/01/40 | 110 | 107755 |
| &nbsp;&nbsp;&nbsp;4.00%, 12/01/40 | 912 | 887158 |
| &nbsp;&nbsp;&nbsp;4.00%, 01/01/41 | 227 | 220897 |
| &nbsp;&nbsp;&nbsp;4.00%, 02/01/41 | 239 | 233289 |
| &nbsp;&nbsp;&nbsp;4.00%, 04/01/41 | 42 | 40425 |
| &nbsp;&nbsp;&nbsp;4.00%, 06/01/41 | 35 | 34203 |
| &nbsp;&nbsp;&nbsp;4.00%, 07/01/41 | 22 | 21120 |
| &nbsp;&nbsp;&nbsp;&nbsp;4.00%, 07/01/41, (12 mo. LIBOR US + 1.890%)<sup>(a)</sup> | 21 | 20747 |

---

---

| | | |
|:---|:---|:---|
| *Security* | *Par<br> (000)* | *Value* |
| **Mortgage-Backed Securities (continued)** |  |  |
| &nbsp;&nbsp;&nbsp;4.00%, 08/01/41 | $39 | $38154 |
| &nbsp;&nbsp;&nbsp;4.00%, 09/01/41 | 3031 | 2947559 |
| &nbsp;&nbsp;&nbsp;4.00%, 10/01/41 | 112 | 107864 |
| &nbsp;&nbsp;&nbsp;4.00%, 11/01/41 | 361 | 353213 |
| &nbsp;&nbsp;&nbsp;4.00%, 12/01/41 | 76 | 73800 |
| &nbsp;&nbsp;&nbsp;4.00%, 01/01/42 | 32 | 31266 |
| &nbsp;&nbsp;&nbsp;4.00%, 02/01/42 | 5322 | 5175011 |
| &nbsp;&nbsp;&nbsp;4.00%, 03/01/42 | 49 | 47257 |
| &nbsp;&nbsp;&nbsp;4.00%, 05/01/42 | 156 | 151276 |
| &nbsp;&nbsp;&nbsp;4.00%, 07/01/42 | 405 | 395845 |
| &nbsp;&nbsp;&nbsp;4.00%, 08/01/42 | 1788 | 1736553 |
| &nbsp;&nbsp;&nbsp;4.00%, 04/01/43 | 2017 | 1958101 |
| &nbsp;&nbsp;&nbsp;4.00%, 08/01/43 | 258 | 250054 |
| &nbsp;&nbsp;&nbsp;4.00%, 10/01/43 | 182 | 177233 |
| &nbsp;&nbsp;&nbsp;4.00%, 11/01/43 | 4 | 3707 |
| &nbsp;&nbsp;&nbsp;4.00%, 12/01/43 | 831 | 807937 |
| &nbsp;&nbsp;&nbsp;4.00%, 01/01/44 | 59 | 57018 |
| &nbsp;&nbsp;&nbsp;4.00%, 02/01/44 | 933 | 906547 |
| &nbsp;&nbsp;&nbsp;4.00%, 03/01/44 | 23 | 22032 |
| &nbsp;&nbsp;&nbsp;4.00%, 04/01/44 | 520 | 505829 |
| &nbsp;&nbsp;&nbsp;4.00%, 05/01/44 | 497 | 482860 |
| &nbsp;&nbsp;&nbsp;4.00%, 06/01/44 | 1430 | 1387309 |
| &nbsp;&nbsp;&nbsp;4.00%, 07/01/44 | 2497 | 2425317 |
| &nbsp;&nbsp;&nbsp;4.00%, 08/01/44 | 26 | 24761 |
| &nbsp;&nbsp;&nbsp;4.00%, 09/01/44 | 580 | 562001 |
| &nbsp;&nbsp;&nbsp;4.00%, 10/01/44 | 364 | 353015 |
| &nbsp;&nbsp;&nbsp;4.00%, 11/01/44 | 308 | 299214 |
| &nbsp;&nbsp;&nbsp;4.00%, 12/01/44 | 929 | 901584 |
| &nbsp;&nbsp;&nbsp;4.00%, 01/01/45 | 1113 | 1079803 |
| &nbsp;&nbsp;&nbsp;4.00%, 02/01/45 | 6842 | 6643849 |
| &nbsp;&nbsp;&nbsp;4.00%, 04/01/45 | 5034 | 4918556 |
| &nbsp;&nbsp;&nbsp;4.00%, 06/01/45 | 14 | 13532 |
| &nbsp;&nbsp;&nbsp;4.00%, 07/01/45 | 1242 | 1201128 |
| &nbsp;&nbsp;&nbsp;4.00%, 08/01/45 | 21 | 20366 |
| &nbsp;&nbsp;&nbsp;4.00%, 09/01/45 | 2409 | 2331523 |
| &nbsp;&nbsp;&nbsp;4.00%, 10/01/45 | 968 | 936864 |
| &nbsp;&nbsp;&nbsp;4.00%, 11/01/45 | 836 | 809015 |
| &nbsp;&nbsp;&nbsp;4.00%, 12/01/45 | 550 | 532122 |
| &nbsp;&nbsp;&nbsp;4.00%, 01/01/46 | 1122 | 1084853 |
| &nbsp;&nbsp;&nbsp;4.00%, 02/01/46 | 987 | 954943 |
| &nbsp;&nbsp;&nbsp;4.00%, 03/01/46 | 1035 | 996119 |
| &nbsp;&nbsp;&nbsp;4.00%, 04/01/46 | 1176 | 1132003 |
| &nbsp;&nbsp;&nbsp;4.00%, 05/01/46 | 4069 | 3917639 |
| &nbsp;&nbsp;&nbsp;4.00%, 06/01/46 | 117 | 111086 |
| &nbsp;&nbsp;&nbsp;4.00%, 07/01/46 | 2190 | 2123076 |
| &nbsp;&nbsp;&nbsp;4.00%, 08/01/46 | 48 | 46725 |
| &nbsp;&nbsp;&nbsp;4.00%, 09/01/46 | 1020 | 982569 |
| &nbsp;&nbsp;&nbsp;4.00%, 10/01/46 | 911 | 881444 |
| &nbsp;&nbsp;&nbsp;4.00%, 11/01/46 | 16642 | 16024283 |
| &nbsp;&nbsp;&nbsp;4.00%, 12/01/46 | 33 | 32265 |
| &nbsp;&nbsp;&nbsp;4.00%, 01/01/47 | 220 | 213095 |
| &nbsp;&nbsp;&nbsp;4.00%, 02/01/47 | 4694 | 4520100 |
| &nbsp;&nbsp;&nbsp;4.00%, 04/01/47 | 179 | 173182 |
| &nbsp;&nbsp;&nbsp;4.00%, 06/01/47 | 3442 | 3332744 |
| &nbsp;&nbsp;&nbsp;4.00%, 07/01/47 | 848 | 816232 |
| &nbsp;&nbsp;&nbsp;4.00%, 08/01/47 | 2947 | 2836863 |
| &nbsp;&nbsp;&nbsp;4.00%, 09/01/47 | 104 | 100437 |
| &nbsp;&nbsp;&nbsp;4.00%, 10/01/47 | 911 | 876723 |
| &nbsp;&nbsp;&nbsp;4.00%, 11/01/47 | 3684 | 3550464 |
| &nbsp;&nbsp;&nbsp;4.00%, 12/01/47 | 6418 | 6177311 |

---

---

| | |
|:---|:---|
| Schedule of Investments (unaudited) (continued) | **iShares<sup>®</sup> MBS ETF** |
| November 30, 2022 | **(Percentages shown are based on Net Assets)** |

---

---

| | | |
|:---|:---|:---|
| *Security* | *Par<br> (000)* | *Value* |
| **Mortgage-Backed Securities (continued)** |  |  |
| &nbsp;&nbsp;&nbsp;4.00%, 01/01/48 | $3898 | $3776976 |
| &nbsp;&nbsp;&nbsp;4.00%, 02/01/48 | 9976 | 9653587 |
| &nbsp;&nbsp;&nbsp;4.00%, 04/01/48 | 1196 | 1150976 |
| &nbsp;&nbsp;&nbsp;4.00%, 05/01/48 | 625 | 607476 |
| &nbsp;&nbsp;&nbsp;4.00%, 06/01/48 | 13835 | 13398117 |
| &nbsp;&nbsp;&nbsp;4.00%, 07/01/48 | 76 | 72934 |
| &nbsp;&nbsp;&nbsp;4.00%, 08/01/48 | 1330 | 1279863 |
| &nbsp;&nbsp;&nbsp;4.00%, 09/01/48 | 11473 | 11036869 |
| &nbsp;&nbsp;&nbsp;4.00%, 10/01/48 | 9072 | 8752807 |
| &nbsp;&nbsp;&nbsp;4.00%, 11/01/48 | 890 | 857162 |
| &nbsp;&nbsp;&nbsp;4.00%, 12/01/48 | 2880 | 2776239 |
| &nbsp;&nbsp;&nbsp;4.00%, 01/01/49 | 4751 | 4592158 |
| &nbsp;&nbsp;&nbsp;4.00%, 02/01/49 | 19379 | 18647544 |
| &nbsp;&nbsp;&nbsp;4.00%, 03/01/49 | 951 | 919258 |
| &nbsp;&nbsp;&nbsp;4.00%, 04/01/49 | 2908 | 2793102 |
| &nbsp;&nbsp;&nbsp;4.00%, 05/01/49 | 688 | 662495 |
| &nbsp;&nbsp;&nbsp;4.00%, 06/01/52 | 14532 | 13750175 |
| &nbsp;&nbsp;&nbsp;4.00%, 08/01/52 | 44599 | 42178505 |
| &nbsp;&nbsp;&nbsp;4.00%, 09/01/52 | 21251 | 20137367 |
| &nbsp;&nbsp;&nbsp;4.00%, 10/01/52 | 4993 | 4746010 |
| &nbsp;&nbsp;&nbsp;&nbsp;4.06%, 11/01/41, (12 mo. LIBOR US + 1.892%)<sup>(a)</sup> | 260 | 258756 |
| &nbsp;&nbsp;&nbsp;&nbsp;4.13%, 09/01/41, (12 mo. LIBOR US + 1.880%)<sup>(a)</sup> | 327 | 322160 |
| &nbsp;&nbsp;&nbsp;&nbsp;4.15%, 11/01/40, (12 mo. LIBOR US + 1.900%)<sup>(a)</sup> | 112 | 110089 |
| &nbsp;&nbsp;&nbsp;4.50%, 03/01/23 | 0 <sup>(b)</sup> | 95 |
| &nbsp;&nbsp;&nbsp;4.50%, 04/01/23 | 0 <sup>(b)</sup> | 123 |
| &nbsp;&nbsp;&nbsp;4.50%, 05/01/23 | 0 <sup>(b)</sup> | 406 |
| &nbsp;&nbsp;&nbsp;4.50%, 06/01/23 | 0 <sup>(b)</sup> | 231 |
| &nbsp;&nbsp;&nbsp;4.50%, 01/01/24 | 1 | 539 |
| &nbsp;&nbsp;&nbsp;4.50%, 02/01/24 | 0 <sup>(b)</sup> | 116 |
| &nbsp;&nbsp;&nbsp;4.50%, 04/01/24 | 6 | 5919 |
| &nbsp;&nbsp;&nbsp;4.50%, 07/01/24 | 73 | 71702 |
| &nbsp;&nbsp;&nbsp;4.50%, 07/01/24 | 0 <sup>(b)</sup> | 212 |
| &nbsp;&nbsp;&nbsp;4.50%, 08/01/24 | 27 | 26642 |
| &nbsp;&nbsp;&nbsp;4.50%, 09/01/24 | 61 | 60023 |
| &nbsp;&nbsp;&nbsp;4.50%, 10/01/24 | 77 | 76667 |
| &nbsp;&nbsp;&nbsp;4.50%, 11/01/24 | 12 | 12094 |
| &nbsp;&nbsp;&nbsp;4.50%, 04/01/25 | 5 | 4970 |
| &nbsp;&nbsp;&nbsp;4.50%, 05/01/25 | 2 | 1623 |
| &nbsp;&nbsp;&nbsp;4.50%, 07/01/25 | 3 | 2599 |
| &nbsp;&nbsp;&nbsp;4.50%, 08/01/25 | 9 | 9326 |
| &nbsp;&nbsp;&nbsp;4.50%, 09/01/25 | 7 | 6617 |
| &nbsp;&nbsp;&nbsp;4.50%, 09/01/26 | 8 | 7600 |
| &nbsp;&nbsp;&nbsp;4.50%, 08/01/30 | 692 | 691277 |
| &nbsp;&nbsp;&nbsp;4.50%, 04/01/33 | 487 | 487945 |
| &nbsp;&nbsp;&nbsp;4.50%, 08/01/33 | 2 | 2065 |
| &nbsp;&nbsp;&nbsp;4.50%, 03/01/34 | 0 <sup>(b)</sup> | 440 |
| &nbsp;&nbsp;&nbsp;4.50%, 04/01/34 | 2 | 1655 |
| &nbsp;&nbsp;&nbsp;4.50%, 05/01/34 | 0 <sup>(b)</sup> | 327 |
| &nbsp;&nbsp;&nbsp;4.50%, 06/01/34 | 0 <sup>(b)</sup> | 473 |
| &nbsp;&nbsp;&nbsp;4.50%, 06/01/35 | 2 | 1504 |
| &nbsp;&nbsp;&nbsp;4.50%, 08/01/35 | 46 | 45607 |
| &nbsp;&nbsp;&nbsp;4.50%, 10/01/35 | 3 | 2746 |
| &nbsp;&nbsp;&nbsp;4.50%, 11/01/35 | 19 | 19347 |
| &nbsp;&nbsp;&nbsp;4.50%, 01/01/36 | 4 | 4186 |
| &nbsp;&nbsp;&nbsp;4.50%, 08/01/36 | 8 | 7713 |
| &nbsp;&nbsp;&nbsp;4.50%, 06/01/38 | 38 | 37738 |
| &nbsp;&nbsp;&nbsp;4.50%, 07/01/38 | 1 | 1447 |
| &nbsp;&nbsp;&nbsp;4.50%, 10/01/38 | 1 <sup>(b)</sup> | 498 |
| &nbsp;&nbsp;&nbsp;4.50%, 02/01/39 | 40 | 39471 |
| &nbsp;&nbsp;&nbsp;4.50%, 02/01/39 | 0 <sup>(b)</sup> | 277 |

---

---

| | | |
|:---|:---|:---|
| *Security* | *Par<br> (000)* | *Value* |
| **Mortgage-Backed Securities (continued)** |  |  |
| &nbsp;&nbsp;&nbsp;4.50%, 03/01/39 | $2392 | $2392276 |
| &nbsp;&nbsp;&nbsp;4.50%, 03/01/39 | 0 <sup>(b)</sup> | 691 |
| &nbsp;&nbsp;&nbsp;4.50%, 04/01/39 | 0 <sup>(b)</sup> | 478 |
| &nbsp;&nbsp;&nbsp;4.50%, 04/01/39 | 34 | 33999 |
| &nbsp;&nbsp;&nbsp;4.50%, 05/01/39 | 2423 | 2424009 |
| &nbsp;&nbsp;&nbsp;4.50%, 06/01/39 | 69 | 68431 |
| &nbsp;&nbsp;&nbsp;4.50%, 07/01/39 | 171 | 170092 |
| &nbsp;&nbsp;&nbsp;4.50%, 08/01/39 | 60 | 60066 |
| &nbsp;&nbsp;&nbsp;4.50%, 09/01/39 | 257 | 256551 |
| &nbsp;&nbsp;&nbsp;4.50%, 10/01/39 | 2197 | 2197679 |
| &nbsp;&nbsp;&nbsp;4.50%, 11/01/39 | 58 | 57762 |
| &nbsp;&nbsp;&nbsp;4.50%, 12/01/39 | 74 | 73828 |
| &nbsp;&nbsp;&nbsp;4.50%, 01/01/40 | 58 | 58834 |
| &nbsp;&nbsp;&nbsp;4.50%, 02/01/40 | 308 | 308467 |
| &nbsp;&nbsp;&nbsp;4.50%, 03/01/40 | 8 | 8455 |
| &nbsp;&nbsp;&nbsp;4.50%, 04/01/40 | 85 | 85000 |
| &nbsp;&nbsp;&nbsp;4.50%, 05/01/40 | 60 | 60388 |
| &nbsp;&nbsp;&nbsp;4.50%, 06/01/40 | 19 | 18690 |
| &nbsp;&nbsp;&nbsp;4.50%, 07/01/40 | 55 | 56044 |
| &nbsp;&nbsp;&nbsp;4.50%, 08/01/40 | 181 | 181769 |
| &nbsp;&nbsp;&nbsp;4.50%, 09/01/40 | 1275 | 1276700 |
| &nbsp;&nbsp;&nbsp;4.50%, 10/01/40 | 17 | 16967 |
| &nbsp;&nbsp;&nbsp;4.50%, 11/01/40 | 1 | 1254 |
| &nbsp;&nbsp;&nbsp;4.50%, 01/01/41 | 4 | 4089 |
| &nbsp;&nbsp;&nbsp;4.50%, 02/01/41 | 2669 | 2670221 |
| &nbsp;&nbsp;&nbsp;4.50%, 03/01/41 | 87 | 88062 |
| &nbsp;&nbsp;&nbsp;4.50%, 04/01/41 | 125 | 124181 |
| &nbsp;&nbsp;&nbsp;4.50%, 05/01/41 | 3497 | 3498387 |
| &nbsp;&nbsp;&nbsp;4.50%, 06/01/41 | 4320 | 4323640 |
| &nbsp;&nbsp;&nbsp;4.50%, 07/01/41 | 71 | 70455 |
| &nbsp;&nbsp;&nbsp;4.50%, 08/01/41 | 550 | 549594 |
| &nbsp;&nbsp;&nbsp;4.50%, 10/01/41 | 163 | 163608 |
| &nbsp;&nbsp;&nbsp;4.50%, 11/01/41 | 15 | 14997 |
| &nbsp;&nbsp;&nbsp;4.50%, 01/01/42 | 5 | 4637 |
| &nbsp;&nbsp;&nbsp;4.50%, 03/01/42 | 27 | 26721 |
| &nbsp;&nbsp;&nbsp;4.50%, 05/01/42 | 1951 | 1952057 |
| &nbsp;&nbsp;&nbsp;4.50%, 09/01/43 | 1449 | 1448968 |
| &nbsp;&nbsp;&nbsp;4.50%, 10/01/43 | 938 | 939897 |
| &nbsp;&nbsp;&nbsp;4.50%, 11/01/43 | 183 | 182397 |
| &nbsp;&nbsp;&nbsp;4.50%, 12/01/43 | 155 | 155372 |
| &nbsp;&nbsp;&nbsp;4.50%, 01/01/44 | 129 | 129423 |
| &nbsp;&nbsp;&nbsp;4.50%, 02/01/44 | 460 | 459656 |
| &nbsp;&nbsp;&nbsp;4.50%, 03/01/44 | 1278 | 1282259 |
| &nbsp;&nbsp;&nbsp;4.50%, 04/01/44 | 5 | 5179 |
| &nbsp;&nbsp;&nbsp;4.50%, 05/01/44 | 167 | 167242 |
| &nbsp;&nbsp;&nbsp;4.50%, 06/01/44 | 155 | 155135 |
| &nbsp;&nbsp;&nbsp;4.50%, 07/01/44 | 160 | 159885 |
| &nbsp;&nbsp;&nbsp;4.50%, 08/01/44 | 26 | 25245 |
| &nbsp;&nbsp;&nbsp;4.50%, 09/01/44 | 55 | 54674 |
| &nbsp;&nbsp;&nbsp;4.50%, 10/01/44 | 492 | 491634 |
| &nbsp;&nbsp;&nbsp;4.50%, 11/01/44 | 654 | 652499 |
| &nbsp;&nbsp;&nbsp;4.50%, 12/01/44 | 1294 | 1292718 |
| &nbsp;&nbsp;&nbsp;4.50%, 01/01/45 | 1663 | 1660321 |
| &nbsp;&nbsp;&nbsp;4.50%, 03/01/45 | 330 | 329487 |
| &nbsp;&nbsp;&nbsp;4.50%, 06/01/45 | 198 | 197207 |
| &nbsp;&nbsp;&nbsp;4.50%, 07/01/45 | 1485 | 1479179 |
| &nbsp;&nbsp;&nbsp;4.50%, 08/01/45 | 507 | 503739 |
| &nbsp;&nbsp;&nbsp;4.50%, 09/01/45 | 423 | 420079 |
| &nbsp;&nbsp;&nbsp;4.50%, 10/01/45 | 346 | 344118 |
| &nbsp;&nbsp;&nbsp;4.50%, 11/01/45 | 68 | 67434 |

---

---

| | |
|:---|:---|
| Schedule of Investments (unaudited) (continued) | **iShares<sup>®</sup> MBS ETF** |
| November 30, 2022 | **(Percentages shown are based on Net Assets)** |

---

---

| | | |
|:---|:---|:---|
| *Security* | *Par<br> (000)* | *Value* |
| **Mortgage-Backed Securities (continued)** |  |  |
| &nbsp;&nbsp;&nbsp;4.50%, 01/01/46 | $423 | $423104 |
| &nbsp;&nbsp;&nbsp;4.50%, 03/01/46 | 365 | 367247 |
| &nbsp;&nbsp;&nbsp;4.50%, 04/01/46 | 336 | 333004 |
| &nbsp;&nbsp;&nbsp;4.50%, 05/01/46 | 1434 | 1428666 |
| &nbsp;&nbsp;&nbsp;4.50%, 06/01/46 | 5124 | 5113640 |
| &nbsp;&nbsp;&nbsp;4.50%, 07/01/46 | 1821 | 1829747 |
| &nbsp;&nbsp;&nbsp;4.50%, 08/01/46 | 153 | 151549 |
| &nbsp;&nbsp;&nbsp;4.50%, 09/01/46 | 2964 | 2952445 |
| &nbsp;&nbsp;&nbsp;4.50%, 02/01/47 | 707 | 701049 |
| &nbsp;&nbsp;&nbsp;4.50%, 04/01/47 | 165 | 164386 |
| &nbsp;&nbsp;&nbsp;4.50%, 05/01/47 | 1198 | 1187164 |
| &nbsp;&nbsp;&nbsp;4.50%, 06/01/47 | 1266 | 1254624 |
| &nbsp;&nbsp;&nbsp;4.50%, 08/01/47 | 793 | 789877 |
| &nbsp;&nbsp;&nbsp;4.50%, 09/01/47 | 808 | 813019 |
| &nbsp;&nbsp;&nbsp;4.50%, 05/01/48 | 1260 | 1253626 |
| &nbsp;&nbsp;&nbsp;4.50%, 06/01/48 | 1516 | 1499795 |
| &nbsp;&nbsp;&nbsp;4.50%, 07/01/48 | 971 | 960669 |
| &nbsp;&nbsp;&nbsp;4.50%, 08/01/48 | 1399 | 1383515 |
| &nbsp;&nbsp;&nbsp;4.50%, 09/01/48 | 1146 | 1133874 |
| &nbsp;&nbsp;&nbsp;4.50%, 10/01/48 | 6244 | 6211409 |
| &nbsp;&nbsp;&nbsp;4.50%, 11/01/48 | 1781 | 1781153 |
| &nbsp;&nbsp;&nbsp;4.50%, 12/01/48 | 1462 | 1445911 |
| &nbsp;&nbsp;&nbsp;4.50%, 01/01/49 | 958 | 947262 |
| &nbsp;&nbsp;&nbsp;4.50%, 02/01/49 | 1002 | 996337 |
| &nbsp;&nbsp;&nbsp;4.50%, 03/01/49 | 2665 | 2653180 |
| &nbsp;&nbsp;&nbsp;4.50%, 09/01/49 | 355 | 350566 |
| &nbsp;&nbsp;&nbsp;4.50%, 08/01/52 | 12597 | 12249822 |
| &nbsp;&nbsp;&nbsp;5.00%, 12/01/22 | 0 <sup>(b)</sup> | 5 |
| &nbsp;&nbsp;&nbsp;5.00%, 05/01/23 | 0 <sup>(b)</sup> | 199 |
| &nbsp;&nbsp;&nbsp;5.00%, 06/01/23 | 0 <sup>(b)</sup> | 133 |
| &nbsp;&nbsp;&nbsp;5.00%, 06/01/23 | 2 | 2194 |
| &nbsp;&nbsp;&nbsp;5.00%, 07/01/23 | 0 <sup>(b)</sup> | 364 |
| &nbsp;&nbsp;&nbsp;5.00%, 08/01/23 | 0 <sup>(b)</sup> | 135 |
| &nbsp;&nbsp;&nbsp;5.00%, 12/01/23 | 3 | 2800 |
| &nbsp;&nbsp;&nbsp;5.00%, 01/01/24 | 0 <sup>(b)</sup> | 231 |
| &nbsp;&nbsp;&nbsp;5.00%, 07/01/24 | 0 <sup>(b)</sup> | 215 |
| &nbsp;&nbsp;&nbsp;5.00%, 10/01/24 | 2 | 1928 |
| &nbsp;&nbsp;&nbsp;5.00%, 12/01/24 | 0 <sup>(b)</sup> | 444 |
| &nbsp;&nbsp;&nbsp;5.00%, 12/01/24 | 1 | 892 |
| &nbsp;&nbsp;&nbsp;5.00%, 06/01/25 | 1 | 1415 |
| &nbsp;&nbsp;&nbsp;5.00%, 08/01/25 | 241 | 239016 |
| &nbsp;&nbsp;&nbsp;5.00%, 06/01/26 | 9 | 8866 |
| &nbsp;&nbsp;&nbsp;5.00%, 02/01/30 | 4 | 4378 |
| &nbsp;&nbsp;&nbsp;5.00%, 04/01/33 | 2 | 2070 |
| &nbsp;&nbsp;&nbsp;5.00%, 06/01/33 | 208 | 210721 |
| &nbsp;&nbsp;&nbsp;5.00%, 08/01/33 | 43 | 43582 |
| &nbsp;&nbsp;&nbsp;5.00%, 09/01/33 | 51 | 52754 |
| &nbsp;&nbsp;&nbsp;5.00%, 10/01/33 | 103 | 104110 |
| &nbsp;&nbsp;&nbsp;5.00%, 11/01/33 | 43 | 43174 |
| &nbsp;&nbsp;&nbsp;5.00%, 12/01/33 | 480 | 486662 |
| &nbsp;&nbsp;&nbsp;5.00%, 01/01/34 | 6 | 5920 |
| &nbsp;&nbsp;&nbsp;5.00%, 03/01/34 | 13 | 13188 |
| &nbsp;&nbsp;&nbsp;5.00%, 04/01/34 | 12 | 12342 |
| &nbsp;&nbsp;&nbsp;5.00%, 05/01/34 | 56 | 56198 |
| &nbsp;&nbsp;&nbsp;5.00%, 06/01/34 | 0 <sup>(b)</sup> | 483 |
| &nbsp;&nbsp;&nbsp;5.00%, 06/01/34 | 22 | 22546 |
| &nbsp;&nbsp;&nbsp;5.00%, 11/01/34 | 6 | 5647 |
| &nbsp;&nbsp;&nbsp;5.00%, 12/01/34 | 9 | 8371 |
| &nbsp;&nbsp;&nbsp;5.00%, 01/01/35 | 4 | 4265 |
| &nbsp;&nbsp;&nbsp;5.00%, 02/01/35 | 5 | 4561 |

---

---

| | | |
|:---|:---|:---|
| *Security* | *Par<br> (000)* | *Value* |
| **Mortgage-Backed Securities (continued)** |  |  |
| &nbsp;&nbsp;&nbsp;5.00%, 04/01/35 | $3 | $3323 |
| &nbsp;&nbsp;&nbsp;5.00%, 05/01/35 | 14 | 13811 |
| &nbsp;&nbsp;&nbsp;5.00%, 06/01/35 | 9 | 9233 |
| &nbsp;&nbsp;&nbsp;5.00%, 07/01/35 | 2473 | 2510758 |
| &nbsp;&nbsp;&nbsp;5.00%, 08/01/35 | 481 | 487269 |
| &nbsp;&nbsp;&nbsp;5.00%, 09/01/35 | 96 | 97145 |
| &nbsp;&nbsp;&nbsp;5.00%, 09/01/35 | 0 <sup>(b)</sup> | 247 |
| &nbsp;&nbsp;&nbsp;5.00%, 10/01/35 | 9 | 9422 |
| &nbsp;&nbsp;&nbsp;5.00%, 10/01/35 | 0 <sup>(b)</sup> | 413 |
| &nbsp;&nbsp;&nbsp;5.00%, 11/01/35 | 0 <sup>(b)</sup> | 880 |
| &nbsp;&nbsp;&nbsp;5.00%, 11/01/35 | 29 | 28975 |
| &nbsp;&nbsp;&nbsp;5.00%, 12/01/35 | 55 | 55827 |
| &nbsp;&nbsp;&nbsp;5.00%, 12/01/35 | 0 <sup>(b)</sup> | 438 |
| &nbsp;&nbsp;&nbsp;5.00%, 01/01/36 | 332 | 336568 |
| &nbsp;&nbsp;&nbsp;5.00%, 03/01/36 | 1 | 1401 |
| &nbsp;&nbsp;&nbsp;5.00%, 04/01/36 | 9 | 9024 |
| &nbsp;&nbsp;&nbsp;5.00%, 06/01/36 | 39 | 39433 |
| &nbsp;&nbsp;&nbsp;5.00%, 07/01/36 | 0 <sup>(b)</sup> | 409 |
| &nbsp;&nbsp;&nbsp;5.00%, 08/01/36 | 19 | 18877 |
| &nbsp;&nbsp;&nbsp;5.00%, 10/01/36 | 29 | 29812 |
| &nbsp;&nbsp;&nbsp;5.00%, 11/01/36 | 829 | 841318 |
| &nbsp;&nbsp;&nbsp;5.00%, 01/01/37 | 452 | 459405 |
| &nbsp;&nbsp;&nbsp;5.00%, 02/01/37 | 396 | 402293 |
| &nbsp;&nbsp;&nbsp;5.00%, 06/01/37 | 17 | 17440 |
| &nbsp;&nbsp;&nbsp;5.00%, 01/01/38 | 5 | 4710 |
| &nbsp;&nbsp;&nbsp;5.00%, 02/01/38 | 629 | 638335 |
| &nbsp;&nbsp;&nbsp;5.00%, 03/01/38 | 2535 | 2585512 |
| &nbsp;&nbsp;&nbsp;5.00%, 04/01/38 | 42 | 43153 |
| &nbsp;&nbsp;&nbsp;5.00%, 05/01/38 | 3 | 2664 |
| &nbsp;&nbsp;&nbsp;5.00%, 06/01/38 | 7 | 6701 |
| &nbsp;&nbsp;&nbsp;5.00%, 09/01/38 | 11 | 10752 |
| &nbsp;&nbsp;&nbsp;5.00%, 11/01/38 | 10 | 10337 |
| &nbsp;&nbsp;&nbsp;5.00%, 12/01/38 | 358 | 364152 |
| &nbsp;&nbsp;&nbsp;5.00%, 01/01/39 | 133 | 135875 |
| &nbsp;&nbsp;&nbsp;5.00%, 02/01/39 | 27 | 28053 |
| &nbsp;&nbsp;&nbsp;5.00%, 03/01/39 | 13 | 13028 |
| &nbsp;&nbsp;&nbsp;5.00%, 05/01/39 | 70 | 70895 |
| &nbsp;&nbsp;&nbsp;5.00%, 06/01/39 | 2 | 2055 |
| &nbsp;&nbsp;&nbsp;5.00%, 07/01/39 | 16 | 16598 |
| &nbsp;&nbsp;&nbsp;5.00%, 08/01/39 | 3450 | 3517728 |
| &nbsp;&nbsp;&nbsp;5.00%, 09/01/39 | 31 | 31659 |
| &nbsp;&nbsp;&nbsp;5.00%, 10/01/39 | 439 | 449518 |
| &nbsp;&nbsp;&nbsp;5.00%, 12/01/39 | 19 | 20063 |
| &nbsp;&nbsp;&nbsp;5.00%, 01/01/40 | 242 | 246717 |
| &nbsp;&nbsp;&nbsp;5.00%, 02/01/40 | 63 | 64887 |
| &nbsp;&nbsp;&nbsp;5.00%, 03/01/40 | 1157 | 1181802 |
| &nbsp;&nbsp;&nbsp;5.00%, 04/01/40 | 121 | 123756 |
| &nbsp;&nbsp;&nbsp;5.00%, 06/01/40 | 3 | 2706 |
| &nbsp;&nbsp;&nbsp;5.00%, 07/01/40 | 152 | 154214 |
| &nbsp;&nbsp;&nbsp;5.00%, 08/01/40 | 1687 | 1724815 |
| &nbsp;&nbsp;&nbsp;5.00%, 09/01/40 | 853 | 872739 |
| &nbsp;&nbsp;&nbsp;5.00%, 11/01/40 | 71 | 72331 |
| &nbsp;&nbsp;&nbsp;5.00%, 02/01/41 | 232 | 237215 |
| &nbsp;&nbsp;&nbsp;5.00%, 03/01/41 | 2 | 2073 |
| &nbsp;&nbsp;&nbsp;5.00%, 04/01/41 | 71 | 72743 |
| &nbsp;&nbsp;&nbsp;5.00%, 05/01/41 | 3 | 3190 |
| &nbsp;&nbsp;&nbsp;5.00%, 07/01/41 | 269 | 275406 |
| &nbsp;&nbsp;&nbsp;5.00%, 08/01/41 | 1115 | 1140679 |
| &nbsp;&nbsp;&nbsp;5.00%, 09/01/41 | 138 | 141439 |
| &nbsp;&nbsp;&nbsp;5.00%, 10/01/41 | 95 | 97301 |

---

---

| | |
|:---|:---|
| Schedule of Investments (unaudited) (continued) | **iShares<sup>®</sup> MBS ETF** |
| November 30, 2022 | **(Percentages shown are based on Net Assets)** |

---

---

| | | |
|:---|:---|:---|
| *Security* | *Par<br> (000)* | *Value* |
| **Mortgage-Backed Securities (continued)** |  |  |
| &nbsp;&nbsp;&nbsp;5.00%, 04/01/44 | $61 | $61880 |
| &nbsp;&nbsp;&nbsp;5.00%, 03/01/47 | 2390 | 2426147 |
| &nbsp;&nbsp;&nbsp;5.00%, 05/01/47 | 24 | 23763 |
| &nbsp;&nbsp;&nbsp;5.00%, 07/01/47 | 1453 | 1466440 |
| &nbsp;&nbsp;&nbsp;5.00%, 03/01/48 | 703 | 710410 |
| &nbsp;&nbsp;&nbsp;5.00%, 04/01/48 | 1859 | 1876554 |
| &nbsp;&nbsp;&nbsp;5.00%, 05/01/48 | 886 | 894545 |
| &nbsp;&nbsp;&nbsp;5.00%, 06/01/48 | 344 | 350393 |
| &nbsp;&nbsp;&nbsp;5.00%, 07/01/48 | 728 | 735315 |
| &nbsp;&nbsp;&nbsp;5.00%, 08/01/48 | 3692 | 3726530 |
| &nbsp;&nbsp;&nbsp;5.00%, 09/01/48 | 800 | 810437 |
| &nbsp;&nbsp;&nbsp;5.00%, 10/01/48 | 2279 | 2304716 |
| &nbsp;&nbsp;&nbsp;5.00%, 11/01/48 | 753 | 762131 |
| &nbsp;&nbsp;&nbsp;5.00%, 01/01/49 | 1763 | 1789569 |
| &nbsp;&nbsp;&nbsp;5.00%, 02/01/49 | 783 | 790215 |
| &nbsp;&nbsp;&nbsp;5.00%, 04/01/49 | 177 | 177822 |
| &nbsp;&nbsp;&nbsp;5.00%, 07/01/52 | 4890 | 4912803 |
| &nbsp;&nbsp;&nbsp;5.00%, 08/01/52 | 9741 | 9720202 |
| &nbsp;&nbsp;&nbsp;5.00%, 10/01/52 | 14099 | 14073811 |
| &nbsp;&nbsp;&nbsp;5.00%, 11/01/52 | 7668 | 7636444 |
| &nbsp;&nbsp;&nbsp;5.50%, 01/01/23 | 0 <sup>(b)</sup> | 1 |
| &nbsp;&nbsp;&nbsp;5.50%, 04/01/23 | 0 <sup>(b)</sup> | 96 |
| &nbsp;&nbsp;&nbsp;5.50%, 07/01/24 | 0 <sup>(b)</sup> | 66 |
| &nbsp;&nbsp;&nbsp;5.50%, 02/01/29 | 0 <sup>(b)</sup> | 353 |
| &nbsp;&nbsp;&nbsp;5.50%, 04/01/29 | 3 | 2843 |
| &nbsp;&nbsp;&nbsp;5.50%, 07/01/31 | 0 <sup>(b)</sup> | 156 |
| &nbsp;&nbsp;&nbsp;5.50%, 11/01/31 | 0 <sup>(b)</sup> | 139 |
| &nbsp;&nbsp;&nbsp;5.50%, 12/01/31 | 1 | 1138 |
| &nbsp;&nbsp;&nbsp;5.50%, 01/01/32 | 0 <sup>(b)</sup> | 100 |
| &nbsp;&nbsp;&nbsp;5.50%, 02/01/32 | 1 | 713 |
| &nbsp;&nbsp;&nbsp;5.50%, 04/01/32 | 10 | 10433 |
| &nbsp;&nbsp;&nbsp;5.50%, 09/01/32 | 30 | 31136 |
| &nbsp;&nbsp;&nbsp;5.50%, 09/01/32 | 0 <sup>(b)</sup> | 196 |
| &nbsp;&nbsp;&nbsp;5.50%, 10/01/32 | 12 | 12413 |
| &nbsp;&nbsp;&nbsp;5.50%, 11/01/32 | 1 | 681 |
| &nbsp;&nbsp;&nbsp;5.50%, 12/01/32 | 36 | 36335 |
| &nbsp;&nbsp;&nbsp;5.50%, 01/01/33 | 6 | 6076 |
| &nbsp;&nbsp;&nbsp;5.50%, 01/01/33 | 0 <sup>(b)</sup> | 134 |
| &nbsp;&nbsp;&nbsp;5.50%, 03/01/33 | 3 | 3360 |
| &nbsp;&nbsp;&nbsp;5.50%, 04/01/33 | 0 <sup>(b)</sup> | 241 |
| &nbsp;&nbsp;&nbsp;5.50%, 04/01/33 | 12 | 11856 |
| &nbsp;&nbsp;&nbsp;5.50%, 05/01/33 | 6 | 6397 |
| &nbsp;&nbsp;&nbsp;5.50%, 06/01/33 | 18 | 18468 |
| &nbsp;&nbsp;&nbsp;5.50%, 07/01/33 | 17 | 17833 |
| &nbsp;&nbsp;&nbsp;5.50%, 08/01/33 | 2 | 1611 |
| &nbsp;&nbsp;&nbsp;5.50%, 09/01/33 | 0 <sup>(b)</sup> | 468 |
| &nbsp;&nbsp;&nbsp;5.50%, 10/01/33 | 135 | 139450 |
| &nbsp;&nbsp;&nbsp;5.50%, 10/01/33 | 0 <sup>(b)</sup> | 229 |
| &nbsp;&nbsp;&nbsp;5.50%, 11/01/33 | 6 | 6668 |
| &nbsp;&nbsp;&nbsp;5.50%, 12/01/33 | 1 | 589 |
| &nbsp;&nbsp;&nbsp;5.50%, 01/01/34 | 0 <sup>(b)</sup> | 463 |
| &nbsp;&nbsp;&nbsp;5.50%, 01/01/34 | 56 | 56943 |
| &nbsp;&nbsp;&nbsp;5.50%, 02/01/34 | 621 | 639494 |
| &nbsp;&nbsp;&nbsp;5.50%, 03/01/34 | 227 | 234149 |
| &nbsp;&nbsp;&nbsp;5.50%, 07/01/34 | 8 | 8802 |
| &nbsp;&nbsp;&nbsp;5.50%, 08/01/34 | 9 | 9602 |
| &nbsp;&nbsp;&nbsp;5.50%, 09/01/34 | 1 | 1484 |
| &nbsp;&nbsp;&nbsp;5.50%, 10/01/34 | 115 | 119071 |
| &nbsp;&nbsp;&nbsp;5.50%, 11/01/34 | 0 <sup>(b)</sup> | 367 |
| &nbsp;&nbsp;&nbsp;5.50%, 11/01/34 | 1 | 1209 |

---

---

| | | |
|:---|:---|:---|
| *Security* | *Par<br> (000)* | *Value* |
| **Mortgage-Backed Securities (continued)** |  |  |
| &nbsp;&nbsp;&nbsp;5.50%, 12/01/34 | $208 | $213827 |
| &nbsp;&nbsp;&nbsp;5.50%, 12/01/34 | 0 <sup>(b)</sup> | 462 |
| &nbsp;&nbsp;&nbsp;5.50%, 01/01/35 | 1378 | 1421863 |
| &nbsp;&nbsp;&nbsp;5.50%, 01/01/35 | 0 <sup>(b)</sup> | 500 |
| &nbsp;&nbsp;&nbsp;5.50%, 02/01/35 | 384 | 396104 |
| &nbsp;&nbsp;&nbsp;5.50%, 02/01/35 | 0 <sup>(b)</sup> | 497 |
| &nbsp;&nbsp;&nbsp;5.50%, 03/01/35 | 12 | 11878 |
| &nbsp;&nbsp;&nbsp;5.50%, 04/01/35 | 200 | 208098 |
| &nbsp;&nbsp;&nbsp;5.50%, 04/01/35 | 1 <sup>(b)</sup> | 509 |
| &nbsp;&nbsp;&nbsp;5.50%, 05/01/35 | 633 | 657238 |
| &nbsp;&nbsp;&nbsp;5.50%, 05/01/35 | 0 <sup>(b)</sup> | 169 |
| &nbsp;&nbsp;&nbsp;5.50%, 06/01/35 | 1674 | 1736105 |
| &nbsp;&nbsp;&nbsp;5.50%, 07/01/35 | 11 | 11173 |
| &nbsp;&nbsp;&nbsp;5.50%, 08/01/35 | 90 | 93268 |
| &nbsp;&nbsp;&nbsp;5.50%, 09/01/35 | 6 | 5787 |
| &nbsp;&nbsp;&nbsp;5.50%, 10/01/35 | 96 | 100450 |
| &nbsp;&nbsp;&nbsp;5.50%, 11/01/35 | 1 <sup>(b)</sup> | 507 |
| &nbsp;&nbsp;&nbsp;5.50%, 11/01/35 | 17 | 16653 |
| &nbsp;&nbsp;&nbsp;5.50%, 12/01/35 | 346 | 359515 |
| &nbsp;&nbsp;&nbsp;5.50%, 01/01/36 | 18 | 18733 |
| &nbsp;&nbsp;&nbsp;5.50%, 02/01/36 | 0 <sup>(b)</sup> | 408 |
| &nbsp;&nbsp;&nbsp;5.50%, 02/01/36 | 8 | 8516 |
| &nbsp;&nbsp;&nbsp;5.50%, 03/01/36 | 32 | 32815 |
| &nbsp;&nbsp;&nbsp;5.50%, 04/01/36 | 4 | 4003 |
| &nbsp;&nbsp;&nbsp;5.50%, 05/01/36 | 483 | 502202 |
| &nbsp;&nbsp;&nbsp;5.50%, 06/01/36 | 15 | 15239 |
| &nbsp;&nbsp;&nbsp;5.50%, 07/01/36 | 734 | 762250 |
| &nbsp;&nbsp;&nbsp;5.50%, 08/01/36 | 92 | 95597 |
| &nbsp;&nbsp;&nbsp;5.50%, 08/01/36 | 0 <sup>(b)</sup> | 418 |
| &nbsp;&nbsp;&nbsp;5.50%, 09/01/36 | 0 <sup>(b)</sup> | 173 |
| &nbsp;&nbsp;&nbsp;5.50%, 11/01/36 | 11 | 11841 |
| &nbsp;&nbsp;&nbsp;5.50%, 12/01/36 | 0 <sup>(b)</sup> | 172 |
| &nbsp;&nbsp;&nbsp;5.50%, 12/01/36 | 6 | 6825 |
| &nbsp;&nbsp;&nbsp;5.50%, 01/01/37 | 76 | 78218 |
| &nbsp;&nbsp;&nbsp;5.50%, 02/01/37 | 14 | 14270 |
| &nbsp;&nbsp;&nbsp;5.50%, 02/01/37 | 0 <sup>(b)</sup> | 275 |
| &nbsp;&nbsp;&nbsp;5.50%, 03/01/37 | 4 | 4280 |
| &nbsp;&nbsp;&nbsp;5.50%, 04/01/37 | 14 | 14941 |
| &nbsp;&nbsp;&nbsp;5.50%, 05/01/37 | 46 | 48049 |
| &nbsp;&nbsp;&nbsp;5.50%, 05/01/37 | 0 <sup>(b)</sup> | 125 |
| &nbsp;&nbsp;&nbsp;5.50%, 07/01/37 | 7 | 8017 |
| &nbsp;&nbsp;&nbsp;5.50%, 09/01/37 | 8 | 8171 |
| &nbsp;&nbsp;&nbsp;5.50%, 11/01/37 | 15 | 16903 |
| &nbsp;&nbsp;&nbsp;5.50%, 12/01/37 | 9 | 9555 |
| &nbsp;&nbsp;&nbsp;5.50%, 01/01/38 | 28 | 29411 |
| &nbsp;&nbsp;&nbsp;5.50%, 02/01/38 | 6 | 5852 |
| &nbsp;&nbsp;&nbsp;5.50%, 04/01/38 | 756 | 786776 |
| &nbsp;&nbsp;&nbsp;5.50%, 04/01/38 | 0 <sup>(b)</sup> | 308 |
| &nbsp;&nbsp;&nbsp;5.50%, 05/01/38 | 303 | 314034 |
| &nbsp;&nbsp;&nbsp;5.50%, 05/01/38 | 0 <sup>(b)</sup> | 128 |
| &nbsp;&nbsp;&nbsp;5.50%, 06/01/38 | 39 | 40348 |
| &nbsp;&nbsp;&nbsp;5.50%, 06/01/38 | 0 <sup>(b)</sup> | 376 |
| &nbsp;&nbsp;&nbsp;5.50%, 07/01/38 | 112 | 116091 |
| &nbsp;&nbsp;&nbsp;5.50%, 07/01/38 | 0 <sup>(b)</sup> | 319 |
| &nbsp;&nbsp;&nbsp;5.50%, 08/01/38 | 30 | 31153 |
| &nbsp;&nbsp;&nbsp;5.50%, 09/01/38 | 96 | 99139 |
| &nbsp;&nbsp;&nbsp;5.50%, 10/01/38 | 30 | 31794 |
| &nbsp;&nbsp;&nbsp;5.50%, 11/01/38 | 17 | 16681 |
| &nbsp;&nbsp;&nbsp;5.50%, 11/01/38 | 0 <sup>(b)</sup> | 131 |
| &nbsp;&nbsp;&nbsp;5.50%, 12/01/38 | 111 | 115111 |

---

---

| | |
|:---|:---|
| Schedule of Investments (unaudited) (continued) | **iShares<sup>®</sup> MBS ETF** |
| November 30, 2022 | **(Percentages shown are based on Net Assets)** |

---

---

| | | |
|:---|:---|:---|
| *Security* | *Par<br> (000)* | *Value* |
| **Mortgage-Backed Securities (continued)** |  |  |
| &nbsp;&nbsp;&nbsp;5.50%, 12/01/38 | $0 <sup>(b)</sup> | $438 |
| &nbsp;&nbsp;&nbsp;5.50%, 01/01/39 | 1525 | 1574124 |
| &nbsp;&nbsp;&nbsp;5.50%, 02/01/39 | 61 | 62925 |
| &nbsp;&nbsp;&nbsp;5.50%, 03/01/39 | 1 | 1125 |
| &nbsp;&nbsp;&nbsp;5.50%, 04/01/39 | 18 | 18571 |
| &nbsp;&nbsp;&nbsp;5.50%, 05/01/39 | 15 | 15636 |
| &nbsp;&nbsp;&nbsp;5.50%, 06/01/39 | 33 | 34338 |
| &nbsp;&nbsp;&nbsp;5.50%, 09/01/39 | 425 | 442239 |
| &nbsp;&nbsp;&nbsp;5.50%, 10/01/39 | 5 | 5075 |
| &nbsp;&nbsp;&nbsp;5.50%, 11/01/39 | 1174 | 1221183 |
| &nbsp;&nbsp;&nbsp;5.50%, 12/01/39 | 95 | 95028 |
| &nbsp;&nbsp;&nbsp;5.50%, 01/01/40 | 88 | 90725 |
| &nbsp;&nbsp;&nbsp;5.50%, 02/01/40 | 28 | 28971 |
| &nbsp;&nbsp;&nbsp;5.50%, 03/01/40 | 6 | 6676 |
| &nbsp;&nbsp;&nbsp;5.50%, 05/01/40 | 11 | 11367 |
| &nbsp;&nbsp;&nbsp;5.50%, 06/01/40 | 28 | 29104 |
| &nbsp;&nbsp;&nbsp;5.50%, 03/01/41 | 10 | 10027 |
| &nbsp;&nbsp;&nbsp;5.50%, 06/01/41 | 3739 | 3881681 |
| &nbsp;&nbsp;&nbsp;5.50%, 08/01/52 | 3635 | 3704781 |
| &nbsp;&nbsp;&nbsp;5.50%, 12/01/52 | 3000 | 3035783 |
| &nbsp;&nbsp;&nbsp;6.00%, 12/01/22 | 0 <sup>(b)</sup> | 7 |
| &nbsp;&nbsp;&nbsp;6.00%, 10/01/25 | 0 <sup>(b)</sup> | 60 |
| &nbsp;&nbsp;&nbsp;6.00%, 11/01/25 | 0 <sup>(b)</sup> | 68 |
| &nbsp;&nbsp;&nbsp;6.00%, 02/01/26 | 1 | 514 |
| &nbsp;&nbsp;&nbsp;6.00%, 08/01/26 | 1 | 837 |
| &nbsp;&nbsp;&nbsp;6.00%, 02/01/28 | 0 <sup>(b)</sup> | 48 |
| &nbsp;&nbsp;&nbsp;6.00%, 04/01/28 | 2 | 1350 |
| &nbsp;&nbsp;&nbsp;6.00%, 06/01/28 | 0 <sup>(b)</sup> | 357 |
| &nbsp;&nbsp;&nbsp;6.00%, 06/01/28 | 1 | 1502 |
| &nbsp;&nbsp;&nbsp;6.00%, 07/01/28 | 3 | 2811 |
| &nbsp;&nbsp;&nbsp;6.00%, 11/01/28 | 1 | 614 |
| &nbsp;&nbsp;&nbsp;6.00%, 12/01/28 | 0 <sup>(b)</sup> | 303 |
| &nbsp;&nbsp;&nbsp;6.00%, 01/01/29 | 6 | 5490 |
| &nbsp;&nbsp;&nbsp;6.00%, 02/01/29 | 0 <sup>(b)</sup> | 70 |
| &nbsp;&nbsp;&nbsp;6.00%, 03/01/29 | 4 | 3629 |
| &nbsp;&nbsp;&nbsp;6.00%, 03/01/29 | 0 <sup>(b)</sup> | 214 |
| &nbsp;&nbsp;&nbsp;6.00%, 05/01/29 | 5 | 4465 |
| &nbsp;&nbsp;&nbsp;6.00%, 06/01/29 | 0 <sup>(b)</sup> | 313 |
| &nbsp;&nbsp;&nbsp;6.00%, 07/01/29 | 1 | 933 |
| &nbsp;&nbsp;&nbsp;6.00%, 07/01/29 | 0 <sup>(b)</sup> | 356 |
| &nbsp;&nbsp;&nbsp;6.00%, 09/01/29 | 0 <sup>(b)</sup> | 399 |
| &nbsp;&nbsp;&nbsp;6.00%, 12/01/30 | 4 | 4527 |
| &nbsp;&nbsp;&nbsp;6.00%, 03/01/31 | 1 | 809 |
| &nbsp;&nbsp;&nbsp;6.00%, 04/01/31 | 0 <sup>(b)</sup> | 280 |
| &nbsp;&nbsp;&nbsp;6.00%, 06/01/31 | 1 | 675 |
| &nbsp;&nbsp;&nbsp;6.00%, 06/01/31 | 0 <sup>(b)</sup> | 203 |
| &nbsp;&nbsp;&nbsp;6.00%, 10/01/31 | 0 <sup>(b)</sup> | 306 |
| &nbsp;&nbsp;&nbsp;6.00%, 12/01/31 | 1 | 826 |
| &nbsp;&nbsp;&nbsp;6.00%, 01/01/32 | 21 | 21410 |
| &nbsp;&nbsp;&nbsp;6.00%, 01/01/32 | 0 <sup>(b)</sup> | 86 |
| &nbsp;&nbsp;&nbsp;6.00%, 02/01/32 | 3 | 3036 |
| &nbsp;&nbsp;&nbsp;6.00%, 02/01/32 | 0 <sup>(b)</sup> | 487 |
| &nbsp;&nbsp;&nbsp;6.00%, 03/01/32 | 15 | 15651 |
| &nbsp;&nbsp;&nbsp;6.00%, 03/01/32 | 0 <sup>(b)</sup> | 208 |
| &nbsp;&nbsp;&nbsp;6.00%, 04/01/32 | 1 | 541 |
| &nbsp;&nbsp;&nbsp;6.00%, 09/01/32 | 3 | 2841 |
| &nbsp;&nbsp;&nbsp;6.00%, 10/01/32 | 4 | 4006 |
| &nbsp;&nbsp;&nbsp;6.00%, 11/01/32 | 3 | 4025 |
| &nbsp;&nbsp;&nbsp;6.00%, 11/01/32 | 0 <sup>(b)</sup> | 215 |
| &nbsp;&nbsp;&nbsp;6.00%, 12/01/32 | 61 | 63675 |

---

---

| | | |
|:---|:---|:---|
| *Security* | *Par<br> (000)* | *Value* |
| **Mortgage-Backed Securities (continued)** |  |  |
| &nbsp;&nbsp;&nbsp;6.00%, 12/01/32 | $0 <sup>(b)</sup> | $182 |
| &nbsp;&nbsp;&nbsp;6.00%, 01/01/33 | 4 | 3522 |
| &nbsp;&nbsp;&nbsp;6.00%, 02/01/33 | 5 | 5379 |
| &nbsp;&nbsp;&nbsp;6.00%, 03/01/33 | 5 | 4734 |
| &nbsp;&nbsp;&nbsp;6.00%, 03/01/33 | 0 <sup>(b)</sup> | 396 |
| &nbsp;&nbsp;&nbsp;6.00%, 04/01/33 | 3 | 2845 |
| &nbsp;&nbsp;&nbsp;6.00%, 05/01/33 | 0 <sup>(b)</sup> | 151 |
| &nbsp;&nbsp;&nbsp;6.00%, 09/01/33 | 4 | 3901 |
| &nbsp;&nbsp;&nbsp;6.00%, 10/01/33 | 12 | 12686 |
| &nbsp;&nbsp;&nbsp;6.00%, 10/01/33 | 0 <sup>(b)</sup> | 488 |
| &nbsp;&nbsp;&nbsp;6.00%, 11/01/33 | 14 | 15205 |
| &nbsp;&nbsp;&nbsp;6.00%, 05/01/34 | 9 | 9266 |
| &nbsp;&nbsp;&nbsp;6.00%, 06/01/34 | 12 | 12978 |
| &nbsp;&nbsp;&nbsp;6.00%, 07/01/34 | 11 | 11353 |
| &nbsp;&nbsp;&nbsp;6.00%, 08/01/34 | 0 <sup>(b)</sup> | 713 |
| &nbsp;&nbsp;&nbsp;6.00%, 08/01/34 | 3 | 2413 |
| &nbsp;&nbsp;&nbsp;6.00%, 10/01/34 | 8 | 8189 |
| &nbsp;&nbsp;&nbsp;6.00%, 12/01/34 | 2 | 2481 |
| &nbsp;&nbsp;&nbsp;6.00%, 05/01/35 | 9 | 9845 |
| &nbsp;&nbsp;&nbsp;6.00%, 05/01/35 | 0 <sup>(b)</sup> | 502 |
| &nbsp;&nbsp;&nbsp;6.00%, 06/01/35 | 4 | 3457 |
| &nbsp;&nbsp;&nbsp;6.00%, 07/01/35 | 0 <sup>(b)</sup> | 707 |
| &nbsp;&nbsp;&nbsp;6.00%, 07/01/35 | 2 | 1768 |
| &nbsp;&nbsp;&nbsp;6.00%, 08/01/35 | 21 | 22433 |
| &nbsp;&nbsp;&nbsp;6.00%, 09/01/35 | 2 | 2264 |
| &nbsp;&nbsp;&nbsp;6.00%, 12/01/35 | 6 | 6381 |
| &nbsp;&nbsp;&nbsp;6.00%, 01/01/36 | 4 | 4002 |
| &nbsp;&nbsp;&nbsp;6.00%, 02/01/36 | 6 | 6451 |
| &nbsp;&nbsp;&nbsp;6.00%, 03/01/36 | 2 | 1733 |
| &nbsp;&nbsp;&nbsp;6.00%, 05/01/36 | 9 | 10055 |
| &nbsp;&nbsp;&nbsp;6.00%, 06/01/36 | 17 | 17840 |
| &nbsp;&nbsp;&nbsp;6.00%, 07/01/36 | 9 | 9771 |
| &nbsp;&nbsp;&nbsp;6.00%, 08/01/36 | 3 | 3008 |
| &nbsp;&nbsp;&nbsp;6.00%, 09/01/36 | 288 | 304386 |
| &nbsp;&nbsp;&nbsp;6.00%, 10/01/36 | 389 | 410234 |
| &nbsp;&nbsp;&nbsp;6.00%, 11/01/36 | 22 | 23182 |
| &nbsp;&nbsp;&nbsp;6.00%, 12/01/36 | 70 | 74041 |
| &nbsp;&nbsp;&nbsp;6.00%, 12/01/36 | 0 <sup>(b)</sup> | 404 |
| &nbsp;&nbsp;&nbsp;6.00%, 01/01/37 | 0 <sup>(b)</sup> | 468 |
| &nbsp;&nbsp;&nbsp;6.00%, 01/01/37 | 1 | 1441 |
| &nbsp;&nbsp;&nbsp;6.00%, 02/01/37 | 259 | 273537 |
| &nbsp;&nbsp;&nbsp;6.00%, 03/01/37 | 5 | 4797 |
| &nbsp;&nbsp;&nbsp;6.00%, 05/01/37 | 6 | 6296 |
| &nbsp;&nbsp;&nbsp;6.00%, 05/01/37 | 0 <sup>(b)</sup> | 508 |
| &nbsp;&nbsp;&nbsp;6.00%, 07/01/37 | 4 | 5228 |
| &nbsp;&nbsp;&nbsp;6.00%, 08/01/37 | 7 | 7652 |
| &nbsp;&nbsp;&nbsp;6.00%, 08/01/37 | 0 <sup>(b)</sup> | 235 |
| &nbsp;&nbsp;&nbsp;6.00%, 09/01/37 | 7 | 7313 |
| &nbsp;&nbsp;&nbsp;6.00%, 10/01/37 | 18 | 18888 |
| &nbsp;&nbsp;&nbsp;6.00%, 10/01/37 | 0 <sup>(b)</sup> | 540 |
| &nbsp;&nbsp;&nbsp;6.00%, 11/01/37 | 0 <sup>(b)</sup> | 503 |
| &nbsp;&nbsp;&nbsp;6.00%, 11/01/37 | 10 | 10811 |
| &nbsp;&nbsp;&nbsp;6.00%, 12/01/37 | 50 | 51784 |
| &nbsp;&nbsp;&nbsp;6.00%, 01/01/38 | 58 | 60869 |
| &nbsp;&nbsp;&nbsp;6.00%, 02/01/38 | 1 | 1432 |
| &nbsp;&nbsp;&nbsp;6.00%, 04/01/38 | 30 | 32184 |
| &nbsp;&nbsp;&nbsp;6.00%, 05/01/38 | 33 | 35320 |
| &nbsp;&nbsp;&nbsp;6.00%, 06/01/38 | 14 | 15367 |
| &nbsp;&nbsp;&nbsp;6.00%, 07/01/38 | 15 | 16685 |
| &nbsp;&nbsp;&nbsp;6.00%, 08/01/38 | 0 <sup>(b)</sup> | 319 |

---

---

| | |
|:---|:---|
| Schedule of Investments (unaudited) (continued) | **iShares<sup>®</sup> MBS ETF** |
| November 30, 2022 | **(Percentages shown are based on Net Assets)** |

---

---

| | | |
|:---|:---|:---|
| *Security* | *Par<br> (000)* | *Value* |
| **Mortgage-Backed Securities (continued)** |  |  |
| &nbsp;&nbsp;&nbsp;6.00%, 08/01/38 | $15 | $15041 |
| &nbsp;&nbsp;&nbsp;6.00%, 09/01/38 | 1315 | 1388994 |
| &nbsp;&nbsp;&nbsp;6.00%, 10/01/38 | 1 | 770 |
| &nbsp;&nbsp;&nbsp;6.00%, 11/01/38 | 5 | 5690 |
| &nbsp;&nbsp;&nbsp;6.00%, 12/01/38 | 2 | 1996 |
| &nbsp;&nbsp;&nbsp;6.00%, 01/01/39 | 7 | 7108 |
| &nbsp;&nbsp;&nbsp;6.00%, 02/01/39 | 2 | 2036 |
| &nbsp;&nbsp;&nbsp;6.00%, 11/01/39 | 4 | 3752 |
| &nbsp;&nbsp;&nbsp;6.00%, 12/01/39 | 1 | 919 |
| &nbsp;&nbsp;&nbsp;6.00%, 04/01/40 | 7 | 7172 |
| &nbsp;&nbsp;&nbsp;6.00%, 07/01/40 | 3713 | 3920680 |
| &nbsp;&nbsp;&nbsp;6.50%, 03/01/24 | 0 <sup>(b)</sup> | 154 |
| &nbsp;&nbsp;&nbsp;6.50%, 04/01/24 | 0 <sup>(b)</sup> | 63 |
| &nbsp;&nbsp;&nbsp;6.50%, 06/01/24 | 0 <sup>(b)</sup> | 51 |
| &nbsp;&nbsp;&nbsp;6.50%, 07/01/24 | 0 <sup>(b)</sup> | 207 |
| &nbsp;&nbsp;&nbsp;6.50%, 09/01/24 | 2 | 1967 |
| &nbsp;&nbsp;&nbsp;6.50%, 12/01/25 | 0 <sup>(b)</sup> | 54 |
| &nbsp;&nbsp;&nbsp;6.50%, 01/01/26 | 0 <sup>(b)</sup> | 79 |
| &nbsp;&nbsp;&nbsp;6.50%, 02/01/26 | 0 <sup>(b)</sup> | 145 |
| &nbsp;&nbsp;&nbsp;6.50%, 03/01/26 | 0 <sup>(b)</sup> | 184 |
| &nbsp;&nbsp;&nbsp;6.50%, 04/01/26 | 1 | 907 |
| &nbsp;&nbsp;&nbsp;6.50%, 03/01/27 | 0 <sup>(b)</sup> | 287 |
| &nbsp;&nbsp;&nbsp;6.50%, 04/01/28 | 0 <sup>(b)</sup> | 188 |
| &nbsp;&nbsp;&nbsp;6.50%, 05/01/28 | 1 | 533 |
| &nbsp;&nbsp;&nbsp;6.50%, 06/01/28 | 0 <sup>(b)</sup> | 369 |
| &nbsp;&nbsp;&nbsp;6.50%, 07/01/28 | 1 | 734 |
| &nbsp;&nbsp;&nbsp;6.50%, 09/01/28 | 0 <sup>(b)</sup> | 484 |
| &nbsp;&nbsp;&nbsp;6.50%, 10/01/28 | 0 <sup>(b)</sup> | 613 |
| &nbsp;&nbsp;&nbsp;6.50%, 12/01/28 | 2 | 1589 |
| &nbsp;&nbsp;&nbsp;6.50%, 12/01/28 | 0 <sup>(b)</sup> | 318 |
| &nbsp;&nbsp;&nbsp;6.50%, 01/01/29 | 3 | 3248 |
| &nbsp;&nbsp;&nbsp;6.50%, 02/01/29 | 0 <sup>(b)</sup> | 502 |
| &nbsp;&nbsp;&nbsp;6.50%, 02/01/29 | 2 | 2282 |
| &nbsp;&nbsp;&nbsp;6.50%, 03/01/29 | 3 | 3389 |
| &nbsp;&nbsp;&nbsp;6.50%, 04/01/29 | 0 <sup>(b)</sup> | 513 |
| &nbsp;&nbsp;&nbsp;6.50%, 04/01/29 | 4 | 3029 |
| &nbsp;&nbsp;&nbsp;6.50%, 05/01/29 | 0 <sup>(b)</sup> | 1078 |
| &nbsp;&nbsp;&nbsp;6.50%, 06/01/29 | 0 <sup>(b)</sup> | 587 |
| &nbsp;&nbsp;&nbsp;6.50%, 07/01/29 | 0 <sup>(b)</sup> | 523 |
| &nbsp;&nbsp;&nbsp;6.50%, 08/01/29 | 3 | 3200 |
| &nbsp;&nbsp;&nbsp;6.50%, 09/01/29 | 5 | 4763 |
| &nbsp;&nbsp;&nbsp;6.50%, 08/01/30 | 1 | 840 |
| &nbsp;&nbsp;&nbsp;6.50%, 01/01/31 | 0 <sup>(b)</sup> | 128 |
| &nbsp;&nbsp;&nbsp;6.50%, 05/01/31 | 1 | 752 |
| &nbsp;&nbsp;&nbsp;6.50%, 05/01/31 | 0 <sup>(b)</sup> | 61 |
| &nbsp;&nbsp;&nbsp;6.50%, 06/01/31 | 0 <sup>(b)</sup> | 177 |
| &nbsp;&nbsp;&nbsp;6.50%, 06/01/31 | 8 | 8324 |
| &nbsp;&nbsp;&nbsp;6.50%, 07/01/31 | 2 | 1584 |
| &nbsp;&nbsp;&nbsp;6.50%, 07/01/31 | 0 <sup>(b)</sup> | 90 |
| &nbsp;&nbsp;&nbsp;6.50%, 08/01/31 | 0 <sup>(b)</sup> | 352 |
| &nbsp;&nbsp;&nbsp;6.50%, 08/01/31 | 3 | 2338 |
| &nbsp;&nbsp;&nbsp;6.50%, 09/01/31 | 2 | 1231 |
| &nbsp;&nbsp;&nbsp;6.50%, 10/01/31 | 0 <sup>(b)</sup> | 363 |
| &nbsp;&nbsp;&nbsp;6.50%, 11/01/31 | 0 <sup>(b)</sup> | 464 |
| &nbsp;&nbsp;&nbsp;6.50%, 12/01/31 | 6 | 6289 |
| &nbsp;&nbsp;&nbsp;6.50%, 01/01/32 | 0 <sup>(b)</sup> | 46 |
| &nbsp;&nbsp;&nbsp;6.50%, 02/01/32 | 3 | 2817 |
| &nbsp;&nbsp;&nbsp;6.50%, 02/01/32 | 0 <sup>(b)</sup> | 449 |
| &nbsp;&nbsp;&nbsp;6.50%, 03/01/32 | 0 <sup>(b)</sup> | 529 |
| &nbsp;&nbsp;&nbsp;6.50%, 03/01/32 | 2 | 2963 |

---

---

| | | |
|:---|:---|:---|
| *Security* | *Par<br> (000)* | *Value* |
| **Mortgage-Backed Securities (continued)** |  |  |
| &nbsp;&nbsp;&nbsp;6.50%, 04/01/32 | $2 | $2245 |
| &nbsp;&nbsp;&nbsp;6.50%, 04/01/32 | 0 <sup>(b)</sup> | 127 |
| &nbsp;&nbsp;&nbsp;6.50%, 05/01/32 | 0 <sup>(b)</sup> | 167 |
| &nbsp;&nbsp;&nbsp;6.50%, 07/01/32 | 1 | 699 |
| &nbsp;&nbsp;&nbsp;6.50%, 08/01/32 | 8 | 7010 |
| &nbsp;&nbsp;&nbsp;6.50%, 08/01/32 | 1 <sup>(b)</sup> | 1201 |
| &nbsp;&nbsp;&nbsp;6.50%, 09/01/32 | 1 | 1245 |
| &nbsp;&nbsp;&nbsp;6.50%, 10/01/32 | 2 | 1876 |
| &nbsp;&nbsp;&nbsp;6.50%, 11/01/32 | 1 | 751 |
| &nbsp;&nbsp;&nbsp;6.50%, 12/01/32 | 3 | 3078 |
| &nbsp;&nbsp;&nbsp;6.50%, 12/01/33 | 6 | 6524 |
| &nbsp;&nbsp;&nbsp;6.50%, 04/01/34 | 20 | 20785 |
| &nbsp;&nbsp;&nbsp;6.50%, 07/01/34 | 2 | 2030 |
| &nbsp;&nbsp;&nbsp;6.50%, 09/01/34 | 3 | 3842 |
| &nbsp;&nbsp;&nbsp;6.50%, 01/01/35 | 2 | 2516 |
| &nbsp;&nbsp;&nbsp;6.50%, 04/01/35 | 1 | 599 |
| &nbsp;&nbsp;&nbsp;6.50%, 08/01/35 | 6 | 6013 |
| &nbsp;&nbsp;&nbsp;6.50%, 02/01/36 | 0 <sup>(b)</sup> | 491 |
| &nbsp;&nbsp;&nbsp;6.50%, 06/01/36 | 1 | 1336 |
| &nbsp;&nbsp;&nbsp;6.50%, 08/01/36 | 1 | 1363 |
| &nbsp;&nbsp;&nbsp;6.50%, 09/01/36 | 35 | 36668 |
| &nbsp;&nbsp;&nbsp;6.50%, 10/01/36 | 11 | 11812 |
| &nbsp;&nbsp;&nbsp;6.50%, 11/01/36 | 1 | 863 |
| &nbsp;&nbsp;&nbsp;6.50%, 08/01/37 | 3 | 3172 |
| &nbsp;&nbsp;&nbsp;6.50%, 10/01/37 | 10 | 10178 |
| &nbsp;&nbsp;&nbsp;6.50%, 11/01/37 | 3 | 3625 |
| &nbsp;&nbsp;&nbsp;6.50%, 12/01/37 | 0 <sup>(b)</sup> | 217 |
| &nbsp;&nbsp;&nbsp;6.50%, 12/01/37 | 15 | 16150 |
| &nbsp;&nbsp;&nbsp;6.50%, 01/01/38 | 1 | 910 |
| &nbsp;&nbsp;&nbsp;6.50%, 02/01/38 | 17 | 18015 |
| &nbsp;&nbsp;&nbsp;6.50%, 02/01/38 | 0 <sup>(b)</sup> | 241 |
| &nbsp;&nbsp;&nbsp;6.50%, 07/01/38 | 2 | 1698 |
| &nbsp;&nbsp;&nbsp;6.50%, 08/01/38 | 1 | 1127 |
| &nbsp;&nbsp;&nbsp;6.50%, 10/01/38 | 1 | 544 |
| &nbsp;&nbsp;&nbsp;6.50%, 12/01/38 | 2 | 2580 |
| &nbsp;&nbsp;&nbsp;6.50%, 01/01/39 | 11 | 11097 |
| &nbsp;&nbsp;&nbsp;6.50%, 09/01/39 | 18 | 18872 |
| &nbsp;&nbsp;&nbsp;7.00%, 04/01/23 | 0 <sup>(b)</sup> | 28 |
| &nbsp;&nbsp;&nbsp;7.00%, 07/01/23 | 0 <sup>(b)</sup> | 49 |
| &nbsp;&nbsp;&nbsp;7.00%, 09/01/23 | 0 <sup>(b)</sup> | 12 |
| &nbsp;&nbsp;&nbsp;7.00%, 02/01/24 | 0 <sup>(b)</sup> | 5 |
| &nbsp;&nbsp;&nbsp;7.00%, 05/01/24 | 0 <sup>(b)</sup> | 82 |
| &nbsp;&nbsp;&nbsp;7.00%, 07/01/24 | 0 <sup>(b)</sup> | 42 |
| &nbsp;&nbsp;&nbsp;7.00%, 12/01/25 | 0 <sup>(b)</sup> | 8 |
| &nbsp;&nbsp;&nbsp;7.00%, 03/01/26 | 0 <sup>(b)</sup> | 229 |
| &nbsp;&nbsp;&nbsp;7.00%, 03/01/26 | 1 | 760 |
| &nbsp;&nbsp;&nbsp;7.00%, 06/01/26 | 0 <sup>(b)</sup> | 144 |
| &nbsp;&nbsp;&nbsp;7.00%, 12/01/26 | 0 <sup>(b)</sup> | 129 |
| &nbsp;&nbsp;&nbsp;7.00%, 01/01/27 | 0 <sup>(b)</sup> | 96 |
| &nbsp;&nbsp;&nbsp;7.00%, 02/01/27 | 0 <sup>(b)</sup> | 424 |
| &nbsp;&nbsp;&nbsp;7.00%, 03/01/27 | 0 <sup>(b)</sup> | 120 |
| &nbsp;&nbsp;&nbsp;7.00%, 04/01/27 | 0 <sup>(b)</sup> | 31 |
| &nbsp;&nbsp;&nbsp;7.00%, 05/01/27 | 0 <sup>(b)</sup> | 53 |
| &nbsp;&nbsp;&nbsp;7.00%, 09/01/27 | 1 | 596 |
| &nbsp;&nbsp;&nbsp;7.00%, 10/01/27 | 0 <sup>(b)</sup> | 257 |
| &nbsp;&nbsp;&nbsp;7.00%, 11/01/27 | 0 <sup>(b)</sup> | 280 |
| &nbsp;&nbsp;&nbsp;7.00%, 12/01/27 | 1 | 615 |
| &nbsp;&nbsp;&nbsp;7.00%, 12/01/27 | 0 <sup>(b)</sup> | 86 |
| &nbsp;&nbsp;&nbsp;7.00%, 05/01/28 | 1 | 520 |
| &nbsp;&nbsp;&nbsp;7.00%, 07/01/28 | 0 <sup>(b)</sup> | 23 |

---

---

| | |
|:---|:---|
| Schedule of Investments (unaudited) (continued) | **iShares<sup>®</sup> MBS ETF** |
| November 30, 2022 | **(Percentages shown are based on Net Assets)** |

---

---

| | | |
|:---|:---|:---|
| *Security* | *Par<br> (000)* | *Value* |
| **Mortgage-Backed Securities (continued)** |  |  |
| &nbsp;&nbsp;&nbsp;7.00%, 10/01/28 | $0 <sup>(b)</sup> | $306 |
| &nbsp;&nbsp;&nbsp;7.00%, 11/01/28 | 1 | 626 |
| &nbsp;&nbsp;&nbsp;7.00%, 12/01/28 | 2 | 1776 |
| &nbsp;&nbsp;&nbsp;7.00%, 03/01/29 | 0 <sup>(b)</sup> | 209 |
| &nbsp;&nbsp;&nbsp;7.00%, 06/01/29 | 1 | 1417 |
| &nbsp;&nbsp;&nbsp;7.00%, 06/01/29 | 0 <sup>(b)</sup> | 62 |
| &nbsp;&nbsp;&nbsp;7.00%, 07/01/29 | 0 <sup>(b)</sup> | 168 |
| &nbsp;&nbsp;&nbsp;7.00%, 07/01/29 | 2 | 2503 |
| &nbsp;&nbsp;&nbsp;7.00%, 09/01/29 | 0 <sup>(b)</sup> | 186 |
| &nbsp;&nbsp;&nbsp;7.00%, 10/01/29 | 1 | 1103 |
| &nbsp;&nbsp;&nbsp;7.00%, 01/01/30 | 0 <sup>(b)</sup> | 16 |
| &nbsp;&nbsp;&nbsp;7.00%, 02/01/30 | 0 <sup>(b)</sup> | 95 |
| &nbsp;&nbsp;&nbsp;7.00%, 05/01/30 | 0 <sup>(b)</sup> | 119 |
| &nbsp;&nbsp;&nbsp;7.00%, 12/01/30 | 0 <sup>(b)</sup> | 470 |
| &nbsp;&nbsp;&nbsp;7.00%, 01/01/31 | 0 <sup>(b)</sup> | 17 |
| &nbsp;&nbsp;&nbsp;7.00%, 01/01/31 | 1 | 733 |
| &nbsp;&nbsp;&nbsp;7.00%, 02/01/31 | 1 | 705 |
| &nbsp;&nbsp;&nbsp;7.00%, 05/01/31 | 0 <sup>(b)</sup> | 465 |
| &nbsp;&nbsp;&nbsp;7.00%, 07/01/31 | 1 | 1219 |
| &nbsp;&nbsp;&nbsp;7.00%, 08/01/31 | 1 | 1254 |
| &nbsp;&nbsp;&nbsp;7.00%, 09/01/31 | 2 | 1939 |
| &nbsp;&nbsp;&nbsp;7.00%, 12/01/31 | 1 | 1230 |
| &nbsp;&nbsp;&nbsp;7.00%, 12/01/31 | 0 <sup>(b)</sup> | 485 |
| &nbsp;&nbsp;&nbsp;7.00%, 02/01/32 | 1 | 1473 |
| &nbsp;&nbsp;&nbsp;7.00%, 03/01/32 | 3 | 3006 |
| &nbsp;&nbsp;&nbsp;7.00%, 05/01/32 | 1 | 1144 |
| &nbsp;&nbsp;&nbsp;7.00%, 05/01/32 | 0 <sup>(b)</sup> | 383 |
| &nbsp;&nbsp;&nbsp;7.00%, 06/01/32 | 1 | 1151 |
| &nbsp;&nbsp;&nbsp;7.00%, 06/01/32 | 0 <sup>(b)</sup> | 417 |
| &nbsp;&nbsp;&nbsp;7.00%, 07/01/32 | 3 | 3448 |
| &nbsp;&nbsp;&nbsp;7.00%, 08/01/32 | 2 | 2610 |
| &nbsp;&nbsp;&nbsp;7.00%, 09/01/32 | 1 | 659 |
| &nbsp;&nbsp;&nbsp;7.00%, 11/01/32 | 1 | 879 |
| &nbsp;&nbsp;&nbsp;7.00%, 10/01/33 | 9 | 9558 |
| &nbsp;&nbsp;&nbsp;7.00%, 11/01/36 | 2 | 1955 |
| &nbsp;&nbsp;&nbsp;7.00%, 12/01/36 | 6 | 6143 |
| &nbsp;&nbsp;&nbsp;7.00%, 09/01/38 | 2 | 1726 |
| &nbsp;&nbsp;&nbsp;7.50%, 04/01/23 | 0 <sup>(b)</sup> | 74 |
| &nbsp;&nbsp;&nbsp;7.50%, 01/01/24 | 0 <sup>(b)</sup> | 3 |
| &nbsp;&nbsp;&nbsp;7.50%, 05/01/24 | 0 <sup>(b)</sup> | 10 |
| &nbsp;&nbsp;&nbsp;7.50%, 06/01/24 | 0 <sup>(b)</sup> | 6 |
| &nbsp;&nbsp;&nbsp;7.50%, 11/01/25 | 0 <sup>(b)</sup> | 147 |
| &nbsp;&nbsp;&nbsp;7.50%, 01/01/26 | 0 <sup>(b)</sup> | 364 |
| &nbsp;&nbsp;&nbsp;7.50%, 03/01/26 | 0 <sup>(b)</sup> | 186 |
| &nbsp;&nbsp;&nbsp;7.50%, 04/01/26 | 0 <sup>(b)</sup> | 88 |
| &nbsp;&nbsp;&nbsp;7.50%, 05/01/26 | 0 <sup>(b)</sup> | 141 |
| &nbsp;&nbsp;&nbsp;7.50%, 10/01/26 | 0 <sup>(b)</sup> | 151 |
| &nbsp;&nbsp;&nbsp;7.50%, 12/01/26 | 0 <sup>(b)</sup> | 19 |
| &nbsp;&nbsp;&nbsp;7.50%, 04/01/27 | 0 <sup>(b)</sup> | 96 |
| &nbsp;&nbsp;&nbsp;7.50%, 06/01/27 | 0 <sup>(b)</sup> | 63 |
| &nbsp;&nbsp;&nbsp;7.50%, 08/01/27 | 0 <sup>(b)</sup> | 176 |
| &nbsp;&nbsp;&nbsp;7.50%, 09/01/27 | 0 <sup>(b)</sup> | 43 |
| &nbsp;&nbsp;&nbsp;7.50%, 12/01/27 | 0 <sup>(b)</sup> | 400 |
| &nbsp;&nbsp;&nbsp;7.50%, 03/01/28 | 1 | 741 |
| &nbsp;&nbsp;&nbsp;7.50%, 07/01/28 | 0 <sup>(b)</sup> | 142 |
| &nbsp;&nbsp;&nbsp;7.50%, 11/01/28 | 0 <sup>(b)</sup> | 150 |
| &nbsp;&nbsp;&nbsp;7.50%, 07/01/29 | 7 | 7106 |
| &nbsp;&nbsp;&nbsp;7.50%, 12/01/29 | 0 <sup>(b)</sup> | 63 |
| &nbsp;&nbsp;&nbsp;7.50%, 01/01/30 | 0 <sup>(b)</sup> | 147 |
| &nbsp;&nbsp;&nbsp;7.50%, 03/01/30 | 0 <sup>(b)</sup> | 71 |

---

---

| | | |
|:---|:---|:---|
| *Security* | *Par<br> (000)* | *Value* |
| **Mortgage-Backed Securities (continued)** |  |  |
| &nbsp;&nbsp;&nbsp;7.50%, 05/01/30 | $0 <sup>(b)</sup> | $85 |
| &nbsp;&nbsp;&nbsp;7.50%, 06/01/30 | 0 <sup>(b)</sup> | 31 |
| &nbsp;&nbsp;&nbsp;7.50%, 07/01/30 | 0 <sup>(b)</sup> | 10 |
| &nbsp;&nbsp;&nbsp;7.50%, 08/01/30 | 0 <sup>(b)</sup> | 616 |
| &nbsp;&nbsp;&nbsp;7.50%, 09/01/30 | 1 | 1232 |
| &nbsp;&nbsp;&nbsp;7.50%, 10/01/30 | 0 <sup>(b)</sup> | 73 |
| &nbsp;&nbsp;&nbsp;7.50%, 10/01/30 | 1 | 547 |
| &nbsp;&nbsp;&nbsp;7.50%, 11/01/30 | 1 | 972 |
| &nbsp;&nbsp;&nbsp;7.50%, 12/01/30 | 1 | 678 |
| &nbsp;&nbsp;&nbsp;7.50%, 01/01/31 | 0 <sup>(b)</sup> | 32 |
| &nbsp;&nbsp;&nbsp;7.50%, 02/01/31 | 0 <sup>(b)</sup> | 65 |
| &nbsp;&nbsp;&nbsp;7.50%, 09/01/31 | 1 | 1177 |
| &nbsp;&nbsp;&nbsp;7.50%, 01/01/32 | 1 | 1461 |
| &nbsp;&nbsp;&nbsp;8.00%, 12/01/23 | 0 <sup>(b)</sup> | 2 |
| &nbsp;&nbsp;&nbsp;8.00%, 04/01/24 | 0 <sup>(b)</sup> | 13 |
| &nbsp;&nbsp;&nbsp;8.00%, 05/01/24 | 0 <sup>(b)</sup> | 13 |
| &nbsp;&nbsp;&nbsp;8.00%, 05/01/25 | 0 <sup>(b)</sup> | 68 |
| &nbsp;&nbsp;&nbsp;8.00%, 10/01/25 | 0 <sup>(b)</sup> | 14 |
| &nbsp;&nbsp;&nbsp;8.00%, 11/01/25 | 0 <sup>(b)</sup> | 296 |
| &nbsp;&nbsp;&nbsp;8.00%, 09/01/26 | 0 <sup>(b)</sup> | 464 |
| &nbsp;&nbsp;&nbsp;8.00%, 10/01/26 | 0 <sup>(b)</sup> | 97 |
| &nbsp;&nbsp;&nbsp;8.00%, 11/01/26 | 0 <sup>(b)</sup> | 250 |
| &nbsp;&nbsp;&nbsp;8.00%, 03/01/27 | 0 <sup>(b)</sup> | 226 |
| &nbsp;&nbsp;&nbsp;8.00%, 05/01/27 | 0 <sup>(b)</sup> | 211 |
| &nbsp;&nbsp;&nbsp;8.00%, 06/01/27 | 0 <sup>(b)</sup> | 105 |
| &nbsp;&nbsp;&nbsp;8.00%, 09/01/27 | 0 <sup>(b)</sup> | 129 |
| &nbsp;&nbsp;&nbsp;8.00%, 11/01/27 | 0 <sup>(b)</sup> | 54 |
| &nbsp;&nbsp;&nbsp;8.00%, 10/01/29 | 0 <sup>(b)</sup> | 62 |
| &nbsp;&nbsp;&nbsp;8.00%, 11/01/29 | 0 <sup>(b)</sup> | 381 |
| &nbsp;&nbsp;&nbsp;8.00%, 12/01/29 | 0 <sup>(b)</sup> | 136 |
| &nbsp;&nbsp;&nbsp;8.00%, 01/01/30 | 0 <sup>(b)</sup> | 56 |
| &nbsp;&nbsp;&nbsp;8.00%, 03/01/30 | 1 | 662 |
| &nbsp;&nbsp;&nbsp;8.00%, 07/01/30 | 0 <sup>(b)</sup> | 49 |
| &nbsp;&nbsp;&nbsp;8.00%, 06/01/31 | 1 | 1227 |
| &nbsp;&nbsp;&nbsp;8.50%, 03/01/23 | 0 <sup>(b)</sup> | 6 |
| &nbsp;&nbsp;&nbsp;8.50%, 06/01/24 | 0 <sup>(b)</sup> | 8 |
| &nbsp;&nbsp;&nbsp;8.50%, 11/01/24 | 0 <sup>(b)</sup> | 22 |
| &nbsp;&nbsp;&nbsp;8.50%, 01/01/25 | 0 <sup>(b)</sup> | 39 |
| &nbsp;&nbsp;&nbsp;8.50%, 03/01/25 | 0 <sup>(b)</sup> | 90 |
| &nbsp;&nbsp;&nbsp;8.50%, 06/01/25 | 0 <sup>(b)</sup> | 33 |
| &nbsp;&nbsp;&nbsp;8.50%, 09/01/25 | 0 <sup>(b)</sup> | 96 |
| &nbsp;&nbsp;&nbsp;8.50%, 07/01/30 | 0 <sup>(b)</sup> | 210 |
| &nbsp;&nbsp;&nbsp;9.00%, 04/01/25 | 0 <sup>(b)</sup> | 62 |
| &nbsp;&nbsp;&nbsp;9.00%, 10/01/25 | 0 <sup>(b)</sup> | 51 |
| &nbsp;&nbsp;&nbsp;9.50%, 06/01/25 | 0 <sup>(b)</sup> | 35 |
| &nbsp;&nbsp;&nbsp;10.00%, 04/01/25 | 0 <sup>(b)</sup> | 28 |
| Federal National Mortgage Association |  |  |
| &nbsp;&nbsp;&nbsp;1.50%, 07/01/37 | 24863 | 21738162 |
| &nbsp;&nbsp;&nbsp;&nbsp;1.50%, 12/15/37<sup>(c)</sup> | 20917 | 18331564 |
| &nbsp;&nbsp;&nbsp;2.00%, 08/01/35 | 2054 | 1848450 |
| &nbsp;&nbsp;&nbsp;2.00%, 04/01/37 | 1623 | 1459841 |
| &nbsp;&nbsp;&nbsp;2.00%, 05/01/37 | 2545 | 2288426 |
| &nbsp;&nbsp;&nbsp;&nbsp;2.00%, 12/15/37<sup>(c)</sup> | 72912 | 65585011 |
| &nbsp;&nbsp;&nbsp;2.00%, 10/01/50 | 1996 | 1649166 |
| &nbsp;&nbsp;&nbsp;2.00%, 11/01/50 | 3522 | 2895110 |
| &nbsp;&nbsp;&nbsp;2.00%, 02/01/51 | 93878 | 77526943 |
| &nbsp;&nbsp;&nbsp;2.00%, 03/01/51 | 6301 | 5197435 |
| &nbsp;&nbsp;&nbsp;2.00%, 12/01/51 | 4817 | 3969236 |
| &nbsp;&nbsp;&nbsp;2.00%, 02/01/52 | 50327 | 41457491 |
| &nbsp;&nbsp;&nbsp;2.00%, 03/01/52 | 4427 | 3644857 |

---

---

| | |
|:---|:---|
| Schedule of Investments (unaudited) (continued) | **iShares<sup>®</sup> MBS ETF** |
| November 30, 2022 | **(Percentages shown are based on Net Assets)** |

---

---

| | | |
|:---|:---|:---|
| *Security* | *Par<br> (000)* | *Value* |
| **Mortgage-Backed Securities (continued)** |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;2.24%, 02/01/42, (12 mo. LIBOR US + 1.805%)<sup>(a)</sup> | $334 | $330213 |
| &nbsp;&nbsp;&nbsp;2.50%, 12/01/31 | 328 | 309017 |
| &nbsp;&nbsp;&nbsp;2.50%, 09/01/34 | 1124 | 1042256 |
| &nbsp;&nbsp;&nbsp;2.50%, 04/01/35 | 9213 | 8541997 |
| &nbsp;&nbsp;&nbsp;2.50%, 07/01/35 | 758 | 701645 |
| &nbsp;&nbsp;&nbsp;&nbsp;2.50%, 12/16/35<sup>(c)</sup> | 50966 | 47087586 |
| &nbsp;&nbsp;&nbsp;2.50%, 12/01/36 | 894 | 827527 |
| &nbsp;&nbsp;&nbsp;2.50%, 02/01/37 | 5893 | 5437496 |
| &nbsp;&nbsp;&nbsp;2.50%, 03/01/37 | 7484 | 6905668 |
| &nbsp;&nbsp;&nbsp;2.50%, 05/01/37 | 1239 | 1143155 |
| &nbsp;&nbsp;&nbsp;2.50%, 01/01/47 | 1071 | 917539 |
| &nbsp;&nbsp;&nbsp;2.50%, 09/01/50 | 1287 | 1098838 |
| &nbsp;&nbsp;&nbsp;2.50%, 06/01/51 | 961 | 824629 |
| &nbsp;&nbsp;&nbsp;2.50%, 07/01/51 | 997 | 850894 |
| &nbsp;&nbsp;&nbsp;2.50%, 10/01/51 | 5887 | 5043025 |
| &nbsp;&nbsp;&nbsp;2.50%, 11/01/51 | 4871 | 4158089 |
| &nbsp;&nbsp;&nbsp;2.50%, 01/01/52 | 7399 | 6316516 |
| &nbsp;&nbsp;&nbsp;2.50%, 02/01/52 | 11792 | 10095918 |
| &nbsp;&nbsp;&nbsp;2.50%, 04/01/52 | 4760 | 4078358 |
| &nbsp;&nbsp;&nbsp;2.50%, 09/01/52 | 21176 | 18158264 |
| &nbsp;&nbsp;&nbsp;&nbsp;2.57%, 12/01/38, (12 mo. LIBOR US + 1.817%)<sup>(a)</sup> | 191 | 187831 |
| &nbsp;&nbsp;&nbsp;3.00%, 07/01/30 | 1288 | 1233086 |
| &nbsp;&nbsp;&nbsp;3.00%, 08/01/31 | 35 | 32932 |
| &nbsp;&nbsp;&nbsp;3.00%, 07/01/34 | 3466 | 3280491 |
| &nbsp;&nbsp;&nbsp;3.00%, 09/01/34 | 2075 | 1964121 |
| &nbsp;&nbsp;&nbsp;3.00%, 07/01/35 | 379 | 358620 |
| &nbsp;&nbsp;&nbsp;3.00%, 04/01/36 | 843 | 792843 |
| &nbsp;&nbsp;&nbsp;3.00%, 05/01/37 | 15967 | 15022554 |
| &nbsp;&nbsp;&nbsp;3.00%, 10/01/37 | 2470 | 2322018 |
| &nbsp;&nbsp;&nbsp;3.00%, 12/01/37 | 1081 | 1016427 |
| &nbsp;&nbsp;&nbsp;3.00%, 02/01/47 | 7150 | 6527437 |
| &nbsp;&nbsp;&nbsp;3.00%, 03/01/47 | 5052 | 4518796 |
| &nbsp;&nbsp;&nbsp;3.00%, 01/01/50 | 1082 | 965969 |
| &nbsp;&nbsp;&nbsp;3.00%, 06/01/50 | 4951 | 4412349 |
| &nbsp;&nbsp;&nbsp;3.00%, 08/01/50 | 5024 | 4508291 |
| &nbsp;&nbsp;&nbsp;3.00%, 04/01/51 | 7266 | 6516621 |
| &nbsp;&nbsp;&nbsp;3.00%, 06/01/51 | 345 | 307244 |
| &nbsp;&nbsp;&nbsp;3.00%, 10/01/51 | 214899 | 190755099 |
| &nbsp;&nbsp;&nbsp;&nbsp;3.38%, 06/01/43, (12 mo. LIBOR US + 1.535%)<sup>(a)</sup> | 774 | 771580 |
| &nbsp;&nbsp;&nbsp;3.50%, 05/01/32 | 341 | 329237 |
| &nbsp;&nbsp;&nbsp;3.50%, 05/01/33 | 2306 | 2239930 |
| &nbsp;&nbsp;&nbsp;3.50%, 10/01/34 | 534 | 516990 |
| &nbsp;&nbsp;&nbsp;3.50%, 02/01/35 | 1247 | 1208569 |
| &nbsp;&nbsp;&nbsp;3.50%, 05/01/35 | 2116 | 2043197 |
| &nbsp;&nbsp;&nbsp;3.50%, 07/01/37 | 418 | 401870 |
| &nbsp;&nbsp;&nbsp;3.50%, 12/01/37 | 2000 | 1921632 |
| &nbsp;&nbsp;&nbsp;3.50%, 07/01/43 | 12422 | 11749228 |
| &nbsp;&nbsp;&nbsp;3.50%, 09/01/46 | 113 | 106910 |
| &nbsp;&nbsp;&nbsp;3.50%, 01/01/47 | 554 | 522365 |
| &nbsp;&nbsp;&nbsp;3.50%, 07/01/49 | 11512 | 10795929 |
| &nbsp;&nbsp;&nbsp;3.50%, 09/01/49 | 392 | 362668 |
| &nbsp;&nbsp;&nbsp;3.50%, 01/01/50 | 2829 | 2616935 |
| &nbsp;&nbsp;&nbsp;3.50%, 02/01/50 | 5454 | 5045934 |
| &nbsp;&nbsp;&nbsp;3.50%, 04/01/50 | 1265 | 1169986 |
| &nbsp;&nbsp;&nbsp;3.50%, 07/01/50 | 6065 | 5610680 |
| &nbsp;&nbsp;&nbsp;3.50%, 12/01/50 | 233 | 214110 |
| &nbsp;&nbsp;&nbsp;3.50%, 11/01/51 | 5981 | 5627762 |
| &nbsp;&nbsp;&nbsp;3.50%, 01/01/52 | 5398 | 4952172 |
| &nbsp;&nbsp;&nbsp;&nbsp;3.95%, 08/01/42, (12 mo. LIBOR US + 1.695%)<sup>(a)</sup> | 647 | 650562 |
| &nbsp;&nbsp;&nbsp;4.00%, 09/01/26 | 573 | 560539 |

---

---

| | | |
|:---|:---|:---|
| *Security* | *Par<br> (000)* | *Value* |
| **Mortgage-Backed Securities (continued)** |  |  |
| &nbsp;&nbsp;&nbsp;4.00%, 10/01/33 | $426 | $421038 |
| &nbsp;&nbsp;&nbsp;4.00%, 09/01/34 | 4764 | 4706047 |
| &nbsp;&nbsp;&nbsp;4.00%, 08/01/35 | 1571 | 1552729 |
| &nbsp;&nbsp;&nbsp;4.00%, 08/01/37 | 1359 | 1331120 |
| &nbsp;&nbsp;&nbsp;4.00%, 10/01/37 | 1148 | 1123809 |
| &nbsp;&nbsp;&nbsp;&nbsp;4.00%, 12/15/37<sup>(c)</sup> | 19000 | 18572500 |
| &nbsp;&nbsp;&nbsp;&nbsp;4.00%, 08/01/41, (12 mo. LIBOR US + 1.750%)<sup>(a)</sup> | 65 | 64969 |
| &nbsp;&nbsp;&nbsp;4.00%, 02/01/47 | 8079 | 7840032 |
| &nbsp;&nbsp;&nbsp;4.00%, 12/01/47 | 1540 | 1480840 |
| &nbsp;&nbsp;&nbsp;4.00%, 03/01/49 | 12468 | 11968813 |
| &nbsp;&nbsp;&nbsp;4.00%, 04/01/49 | 7268 | 6975364 |
| &nbsp;&nbsp;&nbsp;4.00%, 08/01/51 | 1383 | 1327420 |
| &nbsp;&nbsp;&nbsp;4.00%, 05/01/52 | 9676 | 9226898 |
| &nbsp;&nbsp;&nbsp;4.00%, 08/01/52 | 4932 | 4666638 |
| &nbsp;&nbsp;&nbsp;4.00%, 10/01/52 | 10685 | 10195870 |
| &nbsp;&nbsp;&nbsp;4.00%, 01/01/57 | 4614 | 4471295 |
| &nbsp;&nbsp;&nbsp;4.00%, 02/01/57 | 5214 | 5053372 |
| &nbsp;&nbsp;&nbsp;&nbsp;4.07%, 09/01/41, (12 mo. LIBOR US + 1.815%)<sup>(a)</sup> | 40 | 40434 |
| &nbsp;&nbsp;&nbsp;&nbsp;4.07%, 10/01/41, (12 mo. LIBOR US + 1.815%)<sup>(a)</sup> | 560 | 559771 |
| &nbsp;&nbsp;&nbsp;4.50%, 08/01/25 | 235 | 231868 |
| &nbsp;&nbsp;&nbsp;4.50%, 07/01/33 | 39 | 38775 |
| &nbsp;&nbsp;&nbsp;4.50%, 01/01/35 | 1529 | 1528086 |
| &nbsp;&nbsp;&nbsp;4.50%, 02/01/44 | 963 | 961641 |
| &nbsp;&nbsp;&nbsp;4.50%, 09/01/48 | 3148 | 3113554 |
| &nbsp;&nbsp;&nbsp;4.50%, 05/01/52 | 4542 | 4490915 |
| &nbsp;&nbsp;&nbsp;4.50%, 07/01/52 | 7552 | 7347488 |
| &nbsp;&nbsp;&nbsp;4.50%, 08/01/52 | 4272 | 4157654 |
| &nbsp;&nbsp;&nbsp;4.50%, 09/01/52 | 13576 | 13202218 |
| &nbsp;&nbsp;&nbsp;4.50%, 10/01/52 | 17862 | 17528364 |
| &nbsp;&nbsp;&nbsp;4.50%, 12/01/52 | 5500 | 5347181 |
| &nbsp;&nbsp;&nbsp;5.00%, 08/01/52 | 20753 | 20868398 |
| &nbsp;&nbsp;&nbsp;5.00%, 09/01/52 | 965 | 968943 |
| &nbsp;&nbsp;&nbsp;5.00%, 10/01/52 | 20016 | 20015044 |
| &nbsp;&nbsp;&nbsp;5.00%, 11/01/52 | 17000 | 17002358 |
| &nbsp;&nbsp;&nbsp;5.50%, 08/01/52 | 72628 | 74274311 |
| &nbsp;&nbsp;&nbsp;5.50%, 09/01/52 | 8261 | 8437470 |
| &nbsp;&nbsp;&nbsp;5.50%, 10/01/52 | 1447 | 1479859 |
| &nbsp;&nbsp;&nbsp;5.50%, 11/01/52 | 10831 | 11061557 |
| Government National Mortgage Association |  |  |
| &nbsp;&nbsp;&nbsp;1.50%, 04/20/51 | 538 | 435109 |
| &nbsp;&nbsp;&nbsp;2.00%, 07/20/50 | 11638 | 9947186 |
| &nbsp;&nbsp;&nbsp;2.00%, 08/20/50 | 73332 | 62677076 |
| &nbsp;&nbsp;&nbsp;2.00%, 09/20/50 | 4991 | 4265820 |
| &nbsp;&nbsp;&nbsp;2.00%, 10/20/50 | 649 | 555034 |
| &nbsp;&nbsp;&nbsp;2.00%, 11/20/50 | 25269 | 21597388 |
| &nbsp;&nbsp;&nbsp;2.00%, 12/20/50 | 60579 | 51777399 |
| &nbsp;&nbsp;&nbsp;2.00%, 01/20/51 | 17868 | 15271435 |
| &nbsp;&nbsp;&nbsp;2.00%, 02/20/51 | 28029 | 23924233 |
| &nbsp;&nbsp;&nbsp;2.00%, 03/20/51 | 11960 | 10205094 |
| &nbsp;&nbsp;&nbsp;2.00%, 04/20/51 | 2405 | 2051498 |
| &nbsp;&nbsp;&nbsp;2.00%, 06/20/51 | 3889 | 3314527 |
| &nbsp;&nbsp;&nbsp;2.00%, 07/20/51 | 3215 | 2739002 |
| &nbsp;&nbsp;&nbsp;2.00%, 08/20/51 | 4480 | 3820903 |
| &nbsp;&nbsp;&nbsp;2.00%, 09/20/51 | 696 | 592372 |
| &nbsp;&nbsp;&nbsp;2.00%, 10/20/51 | 303021 | 257893976 |
| &nbsp;&nbsp;&nbsp;2.00%, 11/20/51 | 36999 | 31477889 |
| &nbsp;&nbsp;&nbsp;2.00%, 12/20/51 | 310250 | 263854792 |
| &nbsp;&nbsp;&nbsp;2.00%, 01/20/52 | 64417 | 54763931 |
| &nbsp;&nbsp;&nbsp;2.00%, 02/20/52 | 6108 | 5190614 |
| &nbsp;&nbsp;&nbsp;2.00%, 03/20/52 | 77780 | 66059413 |

---

---

| | |
|:---|:---|
| Schedule of Investments (unaudited) (continued) | **iShares<sup>®</sup> MBS ETF** |
| November 30, 2022 | **(Percentages shown are based on Net Assets)** |

---

---

| | | |
|:---|:---|:---|
| *Security* | *Par<br> (000)* | *Value* |
| **Mortgage-Backed Securities (continued)** |  |  |
| &nbsp;&nbsp;&nbsp;2.00%, 04/20/52 | $71193 | $60389246 |
| &nbsp;&nbsp;&nbsp;2.00%, 06/20/52 | 9828 | 8336359 |
| &nbsp;&nbsp;&nbsp;&nbsp;2.00%, 12/20/52<sup>(c)</sup> | 177765 | 151266905 |
| &nbsp;&nbsp;&nbsp;2.50%, 03/20/27 | 31 | 29797 |
| &nbsp;&nbsp;&nbsp;2.50%, 08/20/27 | 44 | 42306 |
| &nbsp;&nbsp;&nbsp;2.50%, 09/20/27 | 58 | 56015 |
| &nbsp;&nbsp;&nbsp;2.50%, 01/20/28 | 194 | 186996 |
| &nbsp;&nbsp;&nbsp;2.50%, 04/20/28 | 108 | 103858 |
| &nbsp;&nbsp;&nbsp;2.50%, 11/20/30 | 94 | 88666 |
| &nbsp;&nbsp;&nbsp;2.50%, 04/20/32 | 284 | 264549 |
| &nbsp;&nbsp;&nbsp;2.50%, 12/20/42 | 457 | 404408 |
| &nbsp;&nbsp;&nbsp;2.50%, 03/15/43 | 688 | 612129 |
| &nbsp;&nbsp;&nbsp;2.50%, 03/20/43 | 170 | 150709 |
| &nbsp;&nbsp;&nbsp;2.50%, 04/15/43 | 31 | 27327 |
| &nbsp;&nbsp;&nbsp;2.50%, 01/20/45 | 17 | 15484 |
| &nbsp;&nbsp;&nbsp;2.50%, 04/15/45 | 38 | 33547 |
| &nbsp;&nbsp;&nbsp;2.50%, 06/15/45 | 64 | 56506 |
| &nbsp;&nbsp;&nbsp;2.50%, 10/20/45 | 10676 | 9452437 |
| &nbsp;&nbsp;&nbsp;2.50%, 09/15/46 | 16 | 14415 |
| &nbsp;&nbsp;&nbsp;2.50%, 10/15/46 | 363 | 318605 |
| &nbsp;&nbsp;&nbsp;2.50%, 11/20/46 | 217 | 193460 |
| &nbsp;&nbsp;&nbsp;2.50%, 12/20/46 | 12212 | 10901569 |
| &nbsp;&nbsp;&nbsp;2.50%, 01/20/47 | 4563 | 4073150 |
| &nbsp;&nbsp;&nbsp;2.50%, 11/20/47 | 103 | 92292 |
| &nbsp;&nbsp;&nbsp;2.50%, 10/20/49 | 2174 | 1907878 |
| &nbsp;&nbsp;&nbsp;2.50%, 01/20/50 | 77 | 67665 |
| &nbsp;&nbsp;&nbsp;2.50%, 04/20/50 | 15169 | 13371124 |
| &nbsp;&nbsp;&nbsp;2.50%, 06/20/50 | 17233 | 15190292 |
| &nbsp;&nbsp;&nbsp;2.50%, 08/20/50 | 15595 | 13746082 |
| &nbsp;&nbsp;&nbsp;2.50%, 09/20/50 | 30588 | 26961528 |
| &nbsp;&nbsp;&nbsp;2.50%, 01/20/51 | 80234 | 70722837 |
| &nbsp;&nbsp;&nbsp;2.50%, 02/20/51 | 81709 | 71977898 |
| &nbsp;&nbsp;&nbsp;2.50%, 03/20/51 | 114 | 100814 |
| &nbsp;&nbsp;&nbsp;2.50%, 04/20/51 | 93 | 82293 |
| &nbsp;&nbsp;&nbsp;2.50%, 05/20/51 | 210703 | 185441024 |
| &nbsp;&nbsp;&nbsp;2.50%, 06/20/51 | 4553 | 4005468 |
| &nbsp;&nbsp;&nbsp;2.50%, 07/20/51 | 249885 | 219771223 |
| &nbsp;&nbsp;&nbsp;2.50%, 08/20/51 | 113842 | 100075338 |
| &nbsp;&nbsp;&nbsp;2.50%, 09/20/51 | 39681 | 34874876 |
| &nbsp;&nbsp;&nbsp;2.50%, 10/20/51 | 317 | 278788 |
| &nbsp;&nbsp;&nbsp;2.50%, 11/20/51 | 37589 | 33012573 |
| &nbsp;&nbsp;&nbsp;2.50%, 12/20/51 | 142626 | 125261614 |
| &nbsp;&nbsp;&nbsp;2.50%, 01/20/52 | 24114 | 21170901 |
| &nbsp;&nbsp;&nbsp;2.50%, 02/20/52 | 9731 | 8539997 |
| &nbsp;&nbsp;&nbsp;2.50%, 03/20/52 | 84133 | 73703847 |
| &nbsp;&nbsp;&nbsp;2.50%, 04/20/52 | 41784 | 36591621 |
| &nbsp;&nbsp;&nbsp;2.50%, 05/20/52 | 39576 | 34658077 |
| &nbsp;&nbsp;&nbsp;2.50%, 06/20/52 | 4114 | 3607839 |
| &nbsp;&nbsp;&nbsp;2.50%, 07/20/52 | 9766 | 8570221 |
| &nbsp;&nbsp;&nbsp;2.50%, 08/20/52 | 26556 | 23329299 |
| &nbsp;&nbsp;&nbsp;2.50%, 09/20/52 | 6869 | 6034388 |
| &nbsp;&nbsp;&nbsp;2.50%, 10/20/52 | 10961 | 9618744 |
| &nbsp;&nbsp;&nbsp;&nbsp;2.50%, 12/20/52<sup>(c)</sup> | 66792 | 58693471 |
| &nbsp;&nbsp;&nbsp;3.00%, 01/20/27 | 112 | 108569 |
| &nbsp;&nbsp;&nbsp;3.00%, 04/15/27 | 53 | 50859 |
| &nbsp;&nbsp;&nbsp;3.00%, 04/20/27 | 66 | 63187 |
| &nbsp;&nbsp;&nbsp;3.00%, 05/20/27 | 2649 | 2544452 |
| &nbsp;&nbsp;&nbsp;3.00%, 07/15/27 | 1285 | 1234600 |
| &nbsp;&nbsp;&nbsp;3.00%, 09/15/27 | 20 | 19106 |
| &nbsp;&nbsp;&nbsp;3.00%, 09/20/27 | 104 | 99431 |

---

---

| | | |
|:---|:---|:---|
| *Security* | *Par<br> (000)* | *Value* |
| **Mortgage-Backed Securities (continued)** |  |  |
| &nbsp;&nbsp;&nbsp;3.00%, 10/15/27 | $311 | $299026 |
| &nbsp;&nbsp;&nbsp;3.00%, 11/20/27 | 17 | 15964 |
| &nbsp;&nbsp;&nbsp;3.00%, 01/20/28 | 15 | 14545 |
| &nbsp;&nbsp;&nbsp;3.00%, 09/20/28 | 48 | 45710 |
| &nbsp;&nbsp;&nbsp;3.00%, 10/20/28 | 63 | 59372 |
| &nbsp;&nbsp;&nbsp;3.00%, 11/20/28 | 154 | 145761 |
| &nbsp;&nbsp;&nbsp;3.00%, 01/20/29 | 48 | 45609 |
| &nbsp;&nbsp;&nbsp;3.00%, 05/20/29 | 133 | 125523 |
| &nbsp;&nbsp;&nbsp;3.00%, 10/20/30 | 15 | 14593 |
| &nbsp;&nbsp;&nbsp;3.00%, 12/20/31 | 186 | 175637 |
| &nbsp;&nbsp;&nbsp;3.00%, 01/20/42 | 14 | 13114 |
| &nbsp;&nbsp;&nbsp;3.00%, 04/15/42 | 268 | 245809 |
| &nbsp;&nbsp;&nbsp;3.00%, 07/20/42 | 169 | 155237 |
| &nbsp;&nbsp;&nbsp;3.00%, 08/15/42 | 368 | 337728 |
| &nbsp;&nbsp;&nbsp;3.00%, 08/20/42 | 165 | 152171 |
| &nbsp;&nbsp;&nbsp;3.00%, 09/15/42 | 5718 | 5251721 |
| &nbsp;&nbsp;&nbsp;3.00%, 09/20/42 | 471 | 433613 |
| &nbsp;&nbsp;&nbsp;3.00%, 10/15/42 | 787 | 722810 |
| &nbsp;&nbsp;&nbsp;3.00%, 10/20/42 | 5668 | 5220315 |
| &nbsp;&nbsp;&nbsp;3.00%, 11/15/42 | 4703 | 4319503 |
| &nbsp;&nbsp;&nbsp;3.00%, 11/20/42 | 348 | 320845 |
| &nbsp;&nbsp;&nbsp;3.00%, 12/15/42 | 310 | 284976 |
| &nbsp;&nbsp;&nbsp;3.00%, 12/20/42 | 1249 | 1150617 |
| &nbsp;&nbsp;&nbsp;3.00%, 01/20/43 | 8769 | 8077110 |
| &nbsp;&nbsp;&nbsp;3.00%, 02/15/43 | 531 | 487216 |
| &nbsp;&nbsp;&nbsp;3.00%, 02/20/43 | 373 | 343881 |
| &nbsp;&nbsp;&nbsp;3.00%, 03/15/43 | 242 | 222410 |
| &nbsp;&nbsp;&nbsp;3.00%, 04/15/43 | 361 | 332571 |
| &nbsp;&nbsp;&nbsp;3.00%, 04/20/43 | 4397 | 4049687 |
| &nbsp;&nbsp;&nbsp;3.00%, 05/15/43 | 149 | 136465 |
| &nbsp;&nbsp;&nbsp;3.00%, 05/20/43 | 4776 | 4399329 |
| &nbsp;&nbsp;&nbsp;3.00%, 06/15/43 | 67 | 61020 |
| &nbsp;&nbsp;&nbsp;3.00%, 06/20/43 | 1005 | 925284 |
| &nbsp;&nbsp;&nbsp;3.00%, 07/15/43 | 89 | 81762 |
| &nbsp;&nbsp;&nbsp;3.00%, 07/20/43 | 2458 | 2263932 |
| &nbsp;&nbsp;&nbsp;3.00%, 08/15/43 | 694 | 636917 |
| &nbsp;&nbsp;&nbsp;3.00%, 09/15/43 | 1381 | 1269370 |
| &nbsp;&nbsp;&nbsp;3.00%, 09/20/43 | 998 | 919462 |
| &nbsp;&nbsp;&nbsp;3.00%, 11/20/43 | 36 | 33452 |
| &nbsp;&nbsp;&nbsp;3.00%, 12/20/43 | 10 | 9171 |
| &nbsp;&nbsp;&nbsp;3.00%, 01/15/44 | 347 | 318528 |
| &nbsp;&nbsp;&nbsp;3.00%, 01/20/44 | 2977 | 2742127 |
| &nbsp;&nbsp;&nbsp;3.00%, 02/20/44 | 979 | 902120 |
| &nbsp;&nbsp;&nbsp;3.00%, 03/20/44 | 1029 | 947389 |
| &nbsp;&nbsp;&nbsp;3.00%, 04/20/44 | 20 | 18295 |
| &nbsp;&nbsp;&nbsp;3.00%, 05/15/44 | 15 | 13484 |
| &nbsp;&nbsp;&nbsp;3.00%, 06/20/44 | 185 | 170593 |
| &nbsp;&nbsp;&nbsp;3.00%, 07/20/44 | 567 | 521892 |
| &nbsp;&nbsp;&nbsp;3.00%, 08/20/44 | 20593 | 18968461 |
| &nbsp;&nbsp;&nbsp;3.00%, 09/20/44 | 667 | 613663 |
| &nbsp;&nbsp;&nbsp;3.00%, 10/15/44 | 498 | 456856 |
| &nbsp;&nbsp;&nbsp;3.00%, 10/20/44 | 3493 | 3217548 |
| &nbsp;&nbsp;&nbsp;3.00%, 12/20/44 | 18 | 16506 |
| &nbsp;&nbsp;&nbsp;3.00%, 01/20/45 | 28 | 25635 |
| &nbsp;&nbsp;&nbsp;3.00%, 03/15/45 | 941 | 860160 |
| &nbsp;&nbsp;&nbsp;3.00%, 03/20/45 | 15 | 13937 |
| &nbsp;&nbsp;&nbsp;3.00%, 04/20/45 | 243 | 222707 |
| &nbsp;&nbsp;&nbsp;3.00%, 05/15/45 | 2309 | 2110043 |
| &nbsp;&nbsp;&nbsp;3.00%, 05/20/45 | 8863 | 8134916 |
| &nbsp;&nbsp;&nbsp;3.00%, 07/15/45 | 49 | 44478 |

---

---

| | |
|:---|:---|
| Schedule of Investments (unaudited) (continued) | **iShares<sup>®</sup> MBS ETF** |
| November 30, 2022 | **(Percentages shown are based on Net Assets)** |

---

---

| | | |
|:---|:---|:---|
| *Security* | *Par<br> (000)* | *Value* |
| **Mortgage-Backed Securities (continued)** |  |  |
| &nbsp;&nbsp;&nbsp;3.00%, 07/20/45 | $14448 | $13261472 |
| &nbsp;&nbsp;&nbsp;3.00%, 08/15/45 | 1801 | 1645878 |
| &nbsp;&nbsp;&nbsp;3.00%, 08/20/45 | 31687 | 29084403 |
| &nbsp;&nbsp;&nbsp;3.00%, 09/20/45 | 354 | 324764 |
| &nbsp;&nbsp;&nbsp;3.00%, 10/20/45 | 8471 | 7775137 |
| &nbsp;&nbsp;&nbsp;3.00%, 11/20/45 | 3672 | 3370450 |
| &nbsp;&nbsp;&nbsp;3.00%, 12/20/45 | 11347 | 10414951 |
| &nbsp;&nbsp;&nbsp;3.00%, 01/20/46 | 4436 | 4072291 |
| &nbsp;&nbsp;&nbsp;3.00%, 02/20/46 | 11269 | 10343053 |
| &nbsp;&nbsp;&nbsp;3.00%, 03/20/46 | 4860 | 4459778 |
| &nbsp;&nbsp;&nbsp;3.00%, 04/20/46 | 5120 | 4697911 |
| &nbsp;&nbsp;&nbsp;3.00%, 05/20/46 | 14399 | 13212052 |
| &nbsp;&nbsp;&nbsp;3.00%, 06/20/46 | 10695 | 9812986 |
| &nbsp;&nbsp;&nbsp;3.00%, 07/15/46 | 499 | 455910 |
| &nbsp;&nbsp;&nbsp;3.00%, 07/20/46 | 15799 | 14496651 |
| &nbsp;&nbsp;&nbsp;3.00%, 08/20/46 | 30549 | 28031297 |
| &nbsp;&nbsp;&nbsp;3.00%, 09/20/46 | 24596 | 22568719 |
| &nbsp;&nbsp;&nbsp;3.00%, 10/20/46 | 8588 | 7879905 |
| &nbsp;&nbsp;&nbsp;3.00%, 11/15/46 | 136 | 124616 |
| &nbsp;&nbsp;&nbsp;3.00%, 11/20/46 | 16457 | 15100147 |
| &nbsp;&nbsp;&nbsp;3.00%, 12/15/46 | 5268 | 4814375 |
| &nbsp;&nbsp;&nbsp;3.00%, 12/20/46 | 30167 | 27680001 |
| &nbsp;&nbsp;&nbsp;3.00%, 01/20/47 | 22038 | 20221638 |
| &nbsp;&nbsp;&nbsp;3.00%, 02/15/47 | 12130 | 11079729 |
| &nbsp;&nbsp;&nbsp;3.00%, 02/20/47 | 28696 | 26330382 |
| &nbsp;&nbsp;&nbsp;3.00%, 03/20/47 | 17004 | 15602334 |
| &nbsp;&nbsp;&nbsp;3.00%, 04/20/47 | 11321 | 10390038 |
| &nbsp;&nbsp;&nbsp;3.00%, 06/15/47 | 176 | 160443 |
| &nbsp;&nbsp;&nbsp;3.00%, 06/20/47 | 6737 | 6183003 |
| &nbsp;&nbsp;&nbsp;3.00%, 07/20/47 | 2986 | 2739888 |
| &nbsp;&nbsp;&nbsp;3.00%, 08/20/47 | 1185 | 1087416 |
| &nbsp;&nbsp;&nbsp;3.00%, 09/15/47 | 113 | 103243 |
| &nbsp;&nbsp;&nbsp;3.00%, 09/20/47 | 6382 | 5856968 |
| &nbsp;&nbsp;&nbsp;3.00%, 11/20/47 | 13360 | 12260596 |
| &nbsp;&nbsp;&nbsp;3.00%, 12/15/47 | 30 | 27037 |
| &nbsp;&nbsp;&nbsp;3.00%, 12/20/47 | 878 | 805690 |
| &nbsp;&nbsp;&nbsp;3.00%, 01/20/48 | 38659 | 35478240 |
| &nbsp;&nbsp;&nbsp;3.00%, 02/20/48 | 5098 | 4668038 |
| &nbsp;&nbsp;&nbsp;3.00%, 03/20/48 | 3149 | 2889909 |
| &nbsp;&nbsp;&nbsp;3.00%, 04/20/48 | 7050 | 6469920 |
| &nbsp;&nbsp;&nbsp;3.00%, 05/20/48 | 2926 | 2685451 |
| &nbsp;&nbsp;&nbsp;3.00%, 07/20/48 | 101 | 93001 |
| &nbsp;&nbsp;&nbsp;3.00%, 08/20/48 | 2731 | 2506395 |
| &nbsp;&nbsp;&nbsp;3.00%, 09/20/48 | 1589 | 1458268 |
| &nbsp;&nbsp;&nbsp;3.00%, 10/20/48 | 1021 | 936535 |
| &nbsp;&nbsp;&nbsp;3.00%, 11/20/48 | 2315 | 2124306 |
| &nbsp;&nbsp;&nbsp;3.00%, 12/20/48 | 1437 | 1318897 |
| &nbsp;&nbsp;&nbsp;3.00%, 01/20/49 | 547 | 502232 |
| &nbsp;&nbsp;&nbsp;3.00%, 02/20/49 | 569 | 522201 |
| &nbsp;&nbsp;&nbsp;3.00%, 04/20/49 | 2415 | 2216366 |
| &nbsp;&nbsp;&nbsp;3.00%, 06/20/49 | 3465 | 3180188 |
| &nbsp;&nbsp;&nbsp;3.00%, 07/20/49 | 5514 | 5038445 |
| &nbsp;&nbsp;&nbsp;3.00%, 09/20/49 | 22991 | 20982736 |
| &nbsp;&nbsp;&nbsp;3.00%, 10/20/49 | 30479 | 27808714 |
| &nbsp;&nbsp;&nbsp;3.00%, 11/15/49 | 458 | 416012 |
| &nbsp;&nbsp;&nbsp;3.00%, 11/20/49 | 4834 | 4407949 |
| &nbsp;&nbsp;&nbsp;3.00%, 12/20/49 | 36613 | 33417100 |
| &nbsp;&nbsp;&nbsp;3.00%, 01/20/50 | 23476 | 21399830 |
| &nbsp;&nbsp;&nbsp;3.00%, 02/15/50 | 3113 | 2825602 |
| &nbsp;&nbsp;&nbsp;3.00%, 02/20/50 | 41808 | 38098758 |

---

---

| | | |
|:---|:---|:---|
| *Security* | *Par<br> (000)* | *Value* |
| **Mortgage-Backed Securities (continued)** |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;3.00%, 03/20/50 | $7927 | $7217437 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;3.00%, 04/20/50 | 1094 | 995857 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;3.00%, 06/20/50 | 1284 | 1160232 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;3.00%, 07/20/50 | 216 | 196799 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;3.00%, 08/20/50 | 11320 | 10297981 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;3.00%, 09/20/50 | 2977 | 2708676 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;3.00%, 10/20/50 | 2532 | 2303654 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;3.00%, 01/20/51 | 2687 | 2442743 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;3.00%, 05/20/51 | 1455 | 1318408 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;3.00%, 06/20/51 | 12658 | 11469123 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;3.00%, 07/20/51 | 1631 | 1477097 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;3.00%, 08/20/51 | 8329 | 7542224 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;3.00%, 09/20/51 | 17995 | 16290666 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;3.00%, 10/20/51 | 2106 | 1905739 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;3.00%, 11/20/51 | 28850 | 26101216 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;3.00%, 12/20/51 | 26333 | 23816124 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;3.00%, 03/20/52 | 109 | 98729 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;3.00%, 04/20/52 | 493 | 444951 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;3.00%, 05/20/52 | 13758 | 12396377 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;3.00%, 06/20/52 | 2443 | 2201021 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;3.00%, 07/20/52 | 30017 | 27088129 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;3.00%, 08/20/52 | 29384 | 26516495 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;3.00%, 12/20/52<sup>(c)</sup> | 129637 | 117071916 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;3.50%, 08/15/24 | 96 | 94548 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;3.50%, 12/15/25 | 4 | 3970 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;3.50%, 02/15/26 | 75 | 72806 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;3.50%, 05/15/26 | 14 | 13141 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;3.50%, 12/20/26 | 69 | 66374 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;3.50%, 03/20/27 | 12 | 11754 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;3.50%, 04/20/27 | 39 | 37062 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;3.50%, 01/20/29 | 9 | 8731 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;3.50%, 07/15/29 | 133 | 127795 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;3.50%, 02/20/31 | 67 | 62529 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;3.50%, 01/15/41 | 12 | 11641 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;3.50%, 01/20/41 | 74 | 70179 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;3.50%, 09/15/41 | 179 | 169907 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;3.50%, 10/15/41 | 16 | 15535 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;3.50%, 11/15/41 | 63 | 60037 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;3.50%, 11/20/41 | 338 | 321861 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;3.50%, 12/15/41 | 1804 | 1714894 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;3.50%, 01/15/42 | 182 | 173100 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;3.50%, 01/20/42 | 122 | 115826 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;3.50%, 02/15/42 | 379 | 359947 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;3.50%, 02/20/42 | 74 | 70459 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;3.50%, 03/15/42 | 172 | 163099 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;3.50%, 03/20/42 | 9949 | 9460528 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;3.50%, 04/15/42 | 421 | 399405 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;3.50%, 05/15/42 | 396 | 375444 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;3.50%, 05/20/42 | 100 | 94902 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;3.50%, 06/15/42 | 119 | 113033 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;3.50%, 07/15/42 | 383 | 363984 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;3.50%, 08/15/42 | 54 | 50725 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;3.50%, 08/20/42 | 1081 | 1027511 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;3.50%, 09/15/42 | 1118 | 1063371 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;3.50%, 09/20/42 | 13477 | 12814872 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;3.50%, 10/15/42 | 1102 | 1047356 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;3.50%, 10/20/42 | 14074 | 13382572 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;3.50%, 11/15/42 | 434 | 412681 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;3.50%, 11/20/42 | 14190 | 13493048 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;3.50%, 12/20/42 | 11075 | 10530801 |

---

---

| | |
|:---|:---|
| Schedule of Investments (unaudited) (continued) | **iShares<sup>®</sup> MBS ETF** |
| November 30, 2022 | **(Percentages shown are based on Net Assets)** |

---

---

| | | |
|:---|:---|:---|
| *Security* | *Par<br> (000)* | *Value* |
| **Mortgage-Backed Securities (continued)** |  |  |
| &nbsp;&nbsp;&nbsp;3.50%, 01/15/43 | $344 | $326790 |
| &nbsp;&nbsp;&nbsp;3.50%, 01/20/43 | 1862 | 1770424 |
| &nbsp;&nbsp;&nbsp;3.50%, 02/15/43 | 82 | 77777 |
| &nbsp;&nbsp;&nbsp;3.50%, 03/15/43 | 715 | 679507 |
| &nbsp;&nbsp;&nbsp;3.50%, 03/20/43 | 36 | 34358 |
| &nbsp;&nbsp;&nbsp;3.50%, 04/15/43 | 115 | 109051 |
| &nbsp;&nbsp;&nbsp;3.50%, 04/20/43 | 2606 | 2476072 |
| &nbsp;&nbsp;&nbsp;3.50%, 05/15/43 | 938 | 893021 |
| &nbsp;&nbsp;&nbsp;3.50%, 05/20/43 | 859 | 816513 |
| &nbsp;&nbsp;&nbsp;3.50%, 06/15/43 | 9124 | 8674809 |
| &nbsp;&nbsp;&nbsp;3.50%, 08/15/43 | 232 | 220529 |
| &nbsp;&nbsp;&nbsp;3.50%, 09/20/43 | 5511 | 5237239 |
| &nbsp;&nbsp;&nbsp;3.50%, 10/15/43 | 58 | 55471 |
| &nbsp;&nbsp;&nbsp;3.50%, 10/20/43 | 1304 | 1239167 |
| &nbsp;&nbsp;&nbsp;3.50%, 01/20/44 | 3 | 2744 |
| &nbsp;&nbsp;&nbsp;3.50%, 02/20/44 | 720 | 683130 |
| &nbsp;&nbsp;&nbsp;3.50%, 04/20/44 | 243 | 230704 |
| &nbsp;&nbsp;&nbsp;3.50%, 06/15/44 | 4 | 4054 |
| &nbsp;&nbsp;&nbsp;3.50%, 07/15/44 | 47 | 44889 |
| &nbsp;&nbsp;&nbsp;3.50%, 09/15/44 | 439 | 417890 |
| &nbsp;&nbsp;&nbsp;3.50%, 09/20/44 | 7089 | 6730474 |
| &nbsp;&nbsp;&nbsp;3.50%, 10/20/44 | 1174 | 1114267 |
| &nbsp;&nbsp;&nbsp;3.50%, 12/15/44 | 94 | 89181 |
| &nbsp;&nbsp;&nbsp;3.50%, 12/20/44 | 2012 | 1910763 |
| &nbsp;&nbsp;&nbsp;3.50%, 01/15/45 | 126 | 116995 |
| &nbsp;&nbsp;&nbsp;3.50%, 03/15/45 | 47 | 43972 |
| &nbsp;&nbsp;&nbsp;3.50%, 04/15/45 | 441 | 416729 |
| &nbsp;&nbsp;&nbsp;3.50%, 04/20/45 | 8478 | 8038935 |
| &nbsp;&nbsp;&nbsp;3.50%, 05/20/45 | 87 | 82883 |
| &nbsp;&nbsp;&nbsp;3.50%, 06/20/45 | 2510 | 2380141 |
| &nbsp;&nbsp;&nbsp;3.50%, 09/20/45 | 4674 | 4431317 |
| &nbsp;&nbsp;&nbsp;3.50%, 10/20/45 | 186 | 176758 |
| &nbsp;&nbsp;&nbsp;3.50%, 11/20/45 | 8378 | 7944098 |
| &nbsp;&nbsp;&nbsp;3.50%, 12/20/45 | 6684 | 6337472 |
| &nbsp;&nbsp;&nbsp;3.50%, 01/20/46 | 1672 | 1584713 |
| &nbsp;&nbsp;&nbsp;3.50%, 02/20/46 | 261 | 247108 |
| &nbsp;&nbsp;&nbsp;3.50%, 03/20/46 | 16969 | 16090323 |
| &nbsp;&nbsp;&nbsp;3.50%, 04/20/46 | 10660 | 10084985 |
| &nbsp;&nbsp;&nbsp;3.50%, 05/20/46 | 2461 | 2328035 |
| &nbsp;&nbsp;&nbsp;3.50%, 06/15/46 | 304 | 285846 |
| &nbsp;&nbsp;&nbsp;3.50%, 06/20/46 | 44118 | 41737820 |
| &nbsp;&nbsp;&nbsp;3.50%, 07/15/46 | 1752 | 1647778 |
| &nbsp;&nbsp;&nbsp;3.50%, 07/20/46 | 2547 | 2410008 |
| &nbsp;&nbsp;&nbsp;3.50%, 08/15/46 | 3214 | 3019852 |
| &nbsp;&nbsp;&nbsp;3.50%, 08/20/46 | 83 | 78703 |
| &nbsp;&nbsp;&nbsp;3.50%, 09/15/46 | 2807 | 2636731 |
| &nbsp;&nbsp;&nbsp;3.50%, 09/20/46 | 5598 | 5296702 |
| &nbsp;&nbsp;&nbsp;3.50%, 10/15/46 | 1053 | 988969 |
| &nbsp;&nbsp;&nbsp;3.50%, 10/20/46 | 321 | 303972 |
| &nbsp;&nbsp;&nbsp;3.50%, 11/20/46 | 6340 | 5997588 |
| &nbsp;&nbsp;&nbsp;3.50%, 12/20/46 | 8426 | 7971348 |
| &nbsp;&nbsp;&nbsp;3.50%, 01/20/47 | 22847 | 21614600 |
| &nbsp;&nbsp;&nbsp;3.50%, 02/20/47 | 51369 | 48597529 |
| &nbsp;&nbsp;&nbsp;3.50%, 03/20/47 | 14016 | 13239492 |
| &nbsp;&nbsp;&nbsp;3.50%, 04/20/47 | 9671 | 9135556 |
| &nbsp;&nbsp;&nbsp;3.50%, 05/20/47 | 1906 | 1800251 |
| &nbsp;&nbsp;&nbsp;3.50%, 06/15/47 | 1047 | 983195 |
| &nbsp;&nbsp;&nbsp;3.50%, 06/20/47 | 4259 | 4023587 |
| &nbsp;&nbsp;&nbsp;3.50%, 07/20/47 | 2134 | 2016010 |
| &nbsp;&nbsp;&nbsp;3.50%, 08/20/47 | 14968 | 14138592 |

---

---

| | | |
|:---|:---|:---|
| *Security* | *Par<br> (000)* | *Value* |
| **Mortgage-Backed Securities (continued)** |  |  |
| &nbsp;&nbsp;&nbsp;3.50%, 09/15/47 | $431 | $404617 |
| &nbsp;&nbsp;&nbsp;3.50%, 09/20/47 | 27123 | 25621047 |
| &nbsp;&nbsp;&nbsp;3.50%, 10/15/47 | 1311 | 1231224 |
| &nbsp;&nbsp;&nbsp;3.50%, 10/20/47 | 17622 | 16673959 |
| &nbsp;&nbsp;&nbsp;3.50%, 11/15/47 | 2659 | 2496964 |
| &nbsp;&nbsp;&nbsp;3.50%, 11/20/47 | 19417 | 18337570 |
| &nbsp;&nbsp;&nbsp;3.50%, 12/15/47 | 22244 | 20896089 |
| &nbsp;&nbsp;&nbsp;3.50%, 12/20/47 | 24108 | 22785613 |
| &nbsp;&nbsp;&nbsp;3.50%, 01/15/48 | 4797 | 4503906 |
| &nbsp;&nbsp;&nbsp;3.50%, 01/20/48 | 20347 | 19220921 |
| &nbsp;&nbsp;&nbsp;3.50%, 02/15/48 | 178 | 166686 |
| &nbsp;&nbsp;&nbsp;3.50%, 02/20/48 | 17625 | 16648806 |
| &nbsp;&nbsp;&nbsp;3.50%, 03/20/48 | 89 | 84243 |
| &nbsp;&nbsp;&nbsp;3.50%, 04/15/48 | 343 | 322005 |
| &nbsp;&nbsp;&nbsp;3.50%, 04/20/48 | 17507 | 16528464 |
| &nbsp;&nbsp;&nbsp;3.50%, 05/15/48 | 56 | 52658 |
| &nbsp;&nbsp;&nbsp;3.50%, 09/15/48 | 1194 | 1120325 |
| &nbsp;&nbsp;&nbsp;3.50%, 09/20/48 | 4007 | 3780626 |
| &nbsp;&nbsp;&nbsp;3.50%, 10/20/48 | 2686 | 2530249 |
| &nbsp;&nbsp;&nbsp;3.50%, 11/20/48 | 14471 | 13633474 |
| &nbsp;&nbsp;&nbsp;3.50%, 01/20/49 | 2742 | 2589812 |
| &nbsp;&nbsp;&nbsp;3.50%, 03/20/49 | 1083 | 1020607 |
| &nbsp;&nbsp;&nbsp;3.50%, 04/20/49 | 364 | 343342 |
| &nbsp;&nbsp;&nbsp;3.50%, 06/20/49 | 1443 | 1352041 |
| &nbsp;&nbsp;&nbsp;3.50%, 07/20/49 | 49 | 46380 |
| &nbsp;&nbsp;&nbsp;3.50%, 09/20/49 | 11638 | 10938759 |
| &nbsp;&nbsp;&nbsp;3.50%, 10/15/49 | 17 | 15569 |
| &nbsp;&nbsp;&nbsp;3.50%, 10/20/49 | 908 | 853070 |
| &nbsp;&nbsp;&nbsp;3.50%, 11/15/49 | 540 | 506175 |
| &nbsp;&nbsp;&nbsp;3.50%, 11/20/49 | 530 | 497894 |
| &nbsp;&nbsp;&nbsp;3.50%, 12/20/49 | 6650 | 6248485 |
| &nbsp;&nbsp;&nbsp;3.50%, 01/20/50 | 34430 | 32353019 |
| &nbsp;&nbsp;&nbsp;3.50%, 02/20/50 | 812 | 763266 |
| &nbsp;&nbsp;&nbsp;3.50%, 03/20/50 | 1047 | 983430 |
| &nbsp;&nbsp;&nbsp;3.50%, 04/20/50 | 615 | 577501 |
| &nbsp;&nbsp;&nbsp;3.50%, 06/20/50 | 6807 | 6379576 |
| &nbsp;&nbsp;&nbsp;3.50%, 07/20/50 | 430 | 403777 |
| &nbsp;&nbsp;&nbsp;3.50%, 08/20/50 | 609 | 570540 |
| &nbsp;&nbsp;&nbsp;3.50%, 10/20/50 | 1254 | 1178401 |
| &nbsp;&nbsp;&nbsp;3.50%, 11/20/50 | 788 | 740691 |
| &nbsp;&nbsp;&nbsp;3.50%, 03/20/51 | 152 | 142354 |
| &nbsp;&nbsp;&nbsp;3.50%, 05/20/51 | 611 | 571592 |
| &nbsp;&nbsp;&nbsp;3.50%, 06/20/51 | 7901 | 7395015 |
| &nbsp;&nbsp;&nbsp;3.50%, 07/20/51 | 735 | 687829 |
| &nbsp;&nbsp;&nbsp;3.50%, 12/20/51 | 946 | 881924 |
| &nbsp;&nbsp;&nbsp;3.50%, 01/20/52 | 10757 | 10026162 |
| &nbsp;&nbsp;&nbsp;3.50%, 03/20/52 | 2400 | 2237343 |
| &nbsp;&nbsp;&nbsp;3.50%, 05/20/52 | 465 | 430886 |
| &nbsp;&nbsp;&nbsp;3.50%, 06/20/52 | 1769 | 1638963 |
| &nbsp;&nbsp;&nbsp;3.50%, 09/20/52 | 15427 | 14291624 |
| &nbsp;&nbsp;&nbsp;3.50%, 10/20/52 | 2900 | 2686244 |
| &nbsp;&nbsp;&nbsp;&nbsp;3.50%, 12/20/52<sup>(c)</sup> | 95234 | 88403937 |
| &nbsp;&nbsp;&nbsp;4.00%, 07/15/24 | 5 | 5259 |
| &nbsp;&nbsp;&nbsp;4.00%, 08/15/24 | 9 | 8743 |
| &nbsp;&nbsp;&nbsp;4.00%, 12/15/24 | 10 | 10318 |
| &nbsp;&nbsp;&nbsp;4.00%, 11/15/25 | 17 | 16907 |
| &nbsp;&nbsp;&nbsp;4.00%, 05/15/26 | 15 | 14821 |
| &nbsp;&nbsp;&nbsp;4.00%, 07/20/26 | 9 | 8894 |
| &nbsp;&nbsp;&nbsp;4.00%, 06/15/39 | 60 | 58477 |
| &nbsp;&nbsp;&nbsp;4.00%, 07/20/40 | 37 | 36065 |

---

---

| | |
|:---|:---|
| Schedule of Investments (unaudited) (continued) | **iShares<sup>®</sup> MBS ETF** |
| November 30, 2022 | **(Percentages shown are based on Net Assets)** |

---

---

| | | |
|:---|:---|:---|
| *Security* | *Par<br> (000)* | *Value* |
| **Mortgage-Backed Securities (continued)** |  |  |
| &nbsp;&nbsp;&nbsp;4.00%, 08/15/40 | $36 | $35645 |
| &nbsp;&nbsp;&nbsp;4.00%, 09/15/40 | 165 | 162485 |
| &nbsp;&nbsp;&nbsp;4.00%, 10/15/40 | 114 | 112543 |
| &nbsp;&nbsp;&nbsp;4.00%, 11/15/40 | 93 | 91367 |
| &nbsp;&nbsp;&nbsp;4.00%, 11/20/40 | 237 | 232935 |
| &nbsp;&nbsp;&nbsp;4.00%, 12/15/40 | 56 | 55335 |
| &nbsp;&nbsp;&nbsp;4.00%, 01/15/41 | 186 | 181864 |
| &nbsp;&nbsp;&nbsp;4.00%, 01/20/41 | 58 | 56849 |
| &nbsp;&nbsp;&nbsp;4.00%, 02/15/41 | 2063 | 2021936 |
| &nbsp;&nbsp;&nbsp;4.00%, 03/15/41 | 275 | 269171 |
| &nbsp;&nbsp;&nbsp;4.00%, 04/15/41 | 1498 | 1467784 |
| &nbsp;&nbsp;&nbsp;4.00%, 05/15/41 | 394 | 386074 |
| &nbsp;&nbsp;&nbsp;4.00%, 06/15/41 | 0 <sup>(b)</sup> | 208 |
| &nbsp;&nbsp;&nbsp;4.00%, 07/15/41 | 644 | 630125 |
| &nbsp;&nbsp;&nbsp;4.00%, 07/20/41 | 16 | 16005 |
| &nbsp;&nbsp;&nbsp;4.00%, 08/15/41 | 47 | 45581 |
| &nbsp;&nbsp;&nbsp;4.00%, 08/20/41 | 30 | 29964 |
| &nbsp;&nbsp;&nbsp;4.00%, 09/15/41 | 217 | 211596 |
| &nbsp;&nbsp;&nbsp;4.00%, 09/20/41 | 96 | 94509 |
| &nbsp;&nbsp;&nbsp;4.00%, 10/15/41 | 31 | 29945 |
| &nbsp;&nbsp;&nbsp;4.00%, 11/15/41 | 15 | 14429 |
| &nbsp;&nbsp;&nbsp;4.00%, 11/20/41 | 251 | 246965 |
| &nbsp;&nbsp;&nbsp;4.00%, 12/15/41 | 575 | 563501 |
| &nbsp;&nbsp;&nbsp;4.00%, 12/20/41 | 79 | 77804 |
| &nbsp;&nbsp;&nbsp;4.00%, 01/15/42 | 305 | 299414 |
| &nbsp;&nbsp;&nbsp;4.00%, 01/20/42 | 247 | 243313 |
| &nbsp;&nbsp;&nbsp;4.00%, 02/15/42 | 1383 | 1354072 |
| &nbsp;&nbsp;&nbsp;4.00%, 02/20/42 | 95 | 92963 |
| &nbsp;&nbsp;&nbsp;4.00%, 03/15/42 | 2700 | 2639768 |
| &nbsp;&nbsp;&nbsp;4.00%, 04/15/42 | 1351 | 1320980 |
| &nbsp;&nbsp;&nbsp;4.00%, 05/15/42 | 496 | 485442 |
| &nbsp;&nbsp;&nbsp;4.00%, 05/20/42 | 6 | 6257 |
| &nbsp;&nbsp;&nbsp;4.00%, 06/20/42 | 9 | 8818 |
| &nbsp;&nbsp;&nbsp;4.00%, 07/20/42 | 162 | 159556 |
| &nbsp;&nbsp;&nbsp;4.00%, 08/15/42 | 474 | 463861 |
| &nbsp;&nbsp;&nbsp;4.00%, 08/20/42 | 1590 | 1563187 |
| &nbsp;&nbsp;&nbsp;4.00%, 10/15/42 | 244 | 238790 |
| &nbsp;&nbsp;&nbsp;4.00%, 11/20/42 | 357 | 351353 |
| &nbsp;&nbsp;&nbsp;4.00%, 04/20/43 | 158 | 155526 |
| &nbsp;&nbsp;&nbsp;4.00%, 05/15/43 | 6 | 6298 |
| &nbsp;&nbsp;&nbsp;4.00%, 05/20/43 | 1194 | 1167940 |
| &nbsp;&nbsp;&nbsp;4.00%, 06/20/43 | 28 | 27224 |
| &nbsp;&nbsp;&nbsp;4.00%, 09/15/43 | 133 | 129769 |
| &nbsp;&nbsp;&nbsp;4.00%, 09/20/43 | 24 | 23220 |
| &nbsp;&nbsp;&nbsp;4.00%, 02/20/44 | 101 | 98326 |
| &nbsp;&nbsp;&nbsp;4.00%, 03/15/44 | 105 | 102569 |
| &nbsp;&nbsp;&nbsp;4.00%, 03/20/44 | 214 | 208559 |
| &nbsp;&nbsp;&nbsp;4.00%, 04/15/44 | 16 | 14986 |
| &nbsp;&nbsp;&nbsp;4.00%, 04/20/44 | 364 | 354790 |
| &nbsp;&nbsp;&nbsp;4.00%, 05/15/44 | 72 | 70298 |
| &nbsp;&nbsp;&nbsp;4.00%, 07/15/44 | 33 | 32136 |
| &nbsp;&nbsp;&nbsp;4.00%, 07/20/44 | 1952 | 1904123 |
| &nbsp;&nbsp;&nbsp;4.00%, 08/15/44 | 14 | 13599 |
| &nbsp;&nbsp;&nbsp;4.00%, 08/20/44 | 3140 | 3062558 |
| &nbsp;&nbsp;&nbsp;4.00%, 09/15/44 | 222 | 215331 |
| &nbsp;&nbsp;&nbsp;4.00%, 10/20/44 | 4350 | 4242620 |
| &nbsp;&nbsp;&nbsp;4.00%, 01/15/45 | 15 | 14384 |
| &nbsp;&nbsp;&nbsp;4.00%, 01/20/45 | 4628 | 4513811 |
| &nbsp;&nbsp;&nbsp;4.00%, 02/15/45 | 2 | 1973 |
| &nbsp;&nbsp;&nbsp;4.00%, 03/15/45 | 27 | 25834 |

---

---

| | | |
|:---|:---|:---|
| *Security* | *Par<br> (000)* | *Value* |
| **Mortgage-Backed Securities (continued)** |  |  |
| &nbsp;&nbsp;&nbsp;4.00%, 03/20/45 | $830 | $809427 |
| &nbsp;&nbsp;&nbsp;4.00%, 04/15/45 | 36 | 34466 |
| &nbsp;&nbsp;&nbsp;4.00%, 04/20/45 | 204 | 198819 |
| &nbsp;&nbsp;&nbsp;4.00%, 05/15/45 | 34 | 33340 |
| &nbsp;&nbsp;&nbsp;4.00%, 06/15/45 | 168 | 162610 |
| &nbsp;&nbsp;&nbsp;4.00%, 06/20/45 | 1970 | 1918475 |
| &nbsp;&nbsp;&nbsp;4.00%, 07/15/45 | 46 | 44539 |
| &nbsp;&nbsp;&nbsp;4.00%, 08/15/45 | 40 | 38869 |
| &nbsp;&nbsp;&nbsp;4.00%, 08/20/45 | 767 | 747348 |
| &nbsp;&nbsp;&nbsp;4.00%, 09/15/45 | 239 | 232522 |
| &nbsp;&nbsp;&nbsp;4.00%, 09/20/45 | 6715 | 6539785 |
| &nbsp;&nbsp;&nbsp;4.00%, 10/20/45 | 279 | 271301 |
| &nbsp;&nbsp;&nbsp;4.00%, 11/15/45 | 42 | 40520 |
| &nbsp;&nbsp;&nbsp;4.00%, 11/20/45 | 4580 | 4460592 |
| &nbsp;&nbsp;&nbsp;4.00%, 01/20/46 | 1185 | 1154226 |
| &nbsp;&nbsp;&nbsp;4.00%, 03/20/46 | 8209 | 7994804 |
| &nbsp;&nbsp;&nbsp;4.00%, 04/15/46 | 424 | 412290 |
| &nbsp;&nbsp;&nbsp;4.00%, 04/20/46 | 4353 | 4239140 |
| &nbsp;&nbsp;&nbsp;4.00%, 05/15/46 | 5 | 4697 |
| &nbsp;&nbsp;&nbsp;4.00%, 07/20/46 | 1013 | 984659 |
| &nbsp;&nbsp;&nbsp;4.00%, 08/15/46 | 57 | 55462 |
| &nbsp;&nbsp;&nbsp;4.00%, 09/20/46 | 2016 | 1960514 |
| &nbsp;&nbsp;&nbsp;4.00%, 10/15/46 | 99 | 96326 |
| &nbsp;&nbsp;&nbsp;4.00%, 11/15/46 | 170 | 165455 |
| &nbsp;&nbsp;&nbsp;4.00%, 11/20/46 | 3646 | 3545247 |
| &nbsp;&nbsp;&nbsp;4.00%, 12/15/46 | 1382 | 1344183 |
| &nbsp;&nbsp;&nbsp;4.00%, 12/20/46 | 1969 | 1914746 |
| &nbsp;&nbsp;&nbsp;4.00%, 01/20/47 | 6177 | 6005825 |
| &nbsp;&nbsp;&nbsp;4.00%, 03/20/47 | 190 | 184376 |
| &nbsp;&nbsp;&nbsp;4.00%, 04/20/47 | 12838 | 12466437 |
| &nbsp;&nbsp;&nbsp;4.00%, 06/20/47 | 22822 | 22161315 |
| &nbsp;&nbsp;&nbsp;4.00%, 07/20/47 | 34443 | 33445806 |
| &nbsp;&nbsp;&nbsp;4.00%, 08/20/47 | 8307 | 8066503 |
| &nbsp;&nbsp;&nbsp;4.00%, 09/20/47 | 874 | 848651 |
| &nbsp;&nbsp;&nbsp;4.00%, 10/15/47 | 24 | 23032 |
| &nbsp;&nbsp;&nbsp;4.00%, 10/20/47 | 1074 | 1042560 |
| &nbsp;&nbsp;&nbsp;4.00%, 11/20/47 | 30634 | 29746977 |
| &nbsp;&nbsp;&nbsp;4.00%, 12/20/47 | 6003 | 5828984 |
| &nbsp;&nbsp;&nbsp;4.00%, 01/15/48 | 1448 | 1405615 |
| &nbsp;&nbsp;&nbsp;4.00%, 01/20/48 | 6865 | 6666001 |
| &nbsp;&nbsp;&nbsp;4.00%, 02/20/48 | 3960 | 3844912 |
| &nbsp;&nbsp;&nbsp;4.00%, 03/20/48 | 20835 | 20231308 |
| &nbsp;&nbsp;&nbsp;4.00%, 04/20/48 | 13756 | 13336264 |
| &nbsp;&nbsp;&nbsp;4.00%, 05/15/48 | 117 | 113397 |
| &nbsp;&nbsp;&nbsp;4.00%, 05/20/48 | 1435 | 1391517 |
| &nbsp;&nbsp;&nbsp;4.00%, 06/20/48 | 10451 | 10132076 |
| &nbsp;&nbsp;&nbsp;4.00%, 07/20/48 | 5037 | 4883108 |
| &nbsp;&nbsp;&nbsp;4.00%, 08/20/48 | 14702 | 14253790 |
| &nbsp;&nbsp;&nbsp;4.00%, 09/20/48 | 8845 | 8574934 |
| &nbsp;&nbsp;&nbsp;4.00%, 10/20/48 | 1359 | 1317380 |
| &nbsp;&nbsp;&nbsp;4.00%, 11/20/48 | 13148 | 12746942 |
| &nbsp;&nbsp;&nbsp;4.00%, 12/20/48 | 4148 | 4021179 |
| &nbsp;&nbsp;&nbsp;4.00%, 02/20/49 | 1541 | 1494005 |
| &nbsp;&nbsp;&nbsp;4.00%, 03/20/49 | 2403 | 2330049 |
| &nbsp;&nbsp;&nbsp;4.00%, 05/20/49 | 1565 | 1509514 |
| &nbsp;&nbsp;&nbsp;4.00%, 06/20/49 | 1603 | 1546379 |
| &nbsp;&nbsp;&nbsp;4.00%, 07/20/49 | 4952 | 4743600 |
| &nbsp;&nbsp;&nbsp;4.00%, 09/15/49 | 80 | 77576 |
| &nbsp;&nbsp;&nbsp;4.00%, 10/20/49 | 84 | 81060 |
| &nbsp;&nbsp;&nbsp;4.00%, 02/20/50 | 262 | 252948 |

---

---

| | |
|:---|:---|
| Schedule of Investments (unaudited) (continued) | **iShares<sup>®</sup> MBS ETF** |
| November 30, 2022 | **(Percentages shown are based on Net Assets)** |

---

---

| | | |
|:---|:---|:---|
| *Security* | *Par<br> (000)* | *Value* |
| **Mortgage-Backed Securities (continued)** |  |  |
| &nbsp;&nbsp;&nbsp;4.00%, 07/20/50 | $385 | $373254 |
| &nbsp;&nbsp;&nbsp;4.00%, 04/20/52 | 464 | 442208 |
| &nbsp;&nbsp;&nbsp;4.00%, 06/20/52 | 2954 | 2816531 |
| &nbsp;&nbsp;&nbsp;4.00%, 07/20/52 | 11222 | 10713767 |
| &nbsp;&nbsp;&nbsp;4.00%, 08/20/52 | 6550 | 6245656 |
| &nbsp;&nbsp;&nbsp;4.00%, 09/20/52 | 68606 | 65421326 |
| &nbsp;&nbsp;&nbsp;4.00%, 10/20/52 | 37358 | 35623554 |
| &nbsp;&nbsp;&nbsp;&nbsp;4.00%, 12/20/52<sup>(c)</sup> | 63288 | 60407901 |
| &nbsp;&nbsp;&nbsp;4.50%, 04/20/26 | 9 | 8630 |
| &nbsp;&nbsp;&nbsp;4.50%, 07/15/33 | 1 | 1228 |
| &nbsp;&nbsp;&nbsp;4.50%, 08/15/33 | 13 | 12675 |
| &nbsp;&nbsp;&nbsp;4.50%, 11/20/33 | 2 | 2361 |
| &nbsp;&nbsp;&nbsp;4.50%, 06/15/34 | 2 | 1627 |
| &nbsp;&nbsp;&nbsp;4.50%, 01/15/35 | 1 | 724 |
| &nbsp;&nbsp;&nbsp;4.50%, 06/20/35 | 14 | 14189 |
| &nbsp;&nbsp;&nbsp;4.50%, 08/15/35 | 8 | 8195 |
| &nbsp;&nbsp;&nbsp;4.50%, 03/15/39 | 81 | 80766 |
| &nbsp;&nbsp;&nbsp;4.50%, 03/20/39 | 34 | 33768 |
| &nbsp;&nbsp;&nbsp;4.50%, 04/15/39 | 271 | 270961 |
| &nbsp;&nbsp;&nbsp;4.50%, 05/15/39 | 84 | 84251 |
| &nbsp;&nbsp;&nbsp;4.50%, 06/15/39 | 77 | 76206 |
| &nbsp;&nbsp;&nbsp;4.50%, 07/15/39 | 297 | 297815 |
| &nbsp;&nbsp;&nbsp;4.50%, 08/15/39 | 1263 | 1267300 |
| &nbsp;&nbsp;&nbsp;4.50%, 09/15/39 | 35 | 35906 |
| &nbsp;&nbsp;&nbsp;4.50%, 10/15/39 | 6 | 6135 |
| &nbsp;&nbsp;&nbsp;4.50%, 11/15/39 | 44 | 44601 |
| &nbsp;&nbsp;&nbsp;4.50%, 11/20/39 | 407 | 409864 |
| &nbsp;&nbsp;&nbsp;4.50%, 12/15/39 | 65 | 65041 |
| &nbsp;&nbsp;&nbsp;4.50%, 01/15/40 | 151 | 151544 |
| &nbsp;&nbsp;&nbsp;4.50%, 01/20/40 | 441 | 444416 |
| &nbsp;&nbsp;&nbsp;4.50%, 02/15/40 | 117 | 117212 |
| &nbsp;&nbsp;&nbsp;4.50%, 03/15/40 | 81 | 80594 |
| &nbsp;&nbsp;&nbsp;4.50%, 04/15/40 | 34 | 33717 |
| &nbsp;&nbsp;&nbsp;4.50%, 05/15/40 | 27 | 27126 |
| &nbsp;&nbsp;&nbsp;4.50%, 05/20/40 | 70 | 70095 |
| &nbsp;&nbsp;&nbsp;4.50%, 06/15/40 | 2478 | 2485478 |
| &nbsp;&nbsp;&nbsp;4.50%, 06/20/40 | 26 | 26126 |
| &nbsp;&nbsp;&nbsp;4.50%, 07/15/40 | 952 | 955265 |
| &nbsp;&nbsp;&nbsp;4.50%, 08/15/40 | 3017 | 3028037 |
| &nbsp;&nbsp;&nbsp;4.50%, 08/20/40 | 678 | 683830 |
| &nbsp;&nbsp;&nbsp;4.50%, 09/15/40 | 161 | 162231 |
| &nbsp;&nbsp;&nbsp;4.50%, 10/15/40 | 68 | 67796 |
| &nbsp;&nbsp;&nbsp;4.50%, 10/20/40 | 1997 | 2012705 |
| &nbsp;&nbsp;&nbsp;4.50%, 12/15/40 | 14 | 13878 |
| &nbsp;&nbsp;&nbsp;4.50%, 01/15/41 | 7 | 7458 |
| &nbsp;&nbsp;&nbsp;4.50%, 01/20/41 | 154 | 155175 |
| &nbsp;&nbsp;&nbsp;4.50%, 02/15/41 | 6 | 5757 |
| &nbsp;&nbsp;&nbsp;4.50%, 02/20/41 | 30 | 30142 |
| &nbsp;&nbsp;&nbsp;4.50%, 03/15/41 | 84 | 84290 |
| &nbsp;&nbsp;&nbsp;4.50%, 03/20/41 | 121 | 122212 |
| &nbsp;&nbsp;&nbsp;4.50%, 04/15/41 | 20 | 19819 |
| &nbsp;&nbsp;&nbsp;4.50%, 04/20/41 | 4047 | 4078450 |
| &nbsp;&nbsp;&nbsp;4.50%, 05/15/41 | 47 | 47302 |
| &nbsp;&nbsp;&nbsp;4.50%, 06/15/41 | 44 | 44864 |
| &nbsp;&nbsp;&nbsp;4.50%, 06/20/41 | 2510 | 2529552 |
| &nbsp;&nbsp;&nbsp;4.50%, 07/15/41 | 33 | 33191 |
| &nbsp;&nbsp;&nbsp;4.50%, 07/20/41 | 5286 | 5327239 |
| &nbsp;&nbsp;&nbsp;4.50%, 08/15/41 | 48 | 46607 |
| &nbsp;&nbsp;&nbsp;4.50%, 08/20/41 | 48 | 48308 |
| &nbsp;&nbsp;&nbsp;4.50%, 09/15/41 | 41 | 40873 |

---

---

| | | |
|:---|:---|:---|
| *Security* | *Par<br> (000)* | *Value* |
| **Mortgage-Backed Securities (continued)** |  |  |
| &nbsp;&nbsp;&nbsp;4.50%, 09/20/41 | $1379 | $1389914 |
| &nbsp;&nbsp;&nbsp;4.50%, 11/20/41 | 1384 | 1394605 |
| &nbsp;&nbsp;&nbsp;4.50%, 12/20/41 | 45 | 45676 |
| &nbsp;&nbsp;&nbsp;4.50%, 01/20/42 | 93 | 93447 |
| &nbsp;&nbsp;&nbsp;4.50%, 02/20/42 | 55 | 55730 |
| &nbsp;&nbsp;&nbsp;4.50%, 03/20/42 | 13 | 13066 |
| &nbsp;&nbsp;&nbsp;4.50%, 04/20/42 | 24 | 23977 |
| &nbsp;&nbsp;&nbsp;4.50%, 05/20/42 | 18 | 18055 |
| &nbsp;&nbsp;&nbsp;4.50%, 08/20/43 | 9 | 9505 |
| &nbsp;&nbsp;&nbsp;4.50%, 09/20/43 | 72 | 72630 |
| &nbsp;&nbsp;&nbsp;4.50%, 11/20/43 | 624 | 625268 |
| &nbsp;&nbsp;&nbsp;4.50%, 08/20/44 | 19 | 19408 |
| &nbsp;&nbsp;&nbsp;4.50%, 09/20/44 | 122 | 122528 |
| &nbsp;&nbsp;&nbsp;4.50%, 10/20/44 | 89 | 89647 |
| &nbsp;&nbsp;&nbsp;4.50%, 11/20/44 | 134 | 134561 |
| &nbsp;&nbsp;&nbsp;4.50%, 06/20/45 | 144 | 143940 |
| &nbsp;&nbsp;&nbsp;4.50%, 09/15/45 | 16 | 15982 |
| &nbsp;&nbsp;&nbsp;4.50%, 10/15/45 | 46 | 45341 |
| &nbsp;&nbsp;&nbsp;4.50%, 10/20/45 | 46 | 46426 |
| &nbsp;&nbsp;&nbsp;4.50%, 11/20/45 | 2691 | 2695901 |
| &nbsp;&nbsp;&nbsp;4.50%, 12/20/45 | 147 | 147347 |
| &nbsp;&nbsp;&nbsp;4.50%, 01/20/46 | 6 | 6472 |
| &nbsp;&nbsp;&nbsp;4.50%, 02/15/46 | 150 | 149147 |
| &nbsp;&nbsp;&nbsp;4.50%, 02/20/46 | 709 | 710539 |
| &nbsp;&nbsp;&nbsp;4.50%, 05/20/46 | 105 | 105559 |
| &nbsp;&nbsp;&nbsp;4.50%, 07/20/46 | 239 | 239007 |
| &nbsp;&nbsp;&nbsp;4.50%, 08/15/46 | 16 | 16125 |
| &nbsp;&nbsp;&nbsp;4.50%, 08/20/46 | 10 | 9937 |
| &nbsp;&nbsp;&nbsp;4.50%, 09/15/46 | 76 | 74868 |
| &nbsp;&nbsp;&nbsp;4.50%, 09/20/46 | 436 | 439015 |
| &nbsp;&nbsp;&nbsp;4.50%, 10/15/46 | 21 | 20590 |
| &nbsp;&nbsp;&nbsp;4.50%, 10/20/46 | 1474 | 1478534 |
| &nbsp;&nbsp;&nbsp;4.50%, 11/20/46 | 419 | 420641 |
| &nbsp;&nbsp;&nbsp;4.50%, 02/20/47 | 233 | 232932 |
| &nbsp;&nbsp;&nbsp;4.50%, 04/20/47 | 282 | 280236 |
| &nbsp;&nbsp;&nbsp;4.50%, 05/20/47 | 905 | 898438 |
| &nbsp;&nbsp;&nbsp;4.50%, 06/15/47 | 64 | 63309 |
| &nbsp;&nbsp;&nbsp;4.50%, 06/20/47 | 792 | 786113 |
| &nbsp;&nbsp;&nbsp;4.50%, 07/20/47 | 1795 | 1782514 |
| &nbsp;&nbsp;&nbsp;4.50%, 08/15/47 | 23 | 22370 |
| &nbsp;&nbsp;&nbsp;4.50%, 10/20/47 | 1838 | 1824376 |
| &nbsp;&nbsp;&nbsp;4.50%, 01/20/48 | 136 | 134904 |
| &nbsp;&nbsp;&nbsp;4.50%, 02/20/48 | 2247 | 2227593 |
| &nbsp;&nbsp;&nbsp;4.50%, 03/20/48 | 2450 | 2428913 |
| &nbsp;&nbsp;&nbsp;4.50%, 04/20/48 | 5905 | 5854722 |
| &nbsp;&nbsp;&nbsp;4.50%, 06/20/48 | 10971 | 10872935 |
| &nbsp;&nbsp;&nbsp;4.50%, 07/20/48 | 12800 | 12685410 |
| &nbsp;&nbsp;&nbsp;4.50%, 08/20/48 | 5512 | 5462783 |
| &nbsp;&nbsp;&nbsp;4.50%, 09/20/48 | 733 | 726801 |
| &nbsp;&nbsp;&nbsp;4.50%, 10/20/48 | 1824 | 1807776 |
| &nbsp;&nbsp;&nbsp;4.50%, 11/20/48 | 145 | 142272 |
| &nbsp;&nbsp;&nbsp;4.50%, 12/20/48 | 7589 | 7521662 |
| &nbsp;&nbsp;&nbsp;4.50%, 01/20/49 | 18470 | 18304389 |
| &nbsp;&nbsp;&nbsp;4.50%, 02/20/49 | 1304 | 1289344 |
| &nbsp;&nbsp;&nbsp;4.50%, 03/20/49 | 7236 | 7170676 |
| &nbsp;&nbsp;&nbsp;4.50%, 04/20/49 | 3406 | 3369868 |
| &nbsp;&nbsp;&nbsp;4.50%, 05/20/49 | 11725 | 11605224 |
| &nbsp;&nbsp;&nbsp;4.50%, 08/20/49 | 4211 | 4172935 |
| &nbsp;&nbsp;&nbsp;4.50%, 09/20/49 | 36 | 35900 |
| &nbsp;&nbsp;&nbsp;4.50%, 11/20/49 | 941 | 932121 |

---

---

| | |
|:---|:---|
| Schedule of Investments (unaudited) (continued) | **iShares<sup>®</sup> MBS ETF** |
| November 30, 2022 | **(Percentages shown are based on Net Assets)** |

---

---

| | | |
|:---|:---|:---|
| *Security* | *Par<br> (000)* | *Value* |
| **Mortgage-Backed Securities (continued)** |  |  |
| &nbsp;&nbsp;&nbsp;4.50%, 02/20/50 | $9599 | $9513126 |
| &nbsp;&nbsp;&nbsp;4.50%, 03/20/50 | 4071 | 4034839 |
| &nbsp;&nbsp;&nbsp;4.50%, 04/20/50 | 3475 | 3404875 |
| &nbsp;&nbsp;&nbsp;4.50%, 05/20/50 | 2854 | 2828594 |
| &nbsp;&nbsp;&nbsp;4.50%, 12/20/50 | 175 | 173777 |
| &nbsp;&nbsp;&nbsp;4.50%, 03/20/51 | 2269 | 2248403 |
| &nbsp;&nbsp;&nbsp;4.50%, 05/20/52 | 2946 | 2881500 |
| &nbsp;&nbsp;&nbsp;4.50%, 07/20/52 | 8064 | 7888483 |
| &nbsp;&nbsp;&nbsp;4.50%, 08/20/52 | 46861 | 45839020 |
| &nbsp;&nbsp;&nbsp;4.50%, 09/20/52 | 1993 | 1949890 |
| &nbsp;&nbsp;&nbsp;4.50%, 10/20/52 | 4990 | 4881542 |
| &nbsp;&nbsp;&nbsp;4.50%, 11/20/52 | 5100 | 4988740 |
| &nbsp;&nbsp;&nbsp;&nbsp;4.50%, 12/20/52<sup>(c)</sup> | 95207 | 93247074 |
| &nbsp;&nbsp;&nbsp;5.00%, 11/15/24 | 115 | 114007 |
| &nbsp;&nbsp;&nbsp;5.00%, 03/15/33 | 3 | 3178 |
| &nbsp;&nbsp;&nbsp;5.00%, 05/20/33 | 160 | 163846 |
| &nbsp;&nbsp;&nbsp;5.00%, 06/15/33 | 5 | 4708 |
| &nbsp;&nbsp;&nbsp;5.00%, 07/15/33 | 16 | 16196 |
| &nbsp;&nbsp;&nbsp;5.00%, 07/20/33 | 1 | 1107 |
| &nbsp;&nbsp;&nbsp;5.00%, 08/15/33 | 65 | 65907 |
| &nbsp;&nbsp;&nbsp;5.00%, 09/15/33 | 38 | 38585 |
| &nbsp;&nbsp;&nbsp;5.00%, 10/15/33 | 25 | 26019 |
| &nbsp;&nbsp;&nbsp;5.00%, 01/15/34 | 1 | 765 |
| &nbsp;&nbsp;&nbsp;5.00%, 01/20/34 | 1 | 1398 |
| &nbsp;&nbsp;&nbsp;5.00%, 02/15/34 | 27 | 27319 |
| &nbsp;&nbsp;&nbsp;5.00%, 04/15/34 | 2 | 2272 |
| &nbsp;&nbsp;&nbsp;5.00%, 05/15/34 | 2 | 2458 |
| &nbsp;&nbsp;&nbsp;5.00%, 05/20/34 | 1 | 775 |
| &nbsp;&nbsp;&nbsp;5.00%, 06/15/34 | 22 | 22491 |
| &nbsp;&nbsp;&nbsp;5.00%, 07/15/34 | 15 | 14837 |
| &nbsp;&nbsp;&nbsp;5.00%, 12/15/34 | 2 | 2515 |
| &nbsp;&nbsp;&nbsp;5.00%, 01/15/35 | 5 | 5996 |
| &nbsp;&nbsp;&nbsp;5.00%, 03/15/35 | 1 | 574 |
| &nbsp;&nbsp;&nbsp;5.00%, 05/15/35 | 2 | 1554 |
| &nbsp;&nbsp;&nbsp;5.00%, 07/20/35 | 665 | 681506 |
| &nbsp;&nbsp;&nbsp;5.00%, 08/15/35 | 20 | 20865 |
| &nbsp;&nbsp;&nbsp;5.00%, 09/15/35 | 7 | 7218 |
| &nbsp;&nbsp;&nbsp;5.00%, 10/15/35 | 55 | 56738 |
| &nbsp;&nbsp;&nbsp;5.00%, 11/15/35 | 10 | 9908 |
| &nbsp;&nbsp;&nbsp;5.00%, 12/15/35 | 9 | 9625 |
| &nbsp;&nbsp;&nbsp;5.00%, 04/20/36 | 23 | 23092 |
| &nbsp;&nbsp;&nbsp;5.00%, 09/15/36 | 17 | 17449 |
| &nbsp;&nbsp;&nbsp;5.00%, 12/15/36 | 2606 | 2667455 |
| &nbsp;&nbsp;&nbsp;5.00%, 04/20/37 | 1 | 904 |
| &nbsp;&nbsp;&nbsp;&nbsp;5.00%, 12/15/37<sup>(c)</sup> | 2 | 2160 |
| &nbsp;&nbsp;&nbsp;5.00%, 01/15/38 | 0 <sup>(b)</sup> | 146 |
| &nbsp;&nbsp;&nbsp;5.00%, 02/15/38 | 0 <sup>(b)</sup> | 270 |
| &nbsp;&nbsp;&nbsp;5.00%, 03/15/38 | 1 | 558 |
| &nbsp;&nbsp;&nbsp;5.00%, 03/20/38 | 5 | 4830 |
| &nbsp;&nbsp;&nbsp;5.00%, 04/15/38 | 15 | 14218 |
| &nbsp;&nbsp;&nbsp;5.00%, 04/20/38 | 120 | 122937 |
| &nbsp;&nbsp;&nbsp;5.00%, 05/15/38 | 65 | 67247 |
| &nbsp;&nbsp;&nbsp;5.00%, 05/20/38 | 1 | 1488 |
| &nbsp;&nbsp;&nbsp;5.00%, 06/15/38 | 33 | 34239 |
| &nbsp;&nbsp;&nbsp;5.00%, 06/20/38 | 12 | 12203 |
| &nbsp;&nbsp;&nbsp;5.00%, 07/15/38 | 2 | 1979 |
| &nbsp;&nbsp;&nbsp;5.00%, 07/15/38 | 0 <sup>(b)</sup> | 303 |
| &nbsp;&nbsp;&nbsp;5.00%, 08/15/38 | 28 | 28737 |
| &nbsp;&nbsp;&nbsp;5.00%, 08/20/38 | 10 | 9953 |
| &nbsp;&nbsp;&nbsp;5.00%, 10/15/38 | 12 | 13546 |

---

---

| | | |
|:---|:---|:---|
| *Security* | *Par<br> (000)* | *Value* |
| **Mortgage-Backed Securities (continued)** |  |  |
| &nbsp;&nbsp;&nbsp;5.00%, 10/20/38 | $13 | $13228 |
| &nbsp;&nbsp;&nbsp;5.00%, 12/15/38 | 7 | 6818 |
| &nbsp;&nbsp;&nbsp;5.00%, 01/15/39 | 1015 | 1045351 |
| &nbsp;&nbsp;&nbsp;5.00%, 02/15/39 | 276 | 282740 |
| &nbsp;&nbsp;&nbsp;5.00%, 03/15/39 | 64 | 64838 |
| &nbsp;&nbsp;&nbsp;5.00%, 03/15/39 | 0 <sup>(b)</sup> | 469 |
| &nbsp;&nbsp;&nbsp;5.00%, 04/15/39 | 40 | 41472 |
| &nbsp;&nbsp;&nbsp;5.00%, 05/15/39 | 13 | 13180 |
| &nbsp;&nbsp;&nbsp;5.00%, 05/20/39 | 6 | 5773 |
| &nbsp;&nbsp;&nbsp;5.00%, 06/15/39 | 79 | 81581 |
| &nbsp;&nbsp;&nbsp;5.00%, 06/20/39 | 25 | 25248 |
| &nbsp;&nbsp;&nbsp;5.00%, 07/15/39 | 2467 | 2543975 |
| &nbsp;&nbsp;&nbsp;5.00%, 08/15/39 | 90 | 93086 |
| &nbsp;&nbsp;&nbsp;5.00%, 09/15/39 | 281 | 290046 |
| &nbsp;&nbsp;&nbsp;5.00%, 10/15/39 | 34 | 34454 |
| &nbsp;&nbsp;&nbsp;5.00%, 10/20/39 | 751 | 771728 |
| &nbsp;&nbsp;&nbsp;5.00%, 11/15/39 | 44 | 45394 |
| &nbsp;&nbsp;&nbsp;5.00%, 12/15/39 | 14 | 14194 |
| &nbsp;&nbsp;&nbsp;5.00%, 02/15/40 | 292 | 302093 |
| &nbsp;&nbsp;&nbsp;5.00%, 03/15/40 | 28 | 29159 |
| &nbsp;&nbsp;&nbsp;5.00%, 04/15/40 | 11 | 11311 |
| &nbsp;&nbsp;&nbsp;5.00%, 05/15/40 | 550 | 566425 |
| &nbsp;&nbsp;&nbsp;5.00%, 05/20/40 | 10 | 10344 |
| &nbsp;&nbsp;&nbsp;5.00%, 06/15/40 | 101 | 104633 |
| &nbsp;&nbsp;&nbsp;5.00%, 06/20/40 | 27 | 28170 |
| &nbsp;&nbsp;&nbsp;5.00%, 07/15/40 | 32 | 32986 |
| &nbsp;&nbsp;&nbsp;5.00%, 07/20/40 | 2708 | 2783185 |
| &nbsp;&nbsp;&nbsp;5.00%, 08/15/40 | 11 | 11274 |
| &nbsp;&nbsp;&nbsp;5.00%, 08/20/40 | 835 | 858051 |
| &nbsp;&nbsp;&nbsp;5.00%, 12/15/40 | 67 | 68350 |
| &nbsp;&nbsp;&nbsp;5.00%, 01/20/41 | 54 | 55725 |
| &nbsp;&nbsp;&nbsp;5.00%, 02/20/41 | 23 | 23769 |
| &nbsp;&nbsp;&nbsp;5.00%, 04/15/41 | 10 | 10740 |
| &nbsp;&nbsp;&nbsp;5.00%, 04/20/41 | 1 | 1158 |
| &nbsp;&nbsp;&nbsp;5.00%, 05/20/41 | 32 | 32682 |
| &nbsp;&nbsp;&nbsp;5.00%, 06/20/41 | 7 | 7016 |
| &nbsp;&nbsp;&nbsp;5.00%, 07/20/41 | 8 | 8621 |
| &nbsp;&nbsp;&nbsp;5.00%, 09/20/41 | 12 | 11993 |
| &nbsp;&nbsp;&nbsp;5.00%, 10/20/41 | 7 | 7468 |
| &nbsp;&nbsp;&nbsp;5.00%, 11/20/41 | 2445 | 2512279 |
| &nbsp;&nbsp;&nbsp;5.00%, 12/20/41 | 17 | 17439 |
| &nbsp;&nbsp;&nbsp;5.00%, 02/20/42 | 79 | 80842 |
| &nbsp;&nbsp;&nbsp;5.00%, 03/20/42 | 13 | 13681 |
| &nbsp;&nbsp;&nbsp;5.00%, 07/20/42 | 466 | 478799 |
| &nbsp;&nbsp;&nbsp;5.00%, 08/20/42 | 23 | 23433 |
| &nbsp;&nbsp;&nbsp;5.00%, 10/20/42 | 1 | 1472 |
| &nbsp;&nbsp;&nbsp;5.00%, 01/20/43 | 134 | 137531 |
| &nbsp;&nbsp;&nbsp;5.00%, 04/20/43 | 32 | 33097 |
| &nbsp;&nbsp;&nbsp;5.00%, 05/20/43 | 21 | 21084 |
| &nbsp;&nbsp;&nbsp;5.00%, 11/20/43 | 74 | 76158 |
| &nbsp;&nbsp;&nbsp;5.00%, 01/20/44 | 96 | 98590 |
| &nbsp;&nbsp;&nbsp;5.00%, 03/15/44 | 1923 | 1982977 |
| &nbsp;&nbsp;&nbsp;5.00%, 05/20/44 | 226 | 232477 |
| &nbsp;&nbsp;&nbsp;5.00%, 06/20/44 | 31 | 31486 |
| &nbsp;&nbsp;&nbsp;5.00%, 07/20/44 | 179 | 184246 |
| &nbsp;&nbsp;&nbsp;5.00%, 08/20/44 | 80 | 82333 |
| &nbsp;&nbsp;&nbsp;5.00%, 12/20/44 | 252 | 258586 |
| &nbsp;&nbsp;&nbsp;5.00%, 04/20/45 | 115 | 118451 |
| &nbsp;&nbsp;&nbsp;5.00%, 08/20/45 | 14 | 13872 |
| &nbsp;&nbsp;&nbsp;5.00%, 09/20/45 | 11 | 10785 |

---

---

| | |
|:---|:---|
| Schedule of Investments (unaudited) (continued) | **iShares<sup>®</sup> MBS ETF** |
| November 30, 2022 | **(Percentages shown are based on Net Assets)** |

---

---

| | | |
|:---|:---|:---|
| *Security* | *Par<br> (000)* | *Value* |
| **Mortgage-Backed Securities (continued)** |  |  |
| &nbsp;&nbsp;&nbsp;5.00%, 10/20/45 | $76 | $78444 |
| &nbsp;&nbsp;&nbsp;5.00%, 11/20/45 | 5 | 5228 |
| &nbsp;&nbsp;&nbsp;5.00%, 02/20/46 | 556 | 571662 |
| &nbsp;&nbsp;&nbsp;5.00%, 04/20/46 | 103 | 105678 |
| &nbsp;&nbsp;&nbsp;5.00%, 05/20/46 | 9 | 9590 |
| &nbsp;&nbsp;&nbsp;5.00%, 07/20/46 | 11 | 10980 |
| &nbsp;&nbsp;&nbsp;5.00%, 11/20/46 | 1060 | 1088850 |
| &nbsp;&nbsp;&nbsp;5.00%, 04/20/47 | 102 | 104447 |
| &nbsp;&nbsp;&nbsp;5.00%, 07/15/47 | 315 | 323053 |
| &nbsp;&nbsp;&nbsp;5.00%, 08/15/47 | 149 | 152026 |
| &nbsp;&nbsp;&nbsp;5.00%, 09/20/47 | 15 | 14679 |
| &nbsp;&nbsp;&nbsp;5.00%, 03/20/48 | 2535 | 2563373 |
| &nbsp;&nbsp;&nbsp;5.00%, 04/20/48 | 2837 | 2867668 |
| &nbsp;&nbsp;&nbsp;5.00%, 05/20/48 | 1477 | 1493645 |
| &nbsp;&nbsp;&nbsp;5.00%, 08/20/48 | 1226 | 1239147 |
| &nbsp;&nbsp;&nbsp;5.00%, 09/20/48 | 1279 | 1292478 |
| &nbsp;&nbsp;&nbsp;5.00%, 11/20/48 | 6220 | 6276210 |
| &nbsp;&nbsp;&nbsp;5.00%, 12/20/48 | 1772 | 1779841 |
| &nbsp;&nbsp;&nbsp;5.00%, 01/20/49 | 3842 | 3883976 |
| &nbsp;&nbsp;&nbsp;5.00%, 02/20/49 | 912 | 922249 |
| &nbsp;&nbsp;&nbsp;5.00%, 03/20/49 | 10095 | 10204089 |
| &nbsp;&nbsp;&nbsp;5.00%, 04/20/49 | 655 | 662163 |
| &nbsp;&nbsp;&nbsp;5.00%, 06/20/49 | 1469 | 1484636 |
| &nbsp;&nbsp;&nbsp;5.00%, 07/20/49 | 1313 | 1327224 |
| &nbsp;&nbsp;&nbsp;5.00%, 09/20/49 | 1049 | 1060703 |
| &nbsp;&nbsp;&nbsp;5.00%, 10/20/49 | 54 | 54849 |
| &nbsp;&nbsp;&nbsp;5.00%, 11/20/49 | 428 | 432236 |
| &nbsp;&nbsp;&nbsp;5.00%, 02/20/50 | 638 | 645107 |
| &nbsp;&nbsp;&nbsp;5.00%, 05/20/50 | 1321 | 1335438 |
| &nbsp;&nbsp;&nbsp;5.00%, 11/20/51 | 2203 | 2242564 |
| &nbsp;&nbsp;&nbsp;5.00%, 09/20/52 | 24297 | 24262232 |
| &nbsp;&nbsp;&nbsp;&nbsp;5.00%, 12/20/52<sup>(c)</sup> | 71695 | 71627786 |
| &nbsp;&nbsp;&nbsp;5.50%, 01/15/24 | 2 | 1739 |
| &nbsp;&nbsp;&nbsp;5.50%, 12/15/31 | 22 | 20790 |
| &nbsp;&nbsp;&nbsp;5.50%, 12/15/31 | 0 <sup>(b)</sup> | 301 |
| &nbsp;&nbsp;&nbsp;5.50%, 05/20/32 | 0 <sup>(b)</sup> | 272 |
| &nbsp;&nbsp;&nbsp;5.50%, 10/15/32 | 2 | 1903 |
| &nbsp;&nbsp;&nbsp;5.50%, 11/15/32 | 2 | 1944 |
| &nbsp;&nbsp;&nbsp;5.50%, 01/15/33 | 7 | 7814 |
| &nbsp;&nbsp;&nbsp;5.50%, 02/15/33 | 9 | 8641 |
| &nbsp;&nbsp;&nbsp;5.50%, 03/15/33 | 11 | 11663 |
| &nbsp;&nbsp;&nbsp;5.50%, 03/15/33 | 0 <sup>(b)</sup> | 423 |
| &nbsp;&nbsp;&nbsp;5.50%, 04/15/33 | 25 | 25839 |
| &nbsp;&nbsp;&nbsp;5.50%, 05/15/33 | 20 | 20103 |
| &nbsp;&nbsp;&nbsp;5.50%, 06/15/33 | 0 <sup>(b)</sup> | 166 |
| &nbsp;&nbsp;&nbsp;5.50%, 06/15/33 | 2 | 1609 |
| &nbsp;&nbsp;&nbsp;5.50%, 07/15/33 | 7 | 7074 |
| &nbsp;&nbsp;&nbsp;5.50%, 08/15/33 | 27 | 27806 |
| &nbsp;&nbsp;&nbsp;5.50%, 09/15/33 | 10 | 10302 |
| &nbsp;&nbsp;&nbsp;5.50%, 10/15/33 | 5 | 5226 |
| &nbsp;&nbsp;&nbsp;5.50%, 11/15/33 | 39 | 40795 |
| &nbsp;&nbsp;&nbsp;5.50%, 12/15/33 | 7 | 7380 |
| &nbsp;&nbsp;&nbsp;5.50%, 12/15/33 | 0 <sup>(b)</sup> | 65 |
| &nbsp;&nbsp;&nbsp;5.50%, 01/15/34 | 25 | 26690 |
| &nbsp;&nbsp;&nbsp;5.50%, 02/15/34 | 0 <sup>(b)</sup> | 324 |
| &nbsp;&nbsp;&nbsp;5.50%, 03/15/34 | 15 | 15013 |
| &nbsp;&nbsp;&nbsp;5.50%, 04/15/34 | 15 | 15879 |
| &nbsp;&nbsp;&nbsp;5.50%, 05/15/34 | 38 | 40051 |
| &nbsp;&nbsp;&nbsp;5.50%, 06/15/34 | 18 | 19274 |
| &nbsp;&nbsp;&nbsp;5.50%, 07/15/34 | 8 | 8544 |

---

---

| | | |
|:---|:---|:---|
| *Security* | *Par<br> (000)* | *Value* |
| **Mortgage-Backed Securities (continued)** |  |  |
| &nbsp;&nbsp;&nbsp;5.50%, 10/15/34 | $4 | $4161 |
| &nbsp;&nbsp;&nbsp;5.50%, 11/15/34 | 10 | 10623 |
| &nbsp;&nbsp;&nbsp;5.50%, 11/20/34 | 813 | 843133 |
| &nbsp;&nbsp;&nbsp;5.50%, 12/15/34 | 5 | 5097 |
| &nbsp;&nbsp;&nbsp;5.50%, 02/15/35 | 17 | 17589 |
| &nbsp;&nbsp;&nbsp;5.50%, 03/15/35 | 13 | 13421 |
| &nbsp;&nbsp;&nbsp;5.50%, 04/15/35 | 12 | 12937 |
| &nbsp;&nbsp;&nbsp;5.50%, 05/15/35 | 10 | 10316 |
| &nbsp;&nbsp;&nbsp;5.50%, 06/15/35 | 19 | 19941 |
| &nbsp;&nbsp;&nbsp;5.50%, 07/15/35 | 17 | 17774 |
| &nbsp;&nbsp;&nbsp;5.50%, 08/15/35 | 4 | 4483 |
| &nbsp;&nbsp;&nbsp;5.50%, 09/15/35 | 17 | 16755 |
| &nbsp;&nbsp;&nbsp;5.50%, 10/15/35 | 8 | 8569 |
| &nbsp;&nbsp;&nbsp;5.50%, 11/15/35 | 3 | 3198 |
| &nbsp;&nbsp;&nbsp;5.50%, 12/15/35 | 12 | 12436 |
| &nbsp;&nbsp;&nbsp;5.50%, 01/15/36 | 4 | 4200 |
| &nbsp;&nbsp;&nbsp;5.50%, 02/15/36 | 2 | 1924 |
| &nbsp;&nbsp;&nbsp;5.50%, 03/15/36 | 640 | 667912 |
| &nbsp;&nbsp;&nbsp;5.50%, 03/20/36 | 171 | 177691 |
| &nbsp;&nbsp;&nbsp;5.50%, 04/15/36 | 3 | 3062 |
| &nbsp;&nbsp;&nbsp;5.50%, 07/15/36 | 1 | 1200 |
| &nbsp;&nbsp;&nbsp;5.50%, 07/20/36 | 232 | 241257 |
| &nbsp;&nbsp;&nbsp;5.50%, 11/20/36 | 0 <sup>(b)</sup> | 451 |
| &nbsp;&nbsp;&nbsp;5.50%, 12/15/36 | 5 | 5453 |
| &nbsp;&nbsp;&nbsp;5.50%, 01/15/37 | 0 <sup>(b)</sup> | 219 |
| &nbsp;&nbsp;&nbsp;5.50%, 03/15/37 | 37 | 37891 |
| &nbsp;&nbsp;&nbsp;5.50%, 04/15/37 | 13 | 14053 |
| &nbsp;&nbsp;&nbsp;5.50%, 05/15/37 | 1 | 1446 |
| &nbsp;&nbsp;&nbsp;5.50%, 07/15/37 | 2 | 2120 |
| &nbsp;&nbsp;&nbsp;5.50%, 01/15/38 | 1 | 1015 |
| &nbsp;&nbsp;&nbsp;5.50%, 01/20/38 | 1 | 797 |
| &nbsp;&nbsp;&nbsp;5.50%, 02/15/38 | 10 | 10661 |
| &nbsp;&nbsp;&nbsp;5.50%, 03/15/38 | 3 | 2666 |
| &nbsp;&nbsp;&nbsp;5.50%, 05/15/38 | 10 | 10356 |
| &nbsp;&nbsp;&nbsp;5.50%, 05/15/38 | 0 <sup>(b)</sup> | 717 |
| &nbsp;&nbsp;&nbsp;5.50%, 06/15/38 | 71 | 73581 |
| &nbsp;&nbsp;&nbsp;5.50%, 06/15/38 | 0 <sup>(b)</sup> | 306 |
| &nbsp;&nbsp;&nbsp;5.50%, 06/20/38 | 877 | 912584 |
| &nbsp;&nbsp;&nbsp;5.50%, 07/15/38 | 24 | 24482 |
| &nbsp;&nbsp;&nbsp;5.50%, 07/20/38 | 10 | 10354 |
| &nbsp;&nbsp;&nbsp;5.50%, 08/15/38 | 39 | 39875 |
| &nbsp;&nbsp;&nbsp;5.50%, 09/15/38 | 11 | 11323 |
| &nbsp;&nbsp;&nbsp;5.50%, 09/20/38 | 7 | 6884 |
| &nbsp;&nbsp;&nbsp;5.50%, 10/15/38 | 558 | 584470 |
| &nbsp;&nbsp;&nbsp;5.50%, 10/20/38 | 28 | 29051 |
| &nbsp;&nbsp;&nbsp;5.50%, 11/15/38 | 16 | 16883 |
| &nbsp;&nbsp;&nbsp;5.50%, 11/20/38 | 1 | 579 |
| &nbsp;&nbsp;&nbsp;5.50%, 12/15/38 | 10 | 10242 |
| &nbsp;&nbsp;&nbsp;5.50%, 12/20/38 | 24 | 24808 |
| &nbsp;&nbsp;&nbsp;5.50%, 01/15/39 | 27 | 28794 |
| &nbsp;&nbsp;&nbsp;5.50%, 01/15/39 | 0 <sup>(b)</sup> | 365 |
| &nbsp;&nbsp;&nbsp;5.50%, 01/20/39 | 11 | 11086 |
| &nbsp;&nbsp;&nbsp;5.50%, 02/15/39 | 4 | 3841 |
| &nbsp;&nbsp;&nbsp;5.50%, 02/20/39 | 43 | 45219 |
| &nbsp;&nbsp;&nbsp;5.50%, 03/20/39 | 674 | 701449 |
| &nbsp;&nbsp;&nbsp;5.50%, 04/15/39 | 7 | 7629 |
| &nbsp;&nbsp;&nbsp;5.50%, 05/15/39 | 2 | 1597 |
| &nbsp;&nbsp;&nbsp;5.50%, 11/15/39 | 4 | 3771 |
| &nbsp;&nbsp;&nbsp;5.50%, 12/15/39 | 156 | 163337 |
| &nbsp;&nbsp;&nbsp;5.50%, 01/15/40 | 1424 | 1495240 |

---

---

| | |
|:---|:---|
| Schedule of Investments (unaudited) (continued) | **iShares<sup>®</sup> MBS ETF** |
| November 30, 2022 | **(Percentages shown are based on Net Assets)** |

---

---

| | | |
|:---|:---|:---|
| *Security* | *Par<br> (000)* | *Value* |
| **Mortgage-Backed Securities (continued)** |  |  |
| &nbsp;&nbsp;&nbsp;5.50%, 03/15/40 | $19 | $20076 |
| &nbsp;&nbsp;&nbsp;5.50%, 04/15/40 | 33 | 34056 |
| &nbsp;&nbsp;&nbsp;5.50%, 07/20/40 | 1341 | 1396256 |
| &nbsp;&nbsp;&nbsp;5.50%, 11/15/40 | 16 | 16363 |
| &nbsp;&nbsp;&nbsp;5.50%, 12/20/40 | 7 | 7135 |
| &nbsp;&nbsp;&nbsp;5.50%, 04/20/41 | 26 | 26540 |
| &nbsp;&nbsp;&nbsp;5.50%, 10/20/41 | 21 | 21580 |
| &nbsp;&nbsp;&nbsp;5.50%, 11/20/41 | 18 | 19184 |
| &nbsp;&nbsp;&nbsp;5.50%, 01/20/42 | 6 | 5767 |
| &nbsp;&nbsp;&nbsp;5.50%, 07/20/42 | 5 | 5692 |
| &nbsp;&nbsp;&nbsp;5.50%, 11/20/42 | 42 | 43459 |
| &nbsp;&nbsp;&nbsp;5.50%, 06/20/43 | 101 | 104599 |
| &nbsp;&nbsp;&nbsp;5.50%, 07/20/43 | 21 | 21531 |
| &nbsp;&nbsp;&nbsp;5.50%, 04/20/44 | 35 | 36891 |
| &nbsp;&nbsp;&nbsp;5.50%, 08/20/44 | 34 | 34969 |
| &nbsp;&nbsp;&nbsp;5.50%, 01/20/47 | 20 | 21000 |
| &nbsp;&nbsp;&nbsp;5.50%, 02/20/47 | 25 | 25976 |
| &nbsp;&nbsp;&nbsp;5.50%, 03/20/48 | 48 | 49306 |
| &nbsp;&nbsp;&nbsp;5.50%, 04/20/48 | 77 | 79505 |
| &nbsp;&nbsp;&nbsp;5.50%, 11/20/48 | 659 | 676818 |
| &nbsp;&nbsp;&nbsp;&nbsp;5.50%, 12/20/52<sup>(c)</sup> | 50275 | 50871260 |
| &nbsp;&nbsp;&nbsp;6.00%, 01/15/24 | 0 <sup>(b)</sup> | 266 |
| &nbsp;&nbsp;&nbsp;6.00%, 04/15/26 | 0 <sup>(b)</sup> | 134 |
| &nbsp;&nbsp;&nbsp;6.00%, 04/15/26 | 1 | 980 |
| &nbsp;&nbsp;&nbsp;6.00%, 05/15/26 | 1 | 1478 |
| &nbsp;&nbsp;&nbsp;6.00%, 04/15/28 | 0 <sup>(b)</sup> | 308 |
| &nbsp;&nbsp;&nbsp;6.00%, 05/15/28 | 1 | 847 |
| &nbsp;&nbsp;&nbsp;6.00%, 07/20/28 | 0 <sup>(b)</sup> | 147 |
| &nbsp;&nbsp;&nbsp;6.00%, 09/15/28 | 0 <sup>(b)</sup> | 179 |
| &nbsp;&nbsp;&nbsp;6.00%, 09/20/28 | 0 <sup>(b)</sup> | 223 |
| &nbsp;&nbsp;&nbsp;6.00%, 10/15/28 | 0 <sup>(b)</sup> | 171 |
| &nbsp;&nbsp;&nbsp;6.00%, 12/15/28 | 0 <sup>(b)</sup> | 364 |
| &nbsp;&nbsp;&nbsp;6.00%, 12/15/28 | 1 | 718 |
| &nbsp;&nbsp;&nbsp;6.00%, 01/15/29 | 7 | 7667 |
| &nbsp;&nbsp;&nbsp;6.00%, 01/15/29 | 0 <sup>(b)</sup> | 180 |
| &nbsp;&nbsp;&nbsp;6.00%, 02/15/29 | 0 <sup>(b)</sup> | 228 |
| &nbsp;&nbsp;&nbsp;6.00%, 02/15/29 | 24 | 24692 |
| &nbsp;&nbsp;&nbsp;6.00%, 03/15/29 | 1 | 558 |
| &nbsp;&nbsp;&nbsp;6.00%, 04/15/29 | 2 | 1522 |
| &nbsp;&nbsp;&nbsp;6.00%, 04/15/29 | 0 <sup>(b)</sup> | 301 |
| &nbsp;&nbsp;&nbsp;6.00%, 05/15/29 | 2 | 2498 |
| &nbsp;&nbsp;&nbsp;6.00%, 05/20/29 | 1 | 618 |
| &nbsp;&nbsp;&nbsp;6.00%, 06/15/29 | 2 | 1718 |
| &nbsp;&nbsp;&nbsp;6.00%, 07/15/29 | 0 <sup>(b)</sup> | 147 |
| &nbsp;&nbsp;&nbsp;6.00%, 08/20/29 | 0 <sup>(b)</sup> | 155 |
| &nbsp;&nbsp;&nbsp;6.00%, 06/15/31 | 0 <sup>(b)</sup> | 283 |
| &nbsp;&nbsp;&nbsp;6.00%, 10/15/31 | 2 | 2271 |
| &nbsp;&nbsp;&nbsp;6.00%, 11/15/31 | 2 | 1626 |
| &nbsp;&nbsp;&nbsp;6.00%, 12/15/31 | 4 | 3432 |
| &nbsp;&nbsp;&nbsp;6.00%, 01/15/32 | 0 <sup>(b)</sup> | 337 |
| &nbsp;&nbsp;&nbsp;6.00%, 02/15/32 | 0 <sup>(b)</sup> | 239 |
| &nbsp;&nbsp;&nbsp;6.00%, 02/15/32 | 3 | 3217 |
| &nbsp;&nbsp;&nbsp;6.00%, 03/15/32 | 1 | 1489 |
| &nbsp;&nbsp;&nbsp;6.00%, 03/15/32 | 0 <sup>(b)</sup> | 361 |
| &nbsp;&nbsp;&nbsp;6.00%, 04/15/32 | 4 | 4061 |
| &nbsp;&nbsp;&nbsp;6.00%, 05/15/32 | 0 <sup>(b)</sup> | 423 |
| &nbsp;&nbsp;&nbsp;6.00%, 05/15/32 | 2 | 1313 |
| &nbsp;&nbsp;&nbsp;6.00%, 06/15/32 | 1 | 1198 |
| &nbsp;&nbsp;&nbsp;6.00%, 07/15/32 | 1 | 1524 |
| &nbsp;&nbsp;&nbsp;6.00%, 08/15/32 | 3 | 3049 |

---

---

| | | |
|:---|:---|:---|
| *Security* | *Par<br> (000)* | *Value* |
| **Mortgage-Backed Securities (continued)** |  |  |
| &nbsp;&nbsp;&nbsp;6.00%, 08/15/32 | $0 <sup>(b)</sup> | $372 |
| &nbsp;&nbsp;&nbsp;6.00%, 09/15/32 | 3 | 3392 |
| &nbsp;&nbsp;&nbsp;6.00%, 10/15/32 | 0 <sup>(b)</sup> | 257 |
| &nbsp;&nbsp;&nbsp;6.00%, 10/15/32 | 9 | 10691 |
| &nbsp;&nbsp;&nbsp;6.00%, 12/15/32 | 0 <sup>(b)</sup> | 361 |
| &nbsp;&nbsp;&nbsp;6.00%, 12/15/32 | 27 | 28729 |
| &nbsp;&nbsp;&nbsp;6.00%, 01/15/33 | 1 <sup>(b)</sup> | 1197 |
| &nbsp;&nbsp;&nbsp;6.00%, 02/15/33 | 9 | 9664 |
| &nbsp;&nbsp;&nbsp;6.00%, 06/15/33 | 15 | 15158 |
| &nbsp;&nbsp;&nbsp;6.00%, 08/15/33 | 2 | 1562 |
| &nbsp;&nbsp;&nbsp;6.00%, 09/15/33 | 38 | 40041 |
| &nbsp;&nbsp;&nbsp;6.00%, 11/15/33 | 4 | 4336 |
| &nbsp;&nbsp;&nbsp;6.00%, 12/15/33 | 51 | 53549 |
| &nbsp;&nbsp;&nbsp;6.00%, 07/15/34 | 6 | 6512 |
| &nbsp;&nbsp;&nbsp;6.00%, 08/15/34 | 3 | 3298 |
| &nbsp;&nbsp;&nbsp;6.00%, 09/15/34 | 2 | 2415 |
| &nbsp;&nbsp;&nbsp;6.00%, 10/15/34 | 10 | 10756 |
| &nbsp;&nbsp;&nbsp;6.00%, 11/15/34 | 1 | 582 |
| &nbsp;&nbsp;&nbsp;6.00%, 09/15/35 | 3 | 3299 |
| &nbsp;&nbsp;&nbsp;6.00%, 11/15/35 | 1 | 1538 |
| &nbsp;&nbsp;&nbsp;6.00%, 12/15/35 | 10 | 10631 |
| &nbsp;&nbsp;&nbsp;6.00%, 01/15/36 | 1 | 710 |
| &nbsp;&nbsp;&nbsp;6.00%, 01/20/36 | 3 | 2903 |
| &nbsp;&nbsp;&nbsp;6.00%, 04/15/36 | 4 | 4124 |
| &nbsp;&nbsp;&nbsp;6.00%, 06/15/36 | 9 | 9011 |
| &nbsp;&nbsp;&nbsp;6.00%, 07/15/36 | 3 | 3221 |
| &nbsp;&nbsp;&nbsp;6.00%, 08/15/36 | 15 | 15201 |
| &nbsp;&nbsp;&nbsp;6.00%, 10/15/36 | 3 | 2988 |
| &nbsp;&nbsp;&nbsp;6.00%, 11/15/36 | 13 | 14312 |
| &nbsp;&nbsp;&nbsp;6.00%, 01/15/37 | 23 | 24051 |
| &nbsp;&nbsp;&nbsp;6.00%, 01/20/37 | 1 | 1225 |
| &nbsp;&nbsp;&nbsp;6.00%, 02/15/37 | 2 | 1583 |
| &nbsp;&nbsp;&nbsp;6.00%, 03/15/37 | 1296 | 1372346 |
| &nbsp;&nbsp;&nbsp;6.00%, 04/15/37 | 26 | 27629 |
| &nbsp;&nbsp;&nbsp;6.00%, 05/15/37 | 0 <sup>(b)</sup> | 347 |
| &nbsp;&nbsp;&nbsp;6.00%, 05/15/37 | 18 | 18834 |
| &nbsp;&nbsp;&nbsp;6.00%, 06/15/37 | 3 | 3228 |
| &nbsp;&nbsp;&nbsp;6.00%, 08/15/37 | 1 | 1300 |
| &nbsp;&nbsp;&nbsp;6.00%, 10/20/37 | 21 | 21965 |
| &nbsp;&nbsp;&nbsp;6.00%, 11/15/37 | 0 <sup>(b)</sup> | 404 |
| &nbsp;&nbsp;&nbsp;6.00%, 11/20/37 | 19 | 20589 |
| &nbsp;&nbsp;&nbsp;&nbsp;6.00%, 12/15/37<sup>(c)</sup> | 4 | 5452 |
| &nbsp;&nbsp;&nbsp;6.00%, 01/15/38 | 17 | 18266 |
| &nbsp;&nbsp;&nbsp;6.00%, 02/15/38 | 0 <sup>(b)</sup> | 507 |
| &nbsp;&nbsp;&nbsp;6.00%, 02/15/38 | 10 | 9947 |
| &nbsp;&nbsp;&nbsp;6.00%, 03/15/38 | 3 | 2908 |
| &nbsp;&nbsp;&nbsp;6.00%, 05/15/38 | 18 | 18525 |
| &nbsp;&nbsp;&nbsp;6.00%, 06/15/38 | 3 | 3065 |
| &nbsp;&nbsp;&nbsp;6.00%, 06/20/38 | 13 | 14022 |
| &nbsp;&nbsp;&nbsp;6.00%, 08/15/38 | 8 | 7854 |
| &nbsp;&nbsp;&nbsp;6.00%, 08/15/38 | 0 <sup>(b)</sup> | 464 |
| &nbsp;&nbsp;&nbsp;6.00%, 09/20/38 | 1379 | 1463920 |
| &nbsp;&nbsp;&nbsp;6.00%, 10/15/38 | 0 <sup>(b)</sup> | 496 |
| &nbsp;&nbsp;&nbsp;6.00%, 10/15/38 | 1 | 803 |
| &nbsp;&nbsp;&nbsp;6.00%, 11/15/38 | 4 | 4277 |
| &nbsp;&nbsp;&nbsp;6.00%, 11/15/38 | 0 <sup>(b)</sup> | 108 |
| &nbsp;&nbsp;&nbsp;6.00%, 12/15/38 | 491 | 524016 |
| &nbsp;&nbsp;&nbsp;6.00%, 01/15/39 | 67 | 70969 |
| &nbsp;&nbsp;&nbsp;6.00%, 06/15/39 | 5 | 4944 |
| &nbsp;&nbsp;&nbsp;6.00%, 09/15/39 | 35 | 36658 |

---

---

| | |
|:---|:---|
| Schedule of Investments (unaudited) (continued) | **iShares<sup>®</sup> MBS ETF** |
| November 30, 2022 | **(Percentages shown are based on Net Assets)** |

---

---

| | | |
|:---|:---|:---|
| *Security* | *Par<br> (000)* | *Value* |
| **Mortgage-Backed Securities (continued)** |  |  |
| &nbsp;&nbsp;&nbsp;6.00%, 09/20/39 | $97 | $104119 |
| &nbsp;&nbsp;&nbsp;6.00%, 11/15/39 | 234 | 249559 |
| &nbsp;&nbsp;&nbsp;6.00%, 12/15/39 | 4 | 3939 |
| &nbsp;&nbsp;&nbsp;6.00%, 04/20/40 | 175 | 186845 |
| &nbsp;&nbsp;&nbsp;6.00%, 12/15/40 | 7 | 7134 |
| &nbsp;&nbsp;&nbsp;6.00%, 12/20/40 | 4 | 4216 |
| &nbsp;&nbsp;&nbsp;6.00%, 11/20/41 | 2 | 1936 |
| &nbsp;&nbsp;&nbsp;6.00%, 01/20/42 | 15 | 16069 |
| &nbsp;&nbsp;&nbsp;6.00%, 04/20/42 | 4 | 3764 |
| &nbsp;&nbsp;&nbsp;6.00%, 07/20/45 | 131 | 140237 |
| &nbsp;&nbsp;&nbsp;6.00%, 01/20/46 | 353 | 376924 |
| &nbsp;&nbsp;&nbsp;&nbsp;6.00%, 12/20/52<sup>(c)</sup> | 7000 | 7214882 |
| &nbsp;&nbsp;&nbsp;6.50%, 09/15/23 | 0 <sup>(b)</sup> | 115 |
| &nbsp;&nbsp;&nbsp;6.50%, 10/15/23 | 0 <sup>(b)</sup> | 2 |
| &nbsp;&nbsp;&nbsp;6.50%, 11/15/23 | 0 <sup>(b)</sup> | 55 |
| &nbsp;&nbsp;&nbsp;6.50%, 04/15/24 | 0 <sup>(b)</sup> | 125 |
| &nbsp;&nbsp;&nbsp;6.50%, 05/15/24 | 0 <sup>(b)</sup> | 96 |
| &nbsp;&nbsp;&nbsp;6.50%, 07/15/24 | 0 <sup>(b)</sup> | 141 |
| &nbsp;&nbsp;&nbsp;6.50%, 10/15/24 | 0 <sup>(b)</sup> | 39 |
| &nbsp;&nbsp;&nbsp;6.50%, 03/15/26 | 0 <sup>(b)</sup> | 411 |
| &nbsp;&nbsp;&nbsp;6.50%, 04/15/26 | 0 <sup>(b)</sup> | 84 |
| &nbsp;&nbsp;&nbsp;6.50%, 03/15/28 | 1 | 643 |
| &nbsp;&nbsp;&nbsp;6.50%, 03/15/28 | 0 <sup>(b)</sup> | 88 |
| &nbsp;&nbsp;&nbsp;6.50%, 04/15/28 | 0 <sup>(b)</sup> | 161 |
| &nbsp;&nbsp;&nbsp;6.50%, 06/15/28 | 0 <sup>(b)</sup> | 141 |
| &nbsp;&nbsp;&nbsp;6.50%, 08/15/28 | 0 <sup>(b)</sup> | 43 |
| &nbsp;&nbsp;&nbsp;6.50%, 09/15/28 | 0 <sup>(b)</sup> | 1053 |
| &nbsp;&nbsp;&nbsp;6.50%, 09/15/28 | 1 | 587 |
| &nbsp;&nbsp;&nbsp;6.50%, 10/15/28 | 5 | 5626 |
| &nbsp;&nbsp;&nbsp;6.50%, 10/15/28 | 0 <sup>(b)</sup> | 868 |
| &nbsp;&nbsp;&nbsp;6.50%, 10/20/28 | 0 <sup>(b)</sup> | 362 |
| &nbsp;&nbsp;&nbsp;6.50%, 11/15/28 | 1 | 717 |
| &nbsp;&nbsp;&nbsp;6.50%, 12/15/28 | 4 | 3969 |
| &nbsp;&nbsp;&nbsp;6.50%, 01/15/29 | 5 | 4974 |
| &nbsp;&nbsp;&nbsp;6.50%, 01/15/29 | 0 <sup>(b)</sup> | 400 |
| &nbsp;&nbsp;&nbsp;6.50%, 02/15/29 | 0 <sup>(b)</sup> | 130 |
| &nbsp;&nbsp;&nbsp;6.50%, 03/15/29 | 2 | 1710 |
| &nbsp;&nbsp;&nbsp;6.50%, 03/15/29 | 0 <sup>(b)</sup> | 156 |
| &nbsp;&nbsp;&nbsp;6.50%, 04/15/29 | 0 <sup>(b)</sup> | 83 |
| &nbsp;&nbsp;&nbsp;6.50%, 04/15/29 | 1 | 609 |
| &nbsp;&nbsp;&nbsp;6.50%, 05/15/29 | 0 <sup>(b)</sup> | 79 |
| &nbsp;&nbsp;&nbsp;6.50%, 05/20/29 | 0 <sup>(b)</sup> | 278 |
| &nbsp;&nbsp;&nbsp;6.50%, 06/15/29 | 0 <sup>(b)</sup> | 214 |
| &nbsp;&nbsp;&nbsp;6.50%, 07/15/29 | 11 | 10379 |
| &nbsp;&nbsp;&nbsp;6.50%, 07/15/29 | 0 <sup>(b)</sup> | 787 |
| &nbsp;&nbsp;&nbsp;6.50%, 08/15/29 | 6 | 6532 |
| &nbsp;&nbsp;&nbsp;6.50%, 08/15/29 | 0 <sup>(b)</sup> | 96 |
| &nbsp;&nbsp;&nbsp;6.50%, 09/15/29 | 1 | 714 |
| &nbsp;&nbsp;&nbsp;6.50%, 12/15/29 | 0 <sup>(b)</sup> | 92 |
| &nbsp;&nbsp;&nbsp;6.50%, 05/15/31 | 2 | 2003 |
| &nbsp;&nbsp;&nbsp;6.50%, 06/15/31 | 0 <sup>(b)</sup> | 291 |
| &nbsp;&nbsp;&nbsp;6.50%, 07/15/31 | 0 <sup>(b)</sup> | 167 |
| &nbsp;&nbsp;&nbsp;6.50%, 09/15/31 | 0 <sup>(b)</sup> | 853 |
| &nbsp;&nbsp;&nbsp;6.50%, 09/15/31 | 5 | 4669 |
| &nbsp;&nbsp;&nbsp;6.50%, 11/15/31 | 0 <sup>(b)</sup> | 19 |
| &nbsp;&nbsp;&nbsp;6.50%, 11/15/31 | 12 | 13305 |
| &nbsp;&nbsp;&nbsp;6.50%, 12/15/31 | 5 | 5442 |
| &nbsp;&nbsp;&nbsp;6.50%, 01/15/32 | 0 <sup>(b)</sup> | 345 |
| &nbsp;&nbsp;&nbsp;6.50%, 01/15/32 | 2 | 1544 |
| &nbsp;&nbsp;&nbsp;6.50%, 02/20/32 | 0 <sup>(b)</sup> | 175 |

---

---

| | | |
|:---|:---|:---|
| *Security* | *Par<br> (000)* | *Value* |
| **Mortgage-Backed Securities (continued)** |  |  |
| &nbsp;&nbsp;&nbsp;6.50%, 03/15/32 | $5 | $5105 |
| &nbsp;&nbsp;&nbsp;6.50%, 04/15/32 | 5 | 5181 |
| &nbsp;&nbsp;&nbsp;6.50%, 05/20/32 | 7 | 7766 |
| &nbsp;&nbsp;&nbsp;6.50%, 06/15/32 | 0 <sup>(b)</sup> | 278 |
| &nbsp;&nbsp;&nbsp;6.50%, 06/15/32 | 1 | 1138 |
| &nbsp;&nbsp;&nbsp;6.50%, 07/15/32 | 2 | 2274 |
| &nbsp;&nbsp;&nbsp;6.50%, 08/15/32 | 4 | 4591 |
| &nbsp;&nbsp;&nbsp;6.50%, 10/15/32 | 0 <sup>(b)</sup> | 419 |
| &nbsp;&nbsp;&nbsp;6.50%, 10/15/32 | 1 | 1538 |
| &nbsp;&nbsp;&nbsp;6.50%, 12/15/32 | 1 | 1033 |
| &nbsp;&nbsp;&nbsp;6.50%, 01/15/33 | 5 | 4519 |
| &nbsp;&nbsp;&nbsp;6.50%, 03/15/33 | 3 | 2729 |
| &nbsp;&nbsp;&nbsp;6.50%, 04/15/33 | 1 | 1435 |
| &nbsp;&nbsp;&nbsp;6.50%, 05/15/33 | 3 | 2989 |
| &nbsp;&nbsp;&nbsp;6.50%, 07/15/34 | 1 | 777 |
| &nbsp;&nbsp;&nbsp;6.50%, 08/15/34 | 1 | 1469 |
| &nbsp;&nbsp;&nbsp;6.50%, 08/20/34 | 1 | 783 |
| &nbsp;&nbsp;&nbsp;6.50%, 11/15/34 | 2 | 2271 |
| &nbsp;&nbsp;&nbsp;6.50%, 12/15/35 | 2 | 2591 |
| &nbsp;&nbsp;&nbsp;6.50%, 04/15/36 | 14 | 14652 |
| &nbsp;&nbsp;&nbsp;6.50%, 10/15/36 | 18 | 19621 |
| &nbsp;&nbsp;&nbsp;6.50%, 05/15/37 | 7 | 7687 |
| &nbsp;&nbsp;&nbsp;6.50%, 07/15/37 | 2 | 1972 |
| &nbsp;&nbsp;&nbsp;6.50%, 08/15/37 | 0 <sup>(b)</sup> | 307 |
| &nbsp;&nbsp;&nbsp;6.50%, 11/15/37 | 4 | 4402 |
| &nbsp;&nbsp;&nbsp;&nbsp;6.50%, 12/15/37<sup>(c)</sup> | 1 | 1399 |
| &nbsp;&nbsp;&nbsp;6.50%, 01/15/38 | 1 | 1436 |
| &nbsp;&nbsp;&nbsp;6.50%, 08/20/38 | 7 | 7687 |
| &nbsp;&nbsp;&nbsp;6.50%, 09/15/38 | 3 | 3481 |
| &nbsp;&nbsp;&nbsp;6.50%, 10/20/38 | 625 | 676431 |
| &nbsp;&nbsp;&nbsp;6.50%, 11/15/38 | 9 | 9309 |
| &nbsp;&nbsp;&nbsp;6.50%, 12/15/38 | 8 | 7874 |
| &nbsp;&nbsp;&nbsp;6.50%, 01/15/39 | 0 <sup>(b)</sup> | 158 |
| &nbsp;&nbsp;&nbsp;7.00%, 06/15/23 | 0 <sup>(b)</sup> | 36 |
| &nbsp;&nbsp;&nbsp;7.00%, 07/15/23 | 0 <sup>(b)</sup> | 33 |
| &nbsp;&nbsp;&nbsp;7.00%, 08/15/23 | 0 <sup>(b)</sup> | 422 |
| &nbsp;&nbsp;&nbsp;7.00%, 09/15/23 | 0 <sup>(b)</sup> | 12 |
| &nbsp;&nbsp;&nbsp;7.00%, 10/15/23 | 0 <sup>(b)</sup> | 29 |
| &nbsp;&nbsp;&nbsp;7.00%, 11/15/23 | 0 <sup>(b)</sup> | 203 |
| &nbsp;&nbsp;&nbsp;7.00%, 12/15/23 | 0 <sup>(b)</sup> | 86 |
| &nbsp;&nbsp;&nbsp;7.00%, 01/15/24 | 0 <sup>(b)</sup> | 61 |
| &nbsp;&nbsp;&nbsp;7.00%, 04/15/24 | 0 <sup>(b)</sup> | 103 |
| &nbsp;&nbsp;&nbsp;7.00%, 05/15/24 | 0 <sup>(b)</sup> | 185 |
| &nbsp;&nbsp;&nbsp;7.00%, 06/15/24 | 0 <sup>(b)</sup> | 149 |
| &nbsp;&nbsp;&nbsp;7.00%, 09/15/24 | 0 <sup>(b)</sup> | 191 |
| &nbsp;&nbsp;&nbsp;7.00%, 10/15/24 | 0 <sup>(b)</sup> | 346 |
| &nbsp;&nbsp;&nbsp;7.00%, 11/15/24 | 0 <sup>(b)</sup> | 112 |
| &nbsp;&nbsp;&nbsp;7.00%, 01/15/25 | 0 <sup>(b)</sup> | 40 |
| &nbsp;&nbsp;&nbsp;7.00%, 07/15/25 | 0 <sup>(b)</sup> | 73 |
| &nbsp;&nbsp;&nbsp;7.00%, 10/15/25 | 0 <sup>(b)</sup> | 114 |
| &nbsp;&nbsp;&nbsp;7.00%, 12/15/25 | 0 <sup>(b)</sup> | 33 |
| &nbsp;&nbsp;&nbsp;7.00%, 12/15/25 | 1 | 515 |
| &nbsp;&nbsp;&nbsp;7.00%, 01/15/26 | 0 <sup>(b)</sup> | 94 |
| &nbsp;&nbsp;&nbsp;7.00%, 02/15/26 | 0 <sup>(b)</sup> | 159 |
| &nbsp;&nbsp;&nbsp;7.00%, 04/15/26 | 0 <sup>(b)</sup> | 378 |
| &nbsp;&nbsp;&nbsp;7.00%, 06/15/26 | 1 | 781 |
| &nbsp;&nbsp;&nbsp;7.00%, 11/15/26 | 0 <sup>(b)</sup> | 236 |
| &nbsp;&nbsp;&nbsp;7.00%, 05/15/27 | 0 <sup>(b)</sup> | 247 |
| &nbsp;&nbsp;&nbsp;7.00%, 06/15/27 | 0 <sup>(b)</sup> | 434 |
| &nbsp;&nbsp;&nbsp;7.00%, 10/15/27 | 0 <sup>(b)</sup> | 430 |

---

---

| | |
|:---|:---|
| Schedule of Investments (unaudited) (continued) | **iShares<sup>®</sup> MBS ETF** |
| November 30, 2022 | **(Percentages shown are based on Net Assets)** |

---

---

| | | |
|:---|:---|:---|
| *Security* | *Par<br> (000)* | *Value* |
| **Mortgage-Backed Securities (continued)** |  |  |
| &nbsp;&nbsp;&nbsp;7.00%, 11/15/27 | $1 | $1055 |
| &nbsp;&nbsp;&nbsp;7.00%, 11/15/27 | 0 <sup>(b)</sup> | 48 |
| &nbsp;&nbsp;&nbsp;7.00%, 12/15/27 | 1 | 955 |
| &nbsp;&nbsp;&nbsp;7.00%, 12/15/27 | 0 <sup>(b)</sup> | 379 |
| &nbsp;&nbsp;&nbsp;7.00%, 01/15/28 | 1 | 701 |
| &nbsp;&nbsp;&nbsp;7.00%, 02/15/28 | 0 <sup>(b)</sup> | 30 |
| &nbsp;&nbsp;&nbsp;7.00%, 03/15/28 | 0 <sup>(b)</sup> | 776 |
| &nbsp;&nbsp;&nbsp;7.00%, 04/15/28 | 0 <sup>(b)</sup> | 603 |
| &nbsp;&nbsp;&nbsp;7.00%, 06/15/28 | 3 | 1975 |
| &nbsp;&nbsp;&nbsp;7.00%, 06/15/28 | 0 <sup>(b)</sup> | 602 |
| &nbsp;&nbsp;&nbsp;7.00%, 07/15/28 | 1 | 519 |
| &nbsp;&nbsp;&nbsp;7.00%, 08/15/28 | 1 | 547 |
| &nbsp;&nbsp;&nbsp;7.00%, 08/15/28 | 0 <sup>(b)</sup> | 323 |
| &nbsp;&nbsp;&nbsp;7.00%, 09/15/28 | 4 | 2833 |
| &nbsp;&nbsp;&nbsp;7.00%, 09/15/28 | 0 <sup>(b)</sup> | 145 |
| &nbsp;&nbsp;&nbsp;7.00%, 10/15/28 | 0 <sup>(b)</sup> | 289 |
| &nbsp;&nbsp;&nbsp;7.00%, 11/15/28 | 4 | 3629 |
| &nbsp;&nbsp;&nbsp;7.00%, 11/15/28 | 0 <sup>(b)</sup> | 639 |
| &nbsp;&nbsp;&nbsp;7.00%, 12/15/28 | 0 <sup>(b)</sup> | 222 |
| &nbsp;&nbsp;&nbsp;7.00%, 12/15/28 | 1 | 909 |
| &nbsp;&nbsp;&nbsp;7.00%, 03/15/29 | 4 | 4282 |
| &nbsp;&nbsp;&nbsp;7.00%, 04/15/29 | 0 <sup>(b)</sup> | 86 |
| &nbsp;&nbsp;&nbsp;7.00%, 05/15/29 | 0 <sup>(b)</sup> | 123 |
| &nbsp;&nbsp;&nbsp;7.00%, 06/15/29 | 0 <sup>(b)</sup> | 384 |
| &nbsp;&nbsp;&nbsp;7.00%, 07/15/29 | 0 <sup>(b)</sup> | 337 |
| &nbsp;&nbsp;&nbsp;7.00%, 08/15/29 | 0 <sup>(b)</sup> | 243 |
| &nbsp;&nbsp;&nbsp;7.00%, 08/15/29 | 2 | 1712 |
| &nbsp;&nbsp;&nbsp;7.00%, 11/15/29 | 0 <sup>(b)</sup> | 70 |
| &nbsp;&nbsp;&nbsp;7.00%, 12/15/29 | 1 | 541 |
| &nbsp;&nbsp;&nbsp;7.00%, 12/15/30 | 1 | 993 |
| &nbsp;&nbsp;&nbsp;7.00%, 02/15/31 | 1 | 571 |
| &nbsp;&nbsp;&nbsp;7.00%, 07/15/31 | 3 | 3555 |
| &nbsp;&nbsp;&nbsp;7.00%, 07/15/31 | 0 <sup>(b)</sup> | 233 |
| &nbsp;&nbsp;&nbsp;7.00%, 08/15/31 | 0 <sup>(b)</sup> | 544 |
| &nbsp;&nbsp;&nbsp;7.00%, 08/15/31 | 1 | 869 |
| &nbsp;&nbsp;&nbsp;7.00%, 09/15/31 | 0 <sup>(b)</sup> | 233 |
| &nbsp;&nbsp;&nbsp;7.00%, 09/15/31 | 1 | 1447 |
| &nbsp;&nbsp;&nbsp;7.00%, 10/15/31 | 0 <sup>(b)</sup> | 136 |
| &nbsp;&nbsp;&nbsp;7.00%, 02/15/32 | 1 | 547 |
| &nbsp;&nbsp;&nbsp;7.00%, 02/15/32 | 0 <sup>(b)</sup> | 116 |
| &nbsp;&nbsp;&nbsp;7.00%, 04/15/32 | 2 | 2567 |
| &nbsp;&nbsp;&nbsp;7.00%, 05/15/32 | 1 | 1321 |
| &nbsp;&nbsp;&nbsp;&nbsp;7.00%, 12/15/37<sup>(c)</sup> | 7 | 7710 |
| &nbsp;&nbsp;&nbsp;7.50%, 01/15/23 | 0 <sup>(b)</sup> | 40 |
| &nbsp;&nbsp;&nbsp;7.50%, 06/15/23 | 0 <sup>(b)</sup> | 8 |
| &nbsp;&nbsp;&nbsp;7.50%, 07/15/23 | 0 <sup>(b)</sup> | 30 |
| &nbsp;&nbsp;&nbsp;7.50%, 11/15/23 | 0 <sup>(b)</sup> | 38 |
| &nbsp;&nbsp;&nbsp;7.50%, 12/15/23 | 0 <sup>(b)</sup> | 29 |
| &nbsp;&nbsp;&nbsp;7.50%, 02/15/24 | 0 <sup>(b)</sup> | 191 |
| &nbsp;&nbsp;&nbsp;7.50%, 04/15/24 | 0 <sup>(b)</sup> | 34 |
| &nbsp;&nbsp;&nbsp;7.50%, 05/15/24 | 1 <sup>(b)</sup> | 520 |
| &nbsp;&nbsp;&nbsp;7.50%, 06/15/24 | 0 <sup>(b)</sup> | 230 |
| &nbsp;&nbsp;&nbsp;7.50%, 08/15/25 | 0 <sup>(b)</sup> | 19 |
| &nbsp;&nbsp;&nbsp;7.50%, 09/15/25 | 0 <sup>(b)</sup> | 718 |
| &nbsp;&nbsp;&nbsp;7.50%, 11/15/25 | 0 <sup>(b)</sup> | 43 |
| &nbsp;&nbsp;&nbsp;7.50%, 12/15/25 | 0 <sup>(b)</sup> | 120 |
| &nbsp;&nbsp;&nbsp;7.50%, 03/15/26 | 1 | 879 |
| &nbsp;&nbsp;&nbsp;7.50%, 03/15/26 | 0 <sup>(b)</sup> | 6 |
| &nbsp;&nbsp;&nbsp;7.50%, 06/15/26 | 0 <sup>(b)</sup> | 180 |
| &nbsp;&nbsp;&nbsp;7.50%, 08/15/26 | 0 <sup>(b)</sup> | 55 |

---

---

| | | |
|:---|:---|:---|
| *Security* | *Par<br> (000)* | *Value* |
| **Mortgage-Backed Securities (continued)** |  |  |
| &nbsp;&nbsp;&nbsp;7.50%, 01/15/27 | $0 <sup>(b)</sup> | $79 |
| &nbsp;&nbsp;&nbsp;7.50%, 06/15/27 | 0 <sup>(b)</sup> | 269 |
| &nbsp;&nbsp;&nbsp;7.50%, 10/15/27 | 0 <sup>(b)</sup> | 551 |
| &nbsp;&nbsp;&nbsp;7.50%, 12/15/27 | 0 <sup>(b)</sup> | 260 |
| &nbsp;&nbsp;&nbsp;7.50%, 01/15/28 | 0 <sup>(b)</sup> | 100 |
| &nbsp;&nbsp;&nbsp;7.50%, 06/15/28 | 2 | 1606 |
| &nbsp;&nbsp;&nbsp;7.50%, 07/15/28 | 2 | 1756 |
| &nbsp;&nbsp;&nbsp;7.50%, 08/15/28 | 0 <sup>(b)</sup> | 228 |
| &nbsp;&nbsp;&nbsp;7.50%, 09/15/28 | 0 <sup>(b)</sup> | 109 |
| &nbsp;&nbsp;&nbsp;7.50%, 12/15/28 | 0 <sup>(b)</sup> | 70 |
| &nbsp;&nbsp;&nbsp;7.50%, 01/15/29 | 0 <sup>(b)</sup> | 46 |
| &nbsp;&nbsp;&nbsp;7.50%, 03/15/29 | 1 | 862 |
| &nbsp;&nbsp;&nbsp;7.50%, 04/15/29 | 0 <sup>(b)</sup> | 65 |
| &nbsp;&nbsp;&nbsp;7.50%, 08/15/29 | 0 <sup>(b)</sup> | 449 |
| &nbsp;&nbsp;&nbsp;7.50%, 09/15/29 | 0 <sup>(b)</sup> | 96 |
| &nbsp;&nbsp;&nbsp;7.50%, 10/15/29 | 0 <sup>(b)</sup> | 112 |
| &nbsp;&nbsp;&nbsp;7.50%, 11/15/29 | 0 <sup>(b)</sup> | 98 |
| &nbsp;&nbsp;&nbsp;7.50%, 12/15/29 | 2 | 1933 |
| &nbsp;&nbsp;&nbsp;7.50%, 08/15/30 | 3 | 2906 |
| &nbsp;&nbsp;&nbsp;7.50%, 11/15/30 | 0 <sup>(b)</sup> | 25 |
| &nbsp;&nbsp;&nbsp;7.50%, 12/15/30 | 0 <sup>(b)</sup> | 288 |
| &nbsp;&nbsp;&nbsp;7.50%, 03/15/32 | 1 | 820 |
| &nbsp;&nbsp;&nbsp;8.00%, 02/15/23 | 0 <sup>(b)</sup> | 65 |
| &nbsp;&nbsp;&nbsp;8.00%, 10/15/23 | 0 <sup>(b)</sup> | 64 |
| &nbsp;&nbsp;&nbsp;8.00%, 12/15/23 | 0 <sup>(b)</sup> | 126 |
| &nbsp;&nbsp;&nbsp;8.00%, 03/15/24 | 0 <sup>(b)</sup> | 45 |
| &nbsp;&nbsp;&nbsp;8.00%, 04/15/24 | 0 <sup>(b)</sup> | 12 |
| &nbsp;&nbsp;&nbsp;8.00%, 06/15/25 | 0 <sup>(b)</sup> | 43 |
| &nbsp;&nbsp;&nbsp;8.00%, 07/15/25 | 0 <sup>(b)</sup> | 283 |
| &nbsp;&nbsp;&nbsp;8.00%, 08/15/25 | 0 <sup>(b)</sup> | 303 |
| &nbsp;&nbsp;&nbsp;8.00%, 09/15/25 | 0 <sup>(b)</sup> | 84 |
| &nbsp;&nbsp;&nbsp;8.00%, 10/15/25 | 0 <sup>(b)</sup> | 486 |
| &nbsp;&nbsp;&nbsp;8.00%, 11/15/25 | 0 <sup>(b)</sup> | 207 |
| &nbsp;&nbsp;&nbsp;8.00%, 05/15/26 | 0 <sup>(b)</sup> | 263 |
| &nbsp;&nbsp;&nbsp;8.00%, 06/15/26 | 0 <sup>(b)</sup> | 241 |
| &nbsp;&nbsp;&nbsp;8.00%, 07/15/26 | 0 <sup>(b)</sup> | 245 |
| &nbsp;&nbsp;&nbsp;8.00%, 08/15/26 | 0 <sup>(b)</sup> | 67 |
| &nbsp;&nbsp;&nbsp;8.00%, 09/15/26 | 0 <sup>(b)</sup> | 224 |
| &nbsp;&nbsp;&nbsp;8.00%, 09/15/26 | 1 | 597 |
| &nbsp;&nbsp;&nbsp;8.00%, 02/15/27 | 0 <sup>(b)</sup> | 490 |
| &nbsp;&nbsp;&nbsp;8.00%, 08/15/27 | 1 | 1247 |
| &nbsp;&nbsp;&nbsp;8.00%, 12/15/27 | 0 <sup>(b)</sup> | 163 |
| &nbsp;&nbsp;&nbsp;8.00%, 04/15/28 | 0 <sup>(b)</sup> | 45 |
| &nbsp;&nbsp;&nbsp;8.00%, 08/20/29 | 0 <sup>(b)</sup> | 98 |
| &nbsp;&nbsp;&nbsp;8.00%, 09/15/29 | 1 | 539 |
| &nbsp;&nbsp;&nbsp;8.00%, 10/15/29 | 0 <sup>(b)</sup> | 235 |
| &nbsp;&nbsp;&nbsp;8.00%, 01/15/30 | 0 <sup>(b)</sup> | 49 |
| &nbsp;&nbsp;&nbsp;8.00%, 02/15/30 | 0 <sup>(b)</sup> | 238 |
| &nbsp;&nbsp;&nbsp;8.00%, 06/15/30 | 0 <sup>(b)</sup> | 336 |
| &nbsp;&nbsp;&nbsp;8.00%, 06/20/30 | 0 <sup>(b)</sup> | 45 |
| &nbsp;&nbsp;&nbsp;8.00%, 12/15/30 | 2 | 2178 |
| &nbsp;&nbsp;&nbsp;8.00%, 07/15/31 | 0 <sup>(b)</sup> | 128 |
| &nbsp;&nbsp;&nbsp;8.00%, 03/15/32 | 1 | 907 |
| &nbsp;&nbsp;&nbsp;8.50%, 05/15/23 | 0 <sup>(b)</sup> | 5 |
| &nbsp;&nbsp;&nbsp;8.50%, 08/15/24 | 0 <sup>(b)</sup> | 131 |
| &nbsp;&nbsp;&nbsp;8.50%, 03/15/25 | 1 | 504 |
| &nbsp;&nbsp;&nbsp;8.50%, 04/15/25 | 0 <sup>(b)</sup> | 46 |
| &nbsp;&nbsp;&nbsp;8.50%, 09/15/26 | 0 <sup>(b)</sup> | 117 |
| &nbsp;&nbsp;&nbsp;8.50%, 01/15/27 | 0 <sup>(b)</sup> | 59 |
| &nbsp;&nbsp;&nbsp;8.50%, 07/15/27 | 0 <sup>(b)</sup> | 158 |

---

---

| | |
|:---|:---|
| Schedule of Investments (unaudited) (continued) | **iShares<sup>®</sup> MBS ETF** |
| November 30, 2022 | **(Percentages shown are based on Net Assets)** |

---

---

| | | |
|:---|:---|:---|
| *Security* | *Par<br> (000)* | *Value* |
| **Mortgage-Backed Securities (continued)** |  |  |
| &nbsp;&nbsp;&nbsp;8.50%, 08/15/27 | $1 | $590 |
| &nbsp;&nbsp;&nbsp;8.50%, 02/15/30 | 1 | 983 |
| &nbsp;&nbsp;&nbsp;8.50%, 07/15/30 | 0 <sup>(b)</sup> | 276 |
| &nbsp;&nbsp;&nbsp;8.50%, 04/15/31 | 0 <sup>(b)</sup> | 56 |
| &nbsp;&nbsp;&nbsp;9.00%, 11/15/24 | 0 <sup>(b)</sup> | 22 |
| &nbsp;&nbsp;&nbsp;9.00%, 03/15/25 | 0 <sup>(b)</sup> | 329 |
| &nbsp;&nbsp;&nbsp;9.50%, 01/15/25 | 0 <sup>(b)</sup> | 77 |
| &nbsp;&nbsp;&nbsp;9.50%, 02/15/25 | 0 <sup>(b)</sup> | 210 |
| &nbsp;&nbsp;&nbsp;9.50%, 06/15/25 | 0 <sup>(b)</sup> | 38 |
| Uniform Mortgage-Backed Securities |  |  |
| &nbsp;&nbsp;&nbsp;1.50%, 09/01/35 | 919 | 805688 |
| &nbsp;&nbsp;&nbsp;1.50%, 11/01/35 | 2303 | 2016838 |
| &nbsp;&nbsp;&nbsp;1.50%, 12/01/35 | 7480 | 6552743 |
| &nbsp;&nbsp;&nbsp;1.50%, 01/01/36 | 5015 | 4384634 |
| &nbsp;&nbsp;&nbsp;1.50%, 02/01/36 | 151 | 132238 |
| &nbsp;&nbsp;&nbsp;1.50%, 03/01/36 | 15636 | 13681155 |
| &nbsp;&nbsp;&nbsp;1.50%, 06/01/36 | 1534 | 1342140 |
| &nbsp;&nbsp;&nbsp;1.50%, 07/01/36 | 1079 | 944980 |
| &nbsp;&nbsp;&nbsp;1.50%, 08/01/36 | 2401 | 2104254 |
| &nbsp;&nbsp;&nbsp;1.50%, 09/01/36 | 9016 | 7890324 |
| &nbsp;&nbsp;&nbsp;1.50%, 10/01/36 | 23010 | 20159485 |
| &nbsp;&nbsp;&nbsp;1.50%, 11/01/36 | 16993 | 14888094 |
| &nbsp;&nbsp;&nbsp;1.50%, 12/01/36 | 3102 | 2718754 |
| &nbsp;&nbsp;&nbsp;1.50%, 01/01/37 | 6252 | 5470236 |
| &nbsp;&nbsp;&nbsp;1.50%, 02/01/37 | 121496 | 106305737 |
| &nbsp;&nbsp;&nbsp;1.50%, 03/01/37 | 130842 | 114390484 |
| &nbsp;&nbsp;&nbsp;1.50%, 04/01/37 | 22440 | 19619482 |
| &nbsp;&nbsp;&nbsp;1.50%, 08/01/37 | 6557 | 5737310 |
| &nbsp;&nbsp;&nbsp;1.50%, 11/01/50 | 57854 | 44983196 |
| &nbsp;&nbsp;&nbsp;1.50%, 12/01/50 | 1738 | 1358021 |
| &nbsp;&nbsp;&nbsp;1.50%, 01/01/51 | 26435 | 20553979 |
| &nbsp;&nbsp;&nbsp;1.50%, 02/01/51 | 1546 | 1202644 |
| &nbsp;&nbsp;&nbsp;1.50%, 05/01/51 | 86576 | 67376428 |
| &nbsp;&nbsp;&nbsp;1.50%, 07/01/51 | 72217 | 56198689 |
| &nbsp;&nbsp;&nbsp;1.50%, 10/01/51 | 4847 | 3769575 |
| &nbsp;&nbsp;&nbsp;1.50%, 11/01/51 | 101910 | 79247231 |
| &nbsp;&nbsp;&nbsp;&nbsp;1.50%, 12/13/52<sup>(c)</sup> | 20775 | 16182589 |
| &nbsp;&nbsp;&nbsp;2.00%, 05/01/26 | 255 | 243973 |
| &nbsp;&nbsp;&nbsp;2.00%, 08/01/28 | 185 | 175095 |
| &nbsp;&nbsp;&nbsp;2.00%, 11/01/28 | 37 | 34535 |
| &nbsp;&nbsp;&nbsp;2.00%, 01/01/29 | 6 | 5864 |
| &nbsp;&nbsp;&nbsp;2.00%, 05/01/29 | 274 | 259139 |
| &nbsp;&nbsp;&nbsp;2.00%, 01/01/30 | 34 | 31948 |
| &nbsp;&nbsp;&nbsp;2.00%, 04/01/30 | 59 | 55061 |
| &nbsp;&nbsp;&nbsp;2.00%, 08/01/30 | 54 | 50604 |
| &nbsp;&nbsp;&nbsp;2.00%, 11/01/31 | 341 | 315132 |
| &nbsp;&nbsp;&nbsp;2.00%, 01/01/32 | 145 | 133824 |
| &nbsp;&nbsp;&nbsp;2.00%, 02/01/32 | 35 | 32706 |
| &nbsp;&nbsp;&nbsp;2.00%, 03/01/32 | 290 | 267779 |
| &nbsp;&nbsp;&nbsp;2.00%, 04/01/32 | 109 | 100164 |
| &nbsp;&nbsp;&nbsp;2.00%, 07/01/32 | 21 | 18984 |
| &nbsp;&nbsp;&nbsp;2.00%, 11/01/32 | 8 | 7702 |
| &nbsp;&nbsp;&nbsp;2.00%, 06/01/35 | 2875 | 2586279 |
| &nbsp;&nbsp;&nbsp;2.00%, 08/01/35 | 20919 | 18818573 |
| &nbsp;&nbsp;&nbsp;2.00%, 09/01/35 | 12372 | 11129861 |
| &nbsp;&nbsp;&nbsp;2.00%, 10/01/35 | 42884 | 38563975 |
| &nbsp;&nbsp;&nbsp;2.00%, 11/01/35 | 61239 | 55064173 |
| &nbsp;&nbsp;&nbsp;2.00%, 12/01/35 | 116313 | 104642819 |
| &nbsp;&nbsp;&nbsp;2.00%, 01/01/36 | 44069 | 39651542 |
| &nbsp;&nbsp;&nbsp;2.00%, 02/01/36 | 238260 | 214387425 |

---

---

| | | |
|:---|:---|:---|
| *Security* | *Par<br> (000)* | *Value* |
| **Mortgage-Backed Securities (continued)** |  |  |
| &nbsp;&nbsp;&nbsp;2.00%, 03/01/36 | $99410 | $89371350 |
| &nbsp;&nbsp;&nbsp;2.00%, 04/01/36 | 8161 | 7339979 |
| &nbsp;&nbsp;&nbsp;2.00%, 05/01/36 | 99252 | 89207302 |
| &nbsp;&nbsp;&nbsp;2.00%, 06/01/36 | 65386 | 58739672 |
| &nbsp;&nbsp;&nbsp;2.00%, 07/01/36 | 8941 | 8038999 |
| &nbsp;&nbsp;&nbsp;2.00%, 08/01/36 | 18306 | 16445795 |
| &nbsp;&nbsp;&nbsp;2.00%, 10/01/36 | 3089 | 2776264 |
| &nbsp;&nbsp;&nbsp;2.00%, 11/01/36 | 56402 | 50682900 |
| &nbsp;&nbsp;&nbsp;2.00%, 12/01/36 | 79383 | 71332541 |
| &nbsp;&nbsp;&nbsp;2.00%, 01/01/37 | 131762 | 118412988 |
| &nbsp;&nbsp;&nbsp;2.00%, 02/01/37 | 39884 | 35829800 |
| &nbsp;&nbsp;&nbsp;2.00%, 04/01/37 | 101373 | 90971980 |
| &nbsp;&nbsp;&nbsp;2.00%, 05/01/37 | 38077 | 34169867 |
| &nbsp;&nbsp;&nbsp;2.00%, 06/01/37 | 77468 | 69521322 |
| &nbsp;&nbsp;&nbsp;2.00%, 07/01/50 | 59777 | 49433710 |
| &nbsp;&nbsp;&nbsp;2.00%, 09/01/50 | 33713 | 27882890 |
| &nbsp;&nbsp;&nbsp;2.00%, 10/01/50 | 191883 | 158721345 |
| &nbsp;&nbsp;&nbsp;2.00%, 11/01/50 | 44683 | 36974267 |
| &nbsp;&nbsp;&nbsp;2.00%, 12/01/50 | 149727 | 123809447 |
| &nbsp;&nbsp;&nbsp;2.00%, 01/01/51 | 55216 | 45640417 |
| &nbsp;&nbsp;&nbsp;2.00%, 02/01/51 | 470307 | 388054674 |
| &nbsp;&nbsp;&nbsp;2.00%, 03/01/51 | 403847 | 333302117 |
| &nbsp;&nbsp;&nbsp;2.00%, 04/01/51 | 482864 | 398060173 |
| &nbsp;&nbsp;&nbsp;2.00%, 05/01/51 | 623289 | 513760064 |
| &nbsp;&nbsp;&nbsp;2.00%, 06/01/51 | 230440 | 189896565 |
| &nbsp;&nbsp;&nbsp;2.00%, 07/01/51 | 218517 | 180314904 |
| &nbsp;&nbsp;&nbsp;2.00%, 08/01/51 | 821 | 677309 |
| &nbsp;&nbsp;&nbsp;2.00%, 09/01/51 | 75321 | 62081453 |
| &nbsp;&nbsp;&nbsp;2.00%, 10/01/51 | 381250 | 314391348 |
| &nbsp;&nbsp;&nbsp;2.00%, 11/01/51 | 440914 | 363377158 |
| &nbsp;&nbsp;&nbsp;2.00%, 12/01/51 | 542320 | 446882895 |
| &nbsp;&nbsp;&nbsp;2.00%, 01/01/52 | 142336 | 117262409 |
| &nbsp;&nbsp;&nbsp;2.00%, 02/01/52 | 455966 | 374958972 |
| &nbsp;&nbsp;&nbsp;2.00%, 03/01/52 | 171113 | 140611867 |
| &nbsp;&nbsp;&nbsp;2.00%, 04/01/52 | 5144 | 4227450 |
| &nbsp;&nbsp;&nbsp;&nbsp;2.00%, 12/13/52<sup>(c)</sup> | 24070 | 19824684 |
| &nbsp;&nbsp;&nbsp;2.50%, 05/01/23 | 17 | 17171 |
| &nbsp;&nbsp;&nbsp;2.50%, 03/01/25 | 112 | 109091 |
| &nbsp;&nbsp;&nbsp;2.50%, 11/01/26 | 9 | 8702 |
| &nbsp;&nbsp;&nbsp;2.50%, 03/01/27 | 404 | 387365 |
| &nbsp;&nbsp;&nbsp;2.50%, 05/01/27 | 2133 | 2047034 |
| &nbsp;&nbsp;&nbsp;2.50%, 07/01/27 | 25 | 23945 |
| &nbsp;&nbsp;&nbsp;2.50%, 09/01/27 | 621 | 591965 |
| &nbsp;&nbsp;&nbsp;2.50%, 10/01/27 | 2142 | 2055110 |
| &nbsp;&nbsp;&nbsp;2.50%, 11/01/27 | 972 | 932923 |
| &nbsp;&nbsp;&nbsp;2.50%, 12/01/27 | 385 | 369894 |
| &nbsp;&nbsp;&nbsp;2.50%, 01/01/28 | 3145 | 3017950 |
| &nbsp;&nbsp;&nbsp;2.50%, 02/01/28 | 1256 | 1204405 |
| &nbsp;&nbsp;&nbsp;2.50%, 03/01/28 | 2895 | 2776599 |
| &nbsp;&nbsp;&nbsp;2.50%, 04/01/28 | 2217 | 2125881 |
| &nbsp;&nbsp;&nbsp;2.50%, 05/01/28 | 823 | 789819 |
| &nbsp;&nbsp;&nbsp;2.50%, 06/01/28 | 1725 | 1654351 |
| &nbsp;&nbsp;&nbsp;2.50%, 07/01/28 | 481 | 460365 |
| &nbsp;&nbsp;&nbsp;2.50%, 08/01/28 | 495 | 475889 |
| &nbsp;&nbsp;&nbsp;2.50%, 09/01/28 | 2845 | 2728559 |
| &nbsp;&nbsp;&nbsp;2.50%, 10/01/28 | 281 | 269718 |
| &nbsp;&nbsp;&nbsp;2.50%, 12/01/28 | 117 | 112381 |
| &nbsp;&nbsp;&nbsp;2.50%, 05/01/29 | 16 | 14989 |
| &nbsp;&nbsp;&nbsp;2.50%, 06/01/29 | 308 | 292483 |
| &nbsp;&nbsp;&nbsp;2.50%, 09/01/29 | 223 | 211420 |

---

---

| | |
|:---|:---|
| Schedule of Investments (unaudited) (continued) | **iShares<sup>®</sup> MBS ETF** |
| November 30, 2022 | **(Percentages shown are based on Net Assets)** |

---

---

| | | |
|:---|:---|:---|
| *Security* | *Par<br> (000)* | *Value* |
| **Mortgage-Backed Securities (continued)** |  |  |
| &nbsp;&nbsp;&nbsp;2.50%, 11/01/29 | $15 | $13829 |
| &nbsp;&nbsp;&nbsp;2.50%, 12/01/29 | 1126 | 1076895 |
| &nbsp;&nbsp;&nbsp;2.50%, 01/01/30 | 2137 | 2032275 |
| &nbsp;&nbsp;&nbsp;2.50%, 02/01/30 | 3455 | 3284612 |
| &nbsp;&nbsp;&nbsp;2.50%, 03/01/30 | 8 | 7326 |
| &nbsp;&nbsp;&nbsp;2.50%, 04/01/30 | 1474 | 1396182 |
| &nbsp;&nbsp;&nbsp;2.50%, 05/01/30 | 14167 | 13423640 |
| &nbsp;&nbsp;&nbsp;2.50%, 06/01/30 | 29518 | 27971579 |
| &nbsp;&nbsp;&nbsp;2.50%, 07/01/30 | 10412 | 9865615 |
| &nbsp;&nbsp;&nbsp;2.50%, 08/01/30 | 5440 | 5190996 |
| &nbsp;&nbsp;&nbsp;2.50%, 09/01/30 | 1151 | 1091405 |
| &nbsp;&nbsp;&nbsp;2.50%, 10/01/30 | 1876 | 1776287 |
| &nbsp;&nbsp;&nbsp;2.50%, 11/01/30 | 422 | 400167 |
| &nbsp;&nbsp;&nbsp;2.50%, 12/01/30 | 909 | 860443 |
| &nbsp;&nbsp;&nbsp;2.50%, 01/01/31 | 47 | 44758 |
| &nbsp;&nbsp;&nbsp;2.50%, 02/01/31 | 1015 | 965317 |
| &nbsp;&nbsp;&nbsp;2.50%, 03/01/31 | 2763 | 2634444 |
| &nbsp;&nbsp;&nbsp;2.50%, 04/01/31 | 2874 | 2705559 |
| &nbsp;&nbsp;&nbsp;2.50%, 05/01/31 | 3237 | 3048174 |
| &nbsp;&nbsp;&nbsp;2.50%, 06/01/31 | 831 | 782526 |
| &nbsp;&nbsp;&nbsp;2.50%, 07/01/31 | 2488 | 2342462 |
| &nbsp;&nbsp;&nbsp;2.50%, 08/01/31 | 1839 | 1728258 |
| &nbsp;&nbsp;&nbsp;2.50%, 09/01/31 | 2453 | 2309207 |
| &nbsp;&nbsp;&nbsp;2.50%, 10/01/31 | 12340 | 11714608 |
| &nbsp;&nbsp;&nbsp;2.50%, 11/01/31 | 9239 | 8700607 |
| &nbsp;&nbsp;&nbsp;2.50%, 12/01/31 | 4292 | 4042043 |
| &nbsp;&nbsp;&nbsp;2.50%, 01/01/32 | 12325 | 11603556 |
| &nbsp;&nbsp;&nbsp;2.50%, 02/01/32 | 9154 | 8619335 |
| &nbsp;&nbsp;&nbsp;2.50%, 03/01/32 | 6105 | 5747172 |
| &nbsp;&nbsp;&nbsp;2.50%, 04/01/32 | 12472 | 11742469 |
| &nbsp;&nbsp;&nbsp;2.50%, 05/01/32 | 15211 | 14320044 |
| &nbsp;&nbsp;&nbsp;2.50%, 06/01/32 | 1528 | 1438892 |
| &nbsp;&nbsp;&nbsp;2.50%, 07/01/32 | 10820 | 10186632 |
| &nbsp;&nbsp;&nbsp;2.50%, 08/01/32 | 13 | 12477 |
| &nbsp;&nbsp;&nbsp;2.50%, 09/01/32 | 994 | 934358 |
| &nbsp;&nbsp;&nbsp;2.50%, 10/01/32 | 2598 | 2444077 |
| &nbsp;&nbsp;&nbsp;2.50%, 11/01/32 | 1728 | 1625120 |
| &nbsp;&nbsp;&nbsp;2.50%, 12/01/32 | 3099 | 2915311 |
| &nbsp;&nbsp;&nbsp;2.50%, 01/01/33 | 23493 | 22240997 |
| &nbsp;&nbsp;&nbsp;2.50%, 02/01/33 | 1337 | 1266929 |
| &nbsp;&nbsp;&nbsp;2.50%, 04/01/33 | 543 | 507428 |
| &nbsp;&nbsp;&nbsp;2.50%, 06/01/34 | 482 | 447036 |
| &nbsp;&nbsp;&nbsp;2.50%, 07/01/34 | 112 | 103838 |
| &nbsp;&nbsp;&nbsp;2.50%, 08/01/34 | 217 | 200828 |
| &nbsp;&nbsp;&nbsp;2.50%, 09/01/34 | 4355 | 4038124 |
| &nbsp;&nbsp;&nbsp;2.50%, 10/01/34 | 8492 | 7873782 |
| &nbsp;&nbsp;&nbsp;2.50%, 11/01/34 | 15535 | 14401414 |
| &nbsp;&nbsp;&nbsp;2.50%, 12/01/34 | 4912 | 4554162 |
| &nbsp;&nbsp;&nbsp;2.50%, 01/01/35 | 10227 | 9479875 |
| &nbsp;&nbsp;&nbsp;2.50%, 02/01/35 | 14426 | 13556317 |
| &nbsp;&nbsp;&nbsp;2.50%, 03/01/35 | 21401 | 19803819 |
| &nbsp;&nbsp;&nbsp;2.50%, 04/01/35 | 1970 | 1823663 |
| &nbsp;&nbsp;&nbsp;2.50%, 05/01/35 | 2454 | 2270648 |
| &nbsp;&nbsp;&nbsp;2.50%, 06/01/35 | 11082 | 10258288 |
| &nbsp;&nbsp;&nbsp;2.50%, 07/01/35 | 39505 | 36563326 |
| &nbsp;&nbsp;&nbsp;2.50%, 08/01/35 | 30570 | 28296940 |
| &nbsp;&nbsp;&nbsp;2.50%, 09/01/35 | 24453 | 22627811 |
| &nbsp;&nbsp;&nbsp;2.50%, 10/01/35 | 26902 | 24899390 |
| &nbsp;&nbsp;&nbsp;2.50%, 11/01/35 | 7171 | 6635197 |
| &nbsp;&nbsp;&nbsp;2.50%, 12/01/35 | 4175 | 3863915 |

---

---

| | | |
|:---|:---|:---|
| *Security* | *Par<br> (000)* | *Value* |
| **Mortgage-Backed Securities (continued)** |  |  |
| &nbsp;&nbsp;&nbsp;2.50%, 01/01/36 | $2865 | $2652101 |
| &nbsp;&nbsp;&nbsp;2.50%, 02/01/36 | 8111 | 7499161 |
| &nbsp;&nbsp;&nbsp;2.50%, 03/01/36 | 8772 | 8117470 |
| &nbsp;&nbsp;&nbsp;2.50%, 04/01/36 | 3840 | 3550427 |
| &nbsp;&nbsp;&nbsp;2.50%, 05/01/36 | 85 | 78984 |
| &nbsp;&nbsp;&nbsp;2.50%, 06/01/36 | 4281 | 3957981 |
| &nbsp;&nbsp;&nbsp;2.50%, 07/01/36 | 2663 | 2461390 |
| &nbsp;&nbsp;&nbsp;2.50%, 08/01/36 | 11891 | 10993499 |
| &nbsp;&nbsp;&nbsp;2.50%, 11/01/36 | 4268 | 3945963 |
| &nbsp;&nbsp;&nbsp;2.50%, 02/01/37 | 1012 | 935176 |
| &nbsp;&nbsp;&nbsp;2.50%, 03/01/37 | 1121 | 1034733 |
| &nbsp;&nbsp;&nbsp;2.50%, 04/01/37 | 37601 | 34729419 |
| &nbsp;&nbsp;&nbsp;2.50%, 05/01/37 | 10670 | 9845568 |
| &nbsp;&nbsp;&nbsp;2.50%, 06/01/37 | 8271 | 7631584 |
| &nbsp;&nbsp;&nbsp;2.50%, 07/01/37 | 6190 | 5711399 |
| &nbsp;&nbsp;&nbsp;2.50%, 08/01/37 | 11490 | 10601747 |
| &nbsp;&nbsp;&nbsp;2.50%, 10/01/42 | 394 | 348653 |
| &nbsp;&nbsp;&nbsp;2.50%, 11/01/42 | 221 | 195498 |
| &nbsp;&nbsp;&nbsp;2.50%, 12/01/42 | 32 | 28347 |
| &nbsp;&nbsp;&nbsp;2.50%, 01/01/43 | 882 | 781435 |
| &nbsp;&nbsp;&nbsp;2.50%, 02/01/43 | 2204 | 1951779 |
| &nbsp;&nbsp;&nbsp;2.50%, 03/01/43 | 979 | 867539 |
| &nbsp;&nbsp;&nbsp;2.50%, 04/01/43 | 4757 | 4213113 |
| &nbsp;&nbsp;&nbsp;2.50%, 05/01/43 | 471 | 417410 |
| &nbsp;&nbsp;&nbsp;2.50%, 06/01/43 | 2745 | 2431088 |
| &nbsp;&nbsp;&nbsp;2.50%, 07/01/43 | 337 | 298400 |
| &nbsp;&nbsp;&nbsp;2.50%, 08/01/43 | 340 | 301064 |
| &nbsp;&nbsp;&nbsp;2.50%, 04/01/45 | 224 | 196006 |
| &nbsp;&nbsp;&nbsp;2.50%, 05/01/45 | 266 | 232859 |
| &nbsp;&nbsp;&nbsp;2.50%, 07/01/45 | 43 | 37501 |
| &nbsp;&nbsp;&nbsp;2.50%, 03/01/46 | 2134 | 1865002 |
| &nbsp;&nbsp;&nbsp;2.50%, 05/01/46 | 104 | 91866 |
| &nbsp;&nbsp;&nbsp;2.50%, 06/01/46 | 330 | 288194 |
| &nbsp;&nbsp;&nbsp;2.50%, 07/01/46 | 160 | 139858 |
| &nbsp;&nbsp;&nbsp;2.50%, 08/01/46 | 466 | 407342 |
| &nbsp;&nbsp;&nbsp;2.50%, 09/01/46 | 226 | 197775 |
| &nbsp;&nbsp;&nbsp;2.50%, 10/01/46 | 155 | 135223 |
| &nbsp;&nbsp;&nbsp;2.50%, 11/01/46 | 7 | 5689 |
| &nbsp;&nbsp;&nbsp;2.50%, 12/01/46 | 286 | 249843 |
| &nbsp;&nbsp;&nbsp;2.50%, 01/01/47 | 45 | 38931 |
| &nbsp;&nbsp;&nbsp;2.50%, 02/01/47 | 1981 | 1731786 |
| &nbsp;&nbsp;&nbsp;2.50%, 04/01/47 | 3563 | 3114369 |
| &nbsp;&nbsp;&nbsp;2.50%, 12/01/47 | 1638 | 1445634 |
| &nbsp;&nbsp;&nbsp;2.50%, 07/01/49 | 6570 | 5741742 |
| &nbsp;&nbsp;&nbsp;2.50%, 09/01/49 | 139 | 119687 |
| &nbsp;&nbsp;&nbsp;2.50%, 10/01/49 | 32 | 27544 |
| &nbsp;&nbsp;&nbsp;2.50%, 03/01/50 | 33861 | 29202927 |
| &nbsp;&nbsp;&nbsp;2.50%, 04/01/50 | 2732 | 2373878 |
| &nbsp;&nbsp;&nbsp;2.50%, 05/01/50 | 14401 | 12475230 |
| &nbsp;&nbsp;&nbsp;2.50%, 06/01/50 | 48308 | 41516612 |
| &nbsp;&nbsp;&nbsp;2.50%, 07/01/50 | 59694 | 51565308 |
| &nbsp;&nbsp;&nbsp;2.50%, 08/01/50 | 62892 | 54296474 |
| &nbsp;&nbsp;&nbsp;2.50%, 09/01/50 | 250783 | 216258163 |
| &nbsp;&nbsp;&nbsp;2.50%, 10/01/50 | 281541 | 242435200 |
| &nbsp;&nbsp;&nbsp;2.50%, 11/01/50 | 484013 | 416104400 |
| &nbsp;&nbsp;&nbsp;2.50%, 12/01/50 | 119649 | 102751761 |
| &nbsp;&nbsp;&nbsp;2.50%, 01/01/51 | 103661 | 88933131 |
| &nbsp;&nbsp;&nbsp;2.50%, 02/01/51 | 64095 | 55060147 |
| &nbsp;&nbsp;&nbsp;2.50%, 03/01/51 | 58968 | 50354714 |
| &nbsp;&nbsp;&nbsp;2.50%, 04/01/51 | 34913 | 29933870 |

---

---

| | |
|:---|:---|
| Schedule of Investments (unaudited) (continued) | **iShares<sup>®</sup> MBS ETF** |
| November 30, 2022 | **(Percentages shown are based on Net Assets)** |

---

---

| | | |
|:---|:---|:---|
| *Security* | *Par<br> (000)* | *Value* |
| **Mortgage-Backed Securities (continued)** |  |  |
| &nbsp;&nbsp;&nbsp;2.50%, 05/01/51 | $49995 | $42819668 |
| &nbsp;&nbsp;&nbsp;2.50%, 06/01/51 | 2745 | 2357464 |
| &nbsp;&nbsp;&nbsp;2.50%, 07/01/51 | 201625 | 173078834 |
| &nbsp;&nbsp;&nbsp;2.50%, 08/01/51 | 192445 | 165189454 |
| &nbsp;&nbsp;&nbsp;2.50%, 09/01/51 | 179047 | 153506686 |
| &nbsp;&nbsp;&nbsp;2.50%, 10/01/51 | 213340 | 182754827 |
| &nbsp;&nbsp;&nbsp;2.50%, 11/01/51 | 92045 | 78951214 |
| &nbsp;&nbsp;&nbsp;2.50%, 12/01/51 | 233729 | 200096072 |
| &nbsp;&nbsp;&nbsp;2.50%, 01/01/52 | 314382 | 269074806 |
| &nbsp;&nbsp;&nbsp;2.50%, 02/01/52 | 56128 | 48029403 |
| &nbsp;&nbsp;&nbsp;2.50%, 03/01/52 | 109868 | 93899586 |
| &nbsp;&nbsp;&nbsp;2.50%, 04/01/52 | 177484 | 151664202 |
| &nbsp;&nbsp;&nbsp;2.50%, 05/01/52 | 8448 | 7227171 |
| &nbsp;&nbsp;&nbsp;2.50%, 07/01/52 | 49058 | 41892825 |
| &nbsp;&nbsp;&nbsp;2.50%, 08/01/52 | 106120 | 90603207 |
| &nbsp;&nbsp;&nbsp;&nbsp;2.50%, 12/13/52<sup>(c)</sup> | 295890 | 253101534 |
| &nbsp;&nbsp;&nbsp;3.00%, 12/01/22 | 0 <sup>(b)</sup> | 34 |
| &nbsp;&nbsp;&nbsp;3.00%, 11/01/25 | 13 | 12309 |
| &nbsp;&nbsp;&nbsp;3.00%, 12/01/25 | 16 | 15447 |
| &nbsp;&nbsp;&nbsp;3.00%, 01/01/26 | 221 | 214474 |
| &nbsp;&nbsp;&nbsp;3.00%, 02/01/26 | 265 | 257270 |
| &nbsp;&nbsp;&nbsp;3.00%, 07/01/26 | 3 | 3252 |
| &nbsp;&nbsp;&nbsp;3.00%, 09/01/26 | 33 | 31794 |
| &nbsp;&nbsp;&nbsp;3.00%, 10/01/26 | 8 | 7460 |
| &nbsp;&nbsp;&nbsp;3.00%, 11/01/26 | 928 | 895456 |
| &nbsp;&nbsp;&nbsp;3.00%, 12/01/26 | 1690 | 1630793 |
| &nbsp;&nbsp;&nbsp;3.00%, 01/01/27 | 1479 | 1426370 |
| &nbsp;&nbsp;&nbsp;3.00%, 02/01/27 | 40 | 38439 |
| &nbsp;&nbsp;&nbsp;3.00%, 03/01/27 | 136 | 133323 |
| &nbsp;&nbsp;&nbsp;3.00%, 04/01/27 | 57 | 55965 |
| &nbsp;&nbsp;&nbsp;3.00%, 05/01/27 | 156 | 151476 |
| &nbsp;&nbsp;&nbsp;3.00%, 06/01/27 | 691 | 669507 |
| &nbsp;&nbsp;&nbsp;3.00%, 07/01/27 | 1359 | 1317598 |
| &nbsp;&nbsp;&nbsp;3.00%, 08/01/27 | 2383 | 2310886 |
| &nbsp;&nbsp;&nbsp;3.00%, 09/01/27 | 3 | 2527 |
| &nbsp;&nbsp;&nbsp;3.00%, 10/01/27 | 373 | 360290 |
| &nbsp;&nbsp;&nbsp;3.00%, 11/01/27 | 3454 | 3350594 |
| &nbsp;&nbsp;&nbsp;3.00%, 01/01/28 | 1066 | 1034309 |
| &nbsp;&nbsp;&nbsp;3.00%, 03/01/28 | 220 | 213358 |
| &nbsp;&nbsp;&nbsp;3.00%, 04/01/28 | 477 | 462352 |
| &nbsp;&nbsp;&nbsp;3.00%, 05/01/28 | 439 | 425466 |
| &nbsp;&nbsp;&nbsp;3.00%, 08/01/28 | 1659 | 1608650 |
| &nbsp;&nbsp;&nbsp;3.00%, 09/01/28 | 251 | 243131 |
| &nbsp;&nbsp;&nbsp;3.00%, 11/01/28 | 2230 | 2147099 |
| &nbsp;&nbsp;&nbsp;3.00%, 12/01/28 | 604 | 585246 |
| &nbsp;&nbsp;&nbsp;3.00%, 01/01/29 | 739 | 703609 |
| &nbsp;&nbsp;&nbsp;3.00%, 02/01/29 | 385 | 369924 |
| &nbsp;&nbsp;&nbsp;3.00%, 03/01/29 | 448 | 430727 |
| &nbsp;&nbsp;&nbsp;3.00%, 04/01/29 | 4154 | 3998186 |
| &nbsp;&nbsp;&nbsp;3.00%, 05/01/29 | 1553 | 1503476 |
| &nbsp;&nbsp;&nbsp;3.00%, 06/01/29 | 637 | 611069 |
| &nbsp;&nbsp;&nbsp;3.00%, 07/01/29 | 698 | 670666 |
| &nbsp;&nbsp;&nbsp;3.00%, 08/01/29 | 1147 | 1102032 |
| &nbsp;&nbsp;&nbsp;3.00%, 09/01/29 | 361 | 346221 |
| &nbsp;&nbsp;&nbsp;3.00%, 10/01/29 | 2863 | 2750373 |
| &nbsp;&nbsp;&nbsp;3.00%, 11/01/29 | 4029 | 3870964 |
| &nbsp;&nbsp;&nbsp;3.00%, 12/01/29 | 281 | 269902 |
| &nbsp;&nbsp;&nbsp;3.00%, 01/01/30 | 486 | 466841 |
| &nbsp;&nbsp;&nbsp;3.00%, 02/01/30 | 2234 | 2145914 |
| &nbsp;&nbsp;&nbsp;3.00%, 03/01/30 | 27213 | 26182936 |

---

---

| | | |
|:---|:---|:---|
| *Security* | *Par<br> (000)* | *Value* |
| **Mortgage-Backed Securities (continued)** |  |  |
| &nbsp;&nbsp;&nbsp;3.00%, 04/01/30 | $6786 | $6495928 |
| &nbsp;&nbsp;&nbsp;3.00%, 05/01/30 | 4173 | 3996767 |
| &nbsp;&nbsp;&nbsp;3.00%, 06/01/30 | 1830 | 1754675 |
| &nbsp;&nbsp;&nbsp;3.00%, 07/01/30 | 4783 | 4586281 |
| &nbsp;&nbsp;&nbsp;3.00%, 08/01/30 | 510 | 488130 |
| &nbsp;&nbsp;&nbsp;3.00%, 09/01/30 | 2299 | 2200894 |
| &nbsp;&nbsp;&nbsp;3.00%, 10/01/30 | 2595 | 2489682 |
| &nbsp;&nbsp;&nbsp;3.00%, 11/01/30 | 1391 | 1331342 |
| &nbsp;&nbsp;&nbsp;3.00%, 01/01/31 | 4261 | 4079579 |
| &nbsp;&nbsp;&nbsp;3.00%, 02/01/31 | 5365 | 5134383 |
| &nbsp;&nbsp;&nbsp;3.00%, 03/01/31 | 9586 | 9137058 |
| &nbsp;&nbsp;&nbsp;3.00%, 04/01/31 | 1232 | 1170556 |
| &nbsp;&nbsp;&nbsp;3.00%, 05/01/31 | 9224 | 8812592 |
| &nbsp;&nbsp;&nbsp;3.00%, 06/01/31 | 5629 | 5375173 |
| &nbsp;&nbsp;&nbsp;3.00%, 07/01/31 | 668 | 636992 |
| &nbsp;&nbsp;&nbsp;3.00%, 08/01/31 | 136 | 129273 |
| &nbsp;&nbsp;&nbsp;3.00%, 09/01/31 | 6782 | 6477728 |
| &nbsp;&nbsp;&nbsp;3.00%, 11/01/31 | 678 | 646045 |
| &nbsp;&nbsp;&nbsp;3.00%, 12/01/31 | 3112 | 2985933 |
| &nbsp;&nbsp;&nbsp;3.00%, 01/01/32 | 6523 | 6217450 |
| &nbsp;&nbsp;&nbsp;3.00%, 02/01/32 | 10663 | 10163059 |
| &nbsp;&nbsp;&nbsp;3.00%, 03/01/32 | 3535 | 3367514 |
| &nbsp;&nbsp;&nbsp;3.00%, 04/01/32 | 3754 | 3587772 |
| &nbsp;&nbsp;&nbsp;3.00%, 05/01/32 | 1233 | 1175372 |
| &nbsp;&nbsp;&nbsp;3.00%, 06/01/32 | 6374 | 6091684 |
| &nbsp;&nbsp;&nbsp;3.00%, 07/01/32 | 767 | 730659 |
| &nbsp;&nbsp;&nbsp;3.00%, 08/01/32 | 3081 | 2932829 |
| &nbsp;&nbsp;&nbsp;3.00%, 09/01/32 | 9425 | 9023485 |
| &nbsp;&nbsp;&nbsp;3.00%, 10/01/32 | 893 | 848984 |
| &nbsp;&nbsp;&nbsp;3.00%, 11/01/32 | 3721 | 3543192 |
| &nbsp;&nbsp;&nbsp;3.00%, 12/01/32 | 15818 | 15073335 |
| &nbsp;&nbsp;&nbsp;3.00%, 01/01/33 | 1841 | 1752206 |
| &nbsp;&nbsp;&nbsp;3.00%, 02/01/33 | 3242 | 3087177 |
| &nbsp;&nbsp;&nbsp;3.00%, 03/01/33 | 1343 | 1276701 |
| &nbsp;&nbsp;&nbsp;3.00%, 04/01/33 | 532 | 508486 |
| &nbsp;&nbsp;&nbsp;3.00%, 05/01/33 | 2400 | 2280236 |
| &nbsp;&nbsp;&nbsp;3.00%, 06/01/33 | 573 | 546012 |
| &nbsp;&nbsp;&nbsp;3.00%, 07/01/33 | 27 | 26092 |
| &nbsp;&nbsp;&nbsp;3.00%, 09/01/33 | 2049 | 1951483 |
| &nbsp;&nbsp;&nbsp;3.00%, 10/01/33 | 6328 | 6019466 |
| &nbsp;&nbsp;&nbsp;3.00%, 11/01/33 | 124 | 118025 |
| &nbsp;&nbsp;&nbsp;3.00%, 02/01/34 | 5324 | 5074538 |
| &nbsp;&nbsp;&nbsp;3.00%, 05/01/34 | 940 | 889723 |
| &nbsp;&nbsp;&nbsp;3.00%, 06/01/34 | 3515 | 3327203 |
| &nbsp;&nbsp;&nbsp;3.00%, 07/01/34 | 7282 | 6903670 |
| &nbsp;&nbsp;&nbsp;3.00%, 08/01/34 | 2742 | 2595057 |
| &nbsp;&nbsp;&nbsp;3.00%, 09/01/34 | 14296 | 13517817 |
| &nbsp;&nbsp;&nbsp;3.00%, 10/01/34 | 3022 | 2861231 |
| &nbsp;&nbsp;&nbsp;3.00%, 11/01/34 | 6441 | 6096923 |
| &nbsp;&nbsp;&nbsp;3.00%, 12/01/34 | 1571 | 1487079 |
| &nbsp;&nbsp;&nbsp;3.00%, 01/01/35 | 4490 | 4232883 |
| &nbsp;&nbsp;&nbsp;3.00%, 02/01/35 | 11267 | 10661545 |
| &nbsp;&nbsp;&nbsp;3.00%, 03/01/35 | 15657 | 14794901 |
| &nbsp;&nbsp;&nbsp;3.00%, 04/01/35 | 8538 | 8081520 |
| &nbsp;&nbsp;&nbsp;3.00%, 05/01/35 | 2164 | 2048131 |
| &nbsp;&nbsp;&nbsp;3.00%, 06/01/35 | 4282 | 4050774 |
| &nbsp;&nbsp;&nbsp;3.00%, 07/01/35 | 12427 | 11748797 |
| &nbsp;&nbsp;&nbsp;3.00%, 08/01/35 | 918 | 863505 |
| &nbsp;&nbsp;&nbsp;3.00%, 09/01/35 | 591 | 558723 |
| &nbsp;&nbsp;&nbsp;3.00%, 10/01/35 | 5766 | 5455282 |

---

---

| | |
|:---|:---|
| Schedule of Investments (unaudited) (continued) | **iShares<sup>®</sup> MBS ETF** |
| November 30, 2022 | **(Percentages shown are based on Net Assets)** |

---

---

| | | |
|:---|:---|:---|
| *Security* | *Par<br> (000)* | *Value* |
| **Mortgage-Backed Securities (continued)** |  |  |
| &nbsp;&nbsp;&nbsp;3.00%, 12/01/35 | $14956 | $14191080 |
| &nbsp;&nbsp;&nbsp;3.00%, 01/01/36 | 56 | 52528 |
| &nbsp;&nbsp;&nbsp;3.00%, 05/01/36 | 2034 | 1912382 |
| &nbsp;&nbsp;&nbsp;3.00%, 07/01/36 | 943 | 887262 |
| &nbsp;&nbsp;&nbsp;3.00%, 09/01/36 | 4997 | 4697786 |
| &nbsp;&nbsp;&nbsp;3.00%, 12/01/36 | 2524 | 2367812 |
| &nbsp;&nbsp;&nbsp;3.00%, 01/01/37 | 5759 | 5384111 |
| &nbsp;&nbsp;&nbsp;3.00%, 02/01/37 | 6001 | 5610909 |
| &nbsp;&nbsp;&nbsp;3.00%, 06/01/37 | 532 | 499611 |
| &nbsp;&nbsp;&nbsp;3.00%, 07/01/37 | 6580 | 6188091 |
| &nbsp;&nbsp;&nbsp;&nbsp;3.00%, 12/15/37<sup>(c)</sup> | 17125 | 16115475 |
| &nbsp;&nbsp;&nbsp;3.00%, 05/01/41 | 611 | 552067 |
| &nbsp;&nbsp;&nbsp;3.00%, 04/01/42 | 23 | 21264 |
| &nbsp;&nbsp;&nbsp;3.00%, 08/01/42 | 919 | 839590 |
| &nbsp;&nbsp;&nbsp;3.00%, 09/01/42 | 3361 | 3070427 |
| &nbsp;&nbsp;&nbsp;3.00%, 10/01/42 | 4025 | 3676822 |
| &nbsp;&nbsp;&nbsp;3.00%, 11/01/42 | 17902 | 16350640 |
| &nbsp;&nbsp;&nbsp;3.00%, 12/01/42 | 29838 | 27258612 |
| &nbsp;&nbsp;&nbsp;3.00%, 01/01/43 | 14535 | 13277178 |
| &nbsp;&nbsp;&nbsp;3.00%, 02/01/43 | 6998 | 6399840 |
| &nbsp;&nbsp;&nbsp;3.00%, 03/01/43 | 11207 | 10208261 |
| &nbsp;&nbsp;&nbsp;3.00%, 04/01/43 | 12106 | 11070913 |
| &nbsp;&nbsp;&nbsp;3.00%, 05/01/43 | 12248 | 11186555 |
| &nbsp;&nbsp;&nbsp;3.00%, 06/01/43 | 4488 | 4102553 |
| &nbsp;&nbsp;&nbsp;3.00%, 07/01/43 | 3574 | 3262063 |
| &nbsp;&nbsp;&nbsp;3.00%, 08/01/43 | 11495 | 10494472 |
| &nbsp;&nbsp;&nbsp;3.00%, 09/01/43 | 18190 | 16608252 |
| &nbsp;&nbsp;&nbsp;3.00%, 10/01/43 | 595 | 543938 |
| &nbsp;&nbsp;&nbsp;3.00%, 11/01/43 | 54 | 49296 |
| &nbsp;&nbsp;&nbsp;3.00%, 12/01/43 | 625 | 570970 |
| &nbsp;&nbsp;&nbsp;3.00%, 01/01/44 | 13822 | 12618542 |
| &nbsp;&nbsp;&nbsp;3.00%, 02/01/44 | 13510 | 12338731 |
| &nbsp;&nbsp;&nbsp;3.00%, 07/01/44 | 45066 | 41142917 |
| &nbsp;&nbsp;&nbsp;3.00%, 10/01/44 | 32805 | 29949395 |
| &nbsp;&nbsp;&nbsp;3.00%, 11/01/44 | 4241 | 3871978 |
| &nbsp;&nbsp;&nbsp;3.00%, 12/01/44 | 207 | 188936 |
| &nbsp;&nbsp;&nbsp;3.00%, 01/01/45 | 4221 | 3854305 |
| &nbsp;&nbsp;&nbsp;3.00%, 02/01/45 | 3149 | 2865734 |
| &nbsp;&nbsp;&nbsp;3.00%, 03/01/45 | 919 | 833433 |
| &nbsp;&nbsp;&nbsp;3.00%, 04/01/45 | 2632 | 2402507 |
| &nbsp;&nbsp;&nbsp;3.00%, 05/01/45 | 16530 | 15016578 |
| &nbsp;&nbsp;&nbsp;3.00%, 06/01/45 | 26 | 23412 |
| &nbsp;&nbsp;&nbsp;3.00%, 07/01/45 | 5881 | 5389104 |
| &nbsp;&nbsp;&nbsp;3.00%, 08/01/45 | 6954 | 6336875 |
| &nbsp;&nbsp;&nbsp;3.00%, 09/01/45 | 889 | 804661 |
| &nbsp;&nbsp;&nbsp;3.00%, 10/01/45 | 459 | 419182 |
| &nbsp;&nbsp;&nbsp;3.00%, 12/01/45 | 743 | 671676 |
| &nbsp;&nbsp;&nbsp;3.00%, 01/01/46 | 4358 | 3940306 |
| &nbsp;&nbsp;&nbsp;3.00%, 02/01/46 | 1491 | 1348470 |
| &nbsp;&nbsp;&nbsp;3.00%, 03/01/46 | 675 | 610481 |
| &nbsp;&nbsp;&nbsp;3.00%, 04/01/46 | 3162 | 2858909 |
| &nbsp;&nbsp;&nbsp;3.00%, 05/01/46 | 2696 | 2440818 |
| &nbsp;&nbsp;&nbsp;3.00%, 06/01/46 | 3822 | 3460632 |
| &nbsp;&nbsp;&nbsp;3.00%, 07/01/46 | 66960 | 60569380 |
| &nbsp;&nbsp;&nbsp;3.00%, 08/01/46 | 14235 | 12890839 |
| &nbsp;&nbsp;&nbsp;3.00%, 09/01/46 | 15005 | 13601443 |
| &nbsp;&nbsp;&nbsp;3.00%, 10/01/46 | 41001 | 37121434 |
| &nbsp;&nbsp;&nbsp;3.00%, 11/01/46 | 60839 | 55067584 |
| &nbsp;&nbsp;&nbsp;3.00%, 12/01/46 | 106150 | 96025645 |
| &nbsp;&nbsp;&nbsp;3.00%, 01/01/47 | 51786 | 46949823 |

---

---

| | | |
|:---|:---|:---|
| *Security* | *Par<br> (000)* | *Value* |
| **Mortgage-Backed Securities (continued)** |  |  |
| &nbsp;&nbsp;&nbsp;3.00%, 02/01/47 | $69012 | $62799366 |
| &nbsp;&nbsp;&nbsp;3.00%, 03/01/47 | 18893 | 17132975 |
| &nbsp;&nbsp;&nbsp;3.00%, 04/01/47 | 22205 | 20093928 |
| &nbsp;&nbsp;&nbsp;3.00%, 05/01/47 | 915 | 826524 |
| &nbsp;&nbsp;&nbsp;3.00%, 07/01/47 | 16507 | 14917956 |
| &nbsp;&nbsp;&nbsp;3.00%, 08/01/47 | 1111 | 1004060 |
| &nbsp;&nbsp;&nbsp;3.00%, 09/01/47 | 422 | 381009 |
| &nbsp;&nbsp;&nbsp;3.00%, 10/01/47 | 368 | 335943 |
| &nbsp;&nbsp;&nbsp;3.00%, 11/01/47 | 159 | 144006 |
| &nbsp;&nbsp;&nbsp;3.00%, 12/01/47 | 17721 | 16053378 |
| &nbsp;&nbsp;&nbsp;3.00%, 01/01/48 | 3098 | 2800722 |
| &nbsp;&nbsp;&nbsp;3.00%, 03/01/48 | 9605 | 8708194 |
| &nbsp;&nbsp;&nbsp;3.00%, 04/01/48 | 29 | 25367 |
| &nbsp;&nbsp;&nbsp;3.00%, 05/01/48 | 231 | 208998 |
| &nbsp;&nbsp;&nbsp;3.00%, 07/01/48 | 2687 | 2428191 |
| &nbsp;&nbsp;&nbsp;3.00%, 09/01/48 | 1913 | 1728532 |
| &nbsp;&nbsp;&nbsp;3.00%, 11/01/48 | 17529 | 15830603 |
| &nbsp;&nbsp;&nbsp;3.00%, 02/01/49 | 2362 | 2134728 |
| &nbsp;&nbsp;&nbsp;3.00%, 04/01/49 | 5303 | 4778664 |
| &nbsp;&nbsp;&nbsp;3.00%, 05/01/49 | 11994 | 10820392 |
| &nbsp;&nbsp;&nbsp;3.00%, 06/01/49 | 2443 | 2191292 |
| &nbsp;&nbsp;&nbsp;3.00%, 07/01/49 | 1819 | 1629471 |
| &nbsp;&nbsp;&nbsp;3.00%, 08/01/49 | 13095 | 11752062 |
| &nbsp;&nbsp;&nbsp;3.00%, 09/01/49 | 16394 | 14674388 |
| &nbsp;&nbsp;&nbsp;3.00%, 10/01/49 | 29371 | 26294731 |
| &nbsp;&nbsp;&nbsp;3.00%, 11/01/49 | 20702 | 18534494 |
| &nbsp;&nbsp;&nbsp;3.00%, 12/01/49 | 21068 | 18849438 |
| &nbsp;&nbsp;&nbsp;3.00%, 01/01/50 | 23593 | 21175462 |
| &nbsp;&nbsp;&nbsp;3.00%, 02/01/50 | 45999 | 41172239 |
| &nbsp;&nbsp;&nbsp;3.00%, 03/01/50 | 71644 | 63959682 |
| &nbsp;&nbsp;&nbsp;3.00%, 04/01/50 | 35094 | 31260913 |
| &nbsp;&nbsp;&nbsp;3.00%, 05/01/50 | 33575 | 29952997 |
| &nbsp;&nbsp;&nbsp;3.00%, 06/01/50 | 17058 | 15235349 |
| &nbsp;&nbsp;&nbsp;3.00%, 07/01/50 | 68301 | 61083183 |
| &nbsp;&nbsp;&nbsp;3.00%, 08/01/50 | 107990 | 96159038 |
| &nbsp;&nbsp;&nbsp;3.00%, 09/01/50 | 13544 | 12062810 |
| &nbsp;&nbsp;&nbsp;3.00%, 10/01/50 | 36614 | 32623865 |
| &nbsp;&nbsp;&nbsp;3.00%, 11/01/50 | 50188 | 44921409 |
| &nbsp;&nbsp;&nbsp;3.00%, 12/01/50 | 8839 | 7867592 |
| &nbsp;&nbsp;&nbsp;3.00%, 01/01/51 | 4675 | 4185010 |
| &nbsp;&nbsp;&nbsp;3.00%, 02/01/51 | 788 | 703822 |
| &nbsp;&nbsp;&nbsp;3.00%, 03/01/51 | 5452 | 4834430 |
| &nbsp;&nbsp;&nbsp;3.00%, 05/01/51 | 40924 | 36713984 |
| &nbsp;&nbsp;&nbsp;3.00%, 06/01/51 | 19945 | 17744857 |
| &nbsp;&nbsp;&nbsp;3.00%, 07/01/51 | 18213 | 16163518 |
| &nbsp;&nbsp;&nbsp;3.00%, 08/01/51 | 22699 | 20127968 |
| &nbsp;&nbsp;&nbsp;3.00%, 09/01/51 | 2095 | 1859945 |
| &nbsp;&nbsp;&nbsp;3.00%, 10/01/51 | 9848 | 8741219 |
| &nbsp;&nbsp;&nbsp;3.00%, 11/01/51 | 29436 | 26113313 |
| &nbsp;&nbsp;&nbsp;3.00%, 12/01/51 | 10822 | 9625920 |
| &nbsp;&nbsp;&nbsp;3.00%, 01/01/52 | 5099 | 4520825 |
| &nbsp;&nbsp;&nbsp;3.00%, 02/01/52 | 242 | 214357 |
| &nbsp;&nbsp;&nbsp;3.00%, 04/01/52 | 42124 | 37320847 |
| &nbsp;&nbsp;&nbsp;3.00%, 05/01/52 | 23502 | 20792233 |
| &nbsp;&nbsp;&nbsp;3.00%, 06/01/52 | 6835 | 6045223 |
| &nbsp;&nbsp;&nbsp;3.00%, 07/01/52 | 1254 | 1108890 |
| &nbsp;&nbsp;&nbsp;&nbsp;3.00%, 12/13/52<sup>(c)</sup> | 113146 | 100128537 |
| &nbsp;&nbsp;&nbsp;3.50%, 08/01/25 | 20 | 19507 |
| &nbsp;&nbsp;&nbsp;3.50%, 09/01/25 | 214 | 209297 |
| &nbsp;&nbsp;&nbsp;3.50%, 10/01/25 | 135 | 132005 |

---

---

| | |
|:---|:---|
| Schedule of Investments (unaudited) (continued) | **iShares<sup>®</sup> MBS ETF** |
| November 30, 2022 | **(Percentages shown are based on Net Assets)** |

---

---

| | | |
|:---|:---|:---|
| *Security* | *Par<br> (000)* | *Value* |
| **Mortgage-Backed Securities (continued)** |  |  |
| &nbsp;&nbsp;&nbsp;3.50%, 11/01/25 | $39 | $37272 |
| &nbsp;&nbsp;&nbsp;3.50%, 12/01/25 | 577 | 562827 |
| &nbsp;&nbsp;&nbsp;3.50%, 01/01/26 | 79 | 77018 |
| &nbsp;&nbsp;&nbsp;3.50%, 02/01/26 | 64 | 62483 |
| &nbsp;&nbsp;&nbsp;3.50%, 03/01/26 | 51 | 49278 |
| &nbsp;&nbsp;&nbsp;3.50%, 04/01/26 | 183 | 178309 |
| &nbsp;&nbsp;&nbsp;3.50%, 05/01/26 | 35 | 34013 |
| &nbsp;&nbsp;&nbsp;3.50%, 06/01/26 | 28 | 26510 |
| &nbsp;&nbsp;&nbsp;3.50%, 07/01/26 | 2 | 2415 |
| &nbsp;&nbsp;&nbsp;3.50%, 08/01/26 | 86 | 83590 |
| &nbsp;&nbsp;&nbsp;3.50%, 09/01/26 | 3826 | 3719956 |
| &nbsp;&nbsp;&nbsp;3.50%, 10/01/26 | 80 | 77002 |
| &nbsp;&nbsp;&nbsp;3.50%, 12/01/26 | 35 | 33392 |
| &nbsp;&nbsp;&nbsp;3.50%, 01/01/27 | 241 | 233396 |
| &nbsp;&nbsp;&nbsp;3.50%, 02/01/27 | 14 | 13750 |
| &nbsp;&nbsp;&nbsp;3.50%, 03/01/27 | 359 | 357488 |
| &nbsp;&nbsp;&nbsp;3.50%, 04/01/27 | 571 | 555017 |
| &nbsp;&nbsp;&nbsp;3.50%, 07/01/27 | 276 | 268944 |
| &nbsp;&nbsp;&nbsp;3.50%, 01/01/28 | 307 | 306200 |
| &nbsp;&nbsp;&nbsp;3.50%, 07/01/28 | 397 | 386932 |
| &nbsp;&nbsp;&nbsp;3.50%, 08/01/28 | 462 | 452192 |
| &nbsp;&nbsp;&nbsp;3.50%, 10/01/28 | 406 | 390269 |
| &nbsp;&nbsp;&nbsp;3.50%, 11/01/28 | 75 | 73001 |
| &nbsp;&nbsp;&nbsp;3.50%, 12/01/28 | 150 | 146684 |
| &nbsp;&nbsp;&nbsp;3.50%, 01/01/29 | 192 | 187515 |
| &nbsp;&nbsp;&nbsp;3.50%, 03/01/29 | 344 | 336469 |
| &nbsp;&nbsp;&nbsp;3.50%, 05/01/29 | 39 | 37880 |
| &nbsp;&nbsp;&nbsp;3.50%, 07/01/29 | 9 | 9003 |
| &nbsp;&nbsp;&nbsp;3.50%, 08/01/29 | 27 | 25686 |
| &nbsp;&nbsp;&nbsp;3.50%, 09/01/29 | 219 | 214661 |
| &nbsp;&nbsp;&nbsp;3.50%, 10/01/29 | 19 | 18174 |
| &nbsp;&nbsp;&nbsp;3.50%, 11/01/29 | 1806 | 1736874 |
| &nbsp;&nbsp;&nbsp;3.50%, 12/01/29 | 1139 | 1114259 |
| &nbsp;&nbsp;&nbsp;3.50%, 04/01/30 | 208 | 203520 |
| &nbsp;&nbsp;&nbsp;3.50%, 06/01/30 | 490 | 471162 |
| &nbsp;&nbsp;&nbsp;3.50%, 08/01/30 | 228 | 223135 |
| &nbsp;&nbsp;&nbsp;3.50%, 11/01/30 | 301 | 294782 |
| &nbsp;&nbsp;&nbsp;3.50%, 02/01/31 | 35 | 34508 |
| &nbsp;&nbsp;&nbsp;3.50%, 03/01/31 | 1408 | 1369332 |
| &nbsp;&nbsp;&nbsp;3.50%, 04/01/31 | 393 | 382698 |
| &nbsp;&nbsp;&nbsp;3.50%, 05/01/31 | 218 | 212663 |
| &nbsp;&nbsp;&nbsp;3.50%, 06/01/31 | 5942 | 5807922 |
| &nbsp;&nbsp;&nbsp;3.50%, 07/01/31 | 1998 | 1938525 |
| &nbsp;&nbsp;&nbsp;3.50%, 08/01/31 | 1182 | 1152022 |
| &nbsp;&nbsp;&nbsp;3.50%, 09/01/31 | 123 | 120061 |
| &nbsp;&nbsp;&nbsp;3.50%, 11/01/31 | 12 | 12211 |
| &nbsp;&nbsp;&nbsp;3.50%, 12/01/31 | 804 | 783456 |
| &nbsp;&nbsp;&nbsp;3.50%, 01/01/32 | 4228 | 4110949 |
| &nbsp;&nbsp;&nbsp;3.50%, 02/01/32 | 798 | 770457 |
| &nbsp;&nbsp;&nbsp;3.50%, 03/01/32 | 466 | 453533 |
| &nbsp;&nbsp;&nbsp;3.50%, 04/01/32 | 2280 | 2212047 |
| &nbsp;&nbsp;&nbsp;3.50%, 05/01/32 | 4166 | 4051253 |
| &nbsp;&nbsp;&nbsp;3.50%, 06/01/32 | 3808 | 3683118 |
| &nbsp;&nbsp;&nbsp;3.50%, 07/01/32 | 2680 | 2605862 |
| &nbsp;&nbsp;&nbsp;3.50%, 08/01/32 | 1278 | 1243393 |
| &nbsp;&nbsp;&nbsp;3.50%, 09/01/32 | 529 | 517214 |
| &nbsp;&nbsp;&nbsp;3.50%, 11/01/32 | 4353 | 4231644 |
| &nbsp;&nbsp;&nbsp;3.50%, 12/01/32 | 1811 | 1761059 |
| &nbsp;&nbsp;&nbsp;3.50%, 01/01/33 | 874 | 840380 |
| &nbsp;&nbsp;&nbsp;3.50%, 02/01/33 | 1831 | 1775576 |

---

---

| | | |
|:---|:---|:---|
| *Security* | *Par<br> (000)* | *Value* |
| **Mortgage-Backed Securities (continued)** |  |  |
| &nbsp;&nbsp;&nbsp;3.50%, 03/01/33 | $5069 | $4893294 |
| &nbsp;&nbsp;&nbsp;3.50%, 04/01/33 | 2218 | 2154433 |
| &nbsp;&nbsp;&nbsp;3.50%, 05/01/33 | 631 | 612552 |
| &nbsp;&nbsp;&nbsp;3.50%, 09/01/33 | 1700 | 1650670 |
| &nbsp;&nbsp;&nbsp;3.50%, 10/01/33 | 358 | 347247 |
| &nbsp;&nbsp;&nbsp;3.50%, 11/01/33 | 340 | 329489 |
| &nbsp;&nbsp;&nbsp;3.50%, 12/01/33 | 593 | 575436 |
| &nbsp;&nbsp;&nbsp;3.50%, 01/01/34 | 3112 | 3022501 |
| &nbsp;&nbsp;&nbsp;3.50%, 02/01/34 | 1405 | 1360758 |
| &nbsp;&nbsp;&nbsp;3.50%, 03/01/34 | 4309 | 4174729 |
| &nbsp;&nbsp;&nbsp;3.50%, 04/01/34 | 10844 | 10516947 |
| &nbsp;&nbsp;&nbsp;3.50%, 05/01/34 | 6524 | 6318897 |
| &nbsp;&nbsp;&nbsp;3.50%, 06/01/34 | 2138 | 2070622 |
| &nbsp;&nbsp;&nbsp;3.50%, 07/01/34 | 7468 | 7357300 |
| &nbsp;&nbsp;&nbsp;3.50%, 08/01/34 | 678 | 656854 |
| &nbsp;&nbsp;&nbsp;3.50%, 09/01/34 | 634 | 613967 |
| &nbsp;&nbsp;&nbsp;3.50%, 10/01/34 | 1215 | 1176681 |
| &nbsp;&nbsp;&nbsp;3.50%, 11/01/34 | 8234 | 7976318 |
| &nbsp;&nbsp;&nbsp;3.50%, 12/01/34 | 6195 | 6001241 |
| &nbsp;&nbsp;&nbsp;3.50%, 01/01/35 | 324 | 313756 |
| &nbsp;&nbsp;&nbsp;3.50%, 02/01/35 | 1818 | 1759209 |
| &nbsp;&nbsp;&nbsp;3.50%, 03/01/35 | 3513 | 3400254 |
| &nbsp;&nbsp;&nbsp;3.50%, 04/01/35 | 1050 | 1013761 |
| &nbsp;&nbsp;&nbsp;3.50%, 05/01/35 | 5058 | 4905315 |
| &nbsp;&nbsp;&nbsp;3.50%, 06/01/35 | 8717 | 8420263 |
| &nbsp;&nbsp;&nbsp;3.50%, 07/01/35 | 3803 | 3672012 |
| &nbsp;&nbsp;&nbsp;3.50%, 10/01/35 | 797 | 769317 |
| &nbsp;&nbsp;&nbsp;3.50%, 11/01/35 | 2627 | 2536362 |
| &nbsp;&nbsp;&nbsp;3.50%, 12/01/35 | 2211 | 2135142 |
| &nbsp;&nbsp;&nbsp;3.50%, 02/01/36 | 4791 | 4623506 |
| &nbsp;&nbsp;&nbsp;&nbsp;3.50%, 12/15/37<sup>(c)</sup> | 36900 | 35449945 |
| &nbsp;&nbsp;&nbsp;3.50%, 01/01/38 | 3192 | 3069291 |
| &nbsp;&nbsp;&nbsp;3.50%, 02/01/38 | 1871 | 1799025 |
| &nbsp;&nbsp;&nbsp;3.50%, 10/01/40 | 16 | 15480 |
| &nbsp;&nbsp;&nbsp;3.50%, 11/01/40 | 291 | 273554 |
| &nbsp;&nbsp;&nbsp;3.50%, 12/01/40 | 630 | 594478 |
| &nbsp;&nbsp;&nbsp;3.50%, 01/01/41 | 50 | 47400 |
| &nbsp;&nbsp;&nbsp;3.50%, 02/01/41 | 15 | 14526 |
| &nbsp;&nbsp;&nbsp;3.50%, 03/01/41 | 38 | 36293 |
| &nbsp;&nbsp;&nbsp;3.50%, 06/01/41 | 23 | 21444 |
| &nbsp;&nbsp;&nbsp;3.50%, 10/01/41 | 11 | 10346 |
| &nbsp;&nbsp;&nbsp;3.50%, 11/01/41 | 173 | 163344 |
| &nbsp;&nbsp;&nbsp;3.50%, 12/01/41 | 261 | 246219 |
| &nbsp;&nbsp;&nbsp;3.50%, 01/01/42 | 969 | 913291 |
| &nbsp;&nbsp;&nbsp;3.50%, 02/01/42 | 946 | 892256 |
| &nbsp;&nbsp;&nbsp;3.50%, 03/01/42 | 13492 | 12722496 |
| &nbsp;&nbsp;&nbsp;3.50%, 04/01/42 | 343 | 322780 |
| &nbsp;&nbsp;&nbsp;3.50%, 05/01/42 | 2718 | 2565811 |
| &nbsp;&nbsp;&nbsp;3.50%, 06/01/42 | 213 | 202151 |
| &nbsp;&nbsp;&nbsp;3.50%, 07/01/42 | 1819 | 1716008 |
| &nbsp;&nbsp;&nbsp;3.50%, 08/01/42 | 14003 | 13204929 |
| &nbsp;&nbsp;&nbsp;3.50%, 09/01/42 | 4602 | 4344097 |
| &nbsp;&nbsp;&nbsp;3.50%, 10/01/42 | 12219 | 11522206 |
| &nbsp;&nbsp;&nbsp;3.50%, 11/01/42 | 1952 | 1840318 |
| &nbsp;&nbsp;&nbsp;3.50%, 12/01/42 | 10943 | 10308569 |
| &nbsp;&nbsp;&nbsp;3.50%, 01/01/43 | 792 | 746959 |
| &nbsp;&nbsp;&nbsp;3.50%, 04/01/43 | 682 | 645057 |
| &nbsp;&nbsp;&nbsp;3.50%, 05/01/43 | 1655 | 1561476 |
| &nbsp;&nbsp;&nbsp;3.50%, 06/01/43 | 8659 | 8163202 |
| &nbsp;&nbsp;&nbsp;3.50%, 07/01/43 | 3841 | 3645125 |

---

---

| | |
|:---|:---|
| Schedule of Investments (unaudited) (continued) | **iShares<sup>®</sup> MBS ETF** |
| November 30, 2022 | **(Percentages shown are based on Net Assets)** |

---

---

| | | |
|:---|:---|:---|
| *Security* | *Par<br> (000)* | *Value* |
| **Mortgage-Backed Securities (continued)** |  |  |
| &nbsp;&nbsp;&nbsp;3.50%, 08/01/43 | $414 | $389516 |
| &nbsp;&nbsp;&nbsp;3.50%, 09/01/43 | 209 | 197057 |
| &nbsp;&nbsp;&nbsp;3.50%, 10/01/43 | 2235 | 2127713 |
| &nbsp;&nbsp;&nbsp;3.50%, 11/01/43 | 200 | 188680 |
| &nbsp;&nbsp;&nbsp;3.50%, 12/01/43 | 197 | 187354 |
| &nbsp;&nbsp;&nbsp;3.50%, 01/01/44 | 314 | 296035 |
| &nbsp;&nbsp;&nbsp;3.50%, 02/01/44 | 387 | 365102 |
| &nbsp;&nbsp;&nbsp;3.50%, 04/01/44 | 8070 | 7652467 |
| &nbsp;&nbsp;&nbsp;3.50%, 05/01/44 | 2287 | 2176369 |
| &nbsp;&nbsp;&nbsp;3.50%, 06/01/44 | 705 | 664473 |
| &nbsp;&nbsp;&nbsp;3.50%, 09/01/44 | 1425 | 1345439 |
| &nbsp;&nbsp;&nbsp;3.50%, 10/01/44 | 5035 | 4730536 |
| &nbsp;&nbsp;&nbsp;3.50%, 11/01/44 | 15475 | 14515163 |
| &nbsp;&nbsp;&nbsp;3.50%, 12/01/44 | 953 | 894204 |
| &nbsp;&nbsp;&nbsp;3.50%, 01/01/45 | 392 | 370351 |
| &nbsp;&nbsp;&nbsp;3.50%, 02/01/45 | 11847 | 11157797 |
| &nbsp;&nbsp;&nbsp;3.50%, 03/01/45 | 2195 | 2048984 |
| &nbsp;&nbsp;&nbsp;3.50%, 04/01/45 | 2061 | 1942131 |
| &nbsp;&nbsp;&nbsp;3.50%, 05/01/45 | 942 | 878930 |
| &nbsp;&nbsp;&nbsp;3.50%, 06/01/45 | 5704 | 5366047 |
| &nbsp;&nbsp;&nbsp;3.50%, 07/01/45 | 9206 | 8656549 |
| &nbsp;&nbsp;&nbsp;3.50%, 08/01/45 | 16785 | 15820842 |
| &nbsp;&nbsp;&nbsp;3.50%, 09/01/45 | 6168 | 5791233 |
| &nbsp;&nbsp;&nbsp;3.50%, 10/01/45 | 5185 | 4892930 |
| &nbsp;&nbsp;&nbsp;3.50%, 11/01/45 | 8693 | 8152594 |
| &nbsp;&nbsp;&nbsp;3.50%, 12/01/45 | 7327 | 6839807 |
| &nbsp;&nbsp;&nbsp;3.50%, 01/01/46 | 21623 | 20386180 |
| &nbsp;&nbsp;&nbsp;3.50%, 02/01/46 | 34124 | 31861450 |
| &nbsp;&nbsp;&nbsp;3.50%, 03/01/46 | 10219 | 9542691 |
| &nbsp;&nbsp;&nbsp;3.50%, 04/01/46 | 15232 | 14361882 |
| &nbsp;&nbsp;&nbsp;3.50%, 05/01/46 | 4789 | 4474076 |
| &nbsp;&nbsp;&nbsp;3.50%, 06/01/46 | 9705 | 9067517 |
| &nbsp;&nbsp;&nbsp;3.50%, 07/01/46 | 33572 | 31414847 |
| &nbsp;&nbsp;&nbsp;3.50%, 08/01/46 | 3595 | 3373587 |
| &nbsp;&nbsp;&nbsp;3.50%, 09/01/46 | 10355 | 9671100 |
| &nbsp;&nbsp;&nbsp;3.50%, 10/01/46 | 17405 | 16304557 |
| &nbsp;&nbsp;&nbsp;3.50%, 11/01/46 | 19047 | 17814562 |
| &nbsp;&nbsp;&nbsp;3.50%, 12/01/46 | 52991 | 49787919 |
| &nbsp;&nbsp;&nbsp;3.50%, 01/01/47 | 33557 | 31419606 |
| &nbsp;&nbsp;&nbsp;3.50%, 02/01/47 | 20586 | 19208248 |
| &nbsp;&nbsp;&nbsp;3.50%, 03/01/47 | 2456 | 2323073 |
| &nbsp;&nbsp;&nbsp;3.50%, 04/01/47 | 8273 | 7751861 |
| &nbsp;&nbsp;&nbsp;3.50%, 05/01/47 | 22112 | 20752711 |
| &nbsp;&nbsp;&nbsp;3.50%, 06/01/47 | 10961 | 10267061 |
| &nbsp;&nbsp;&nbsp;3.50%, 07/01/47 | 79740 | 74893335 |
| &nbsp;&nbsp;&nbsp;3.50%, 08/01/47 | 45269 | 42427096 |
| &nbsp;&nbsp;&nbsp;3.50%, 09/01/47 | 15215 | 14194020 |
| &nbsp;&nbsp;&nbsp;3.50%, 10/01/47 | 10912 | 10224194 |
| &nbsp;&nbsp;&nbsp;3.50%, 11/01/47 | 26532 | 24802672 |
| &nbsp;&nbsp;&nbsp;3.50%, 12/01/47 | 37991 | 35622563 |
| &nbsp;&nbsp;&nbsp;3.50%, 01/01/48 | 50987 | 47631371 |
| &nbsp;&nbsp;&nbsp;3.50%, 02/01/48 | 40789 | 38167376 |
| &nbsp;&nbsp;&nbsp;3.50%, 03/01/48 | 38623 | 36196515 |
| &nbsp;&nbsp;&nbsp;3.50%, 04/01/48 | 8832 | 8252138 |
| &nbsp;&nbsp;&nbsp;3.50%, 05/01/48 | 386 | 359906 |
| &nbsp;&nbsp;&nbsp;3.50%, 06/01/48 | 8261 | 7742667 |
| &nbsp;&nbsp;&nbsp;3.50%, 07/01/48 | 17673 | 16471900 |
| &nbsp;&nbsp;&nbsp;3.50%, 09/01/48 | 1343 | 1249296 |
| &nbsp;&nbsp;&nbsp;3.50%, 10/01/48 | 2104 | 1960735 |
| &nbsp;&nbsp;&nbsp;3.50%, 11/01/48 | 24348 | 22885157 |

---

---

| | | |
|:---|:---|:---|
| *Security* | *Par<br> (000)* | *Value* |
| **Mortgage-Backed Securities (continued)** |  |  |
| &nbsp;&nbsp;&nbsp;3.50%, 01/01/49 | $4622 | $4324497 |
| &nbsp;&nbsp;&nbsp;3.50%, 02/01/49 | 1986 | 1847918 |
| &nbsp;&nbsp;&nbsp;3.50%, 03/01/49 | 3135 | 2913613 |
| &nbsp;&nbsp;&nbsp;3.50%, 04/01/49 | 6653 | 6166332 |
| &nbsp;&nbsp;&nbsp;3.50%, 05/01/49 | 23175 | 21544637 |
| &nbsp;&nbsp;&nbsp;3.50%, 06/01/49 | 34421 | 32050660 |
| &nbsp;&nbsp;&nbsp;3.50%, 07/01/49 | 20650 | 19160317 |
| &nbsp;&nbsp;&nbsp;3.50%, 08/01/49 | 324 | 302403 |
| &nbsp;&nbsp;&nbsp;3.50%, 09/01/49 | 1218 | 1129183 |
| &nbsp;&nbsp;&nbsp;3.50%, 11/01/49 | 13684 | 12743199 |
| &nbsp;&nbsp;&nbsp;3.50%, 12/01/49 | 12219 | 11368688 |
| &nbsp;&nbsp;&nbsp;3.50%, 01/01/50 | 6497 | 6033783 |
| &nbsp;&nbsp;&nbsp;3.50%, 02/01/50 | 4771 | 4445110 |
| &nbsp;&nbsp;&nbsp;3.50%, 03/01/50 | 5148 | 4804023 |
| &nbsp;&nbsp;&nbsp;3.50%, 04/01/50 | 10451 | 9653914 |
| &nbsp;&nbsp;&nbsp;3.50%, 05/01/50 | 4776 | 4451011 |
| &nbsp;&nbsp;&nbsp;3.50%, 06/01/50 | 29621 | 27516554 |
| &nbsp;&nbsp;&nbsp;3.50%, 07/01/50 | 4767 | 4423648 |
| &nbsp;&nbsp;&nbsp;3.50%, 08/01/50 | 7101 | 6598668 |
| &nbsp;&nbsp;&nbsp;3.50%, 09/01/50 | 5229 | 4855357 |
| &nbsp;&nbsp;&nbsp;3.50%, 10/01/50 | 2223 | 2070966 |
| &nbsp;&nbsp;&nbsp;3.50%, 01/01/51 | 33853 | 31486290 |
| &nbsp;&nbsp;&nbsp;3.50%, 05/01/51 | 4149 | 3809703 |
| &nbsp;&nbsp;&nbsp;3.50%, 06/01/51 | 180 | 165793 |
| &nbsp;&nbsp;&nbsp;3.50%, 08/01/51 | 3163 | 2906599 |
| &nbsp;&nbsp;&nbsp;3.50%, 09/01/51 | 6110 | 5620571 |
| &nbsp;&nbsp;&nbsp;3.50%, 10/01/51 | 4289 | 3967303 |
| &nbsp;&nbsp;&nbsp;3.50%, 01/01/52 | 1073 | 985129 |
| &nbsp;&nbsp;&nbsp;3.50%, 02/01/52 | 62346 | 57248753 |
| &nbsp;&nbsp;&nbsp;3.50%, 04/01/52 | 1908 | 1755416 |
| &nbsp;&nbsp;&nbsp;3.50%, 05/01/52 | 21880 | 20029936 |
| &nbsp;&nbsp;&nbsp;3.50%, 06/01/52 | 24340 | 22312967 |
| &nbsp;&nbsp;&nbsp;3.50%, 07/01/52 | 6742 | 6179489 |
| &nbsp;&nbsp;&nbsp;3.50%, 08/01/52 | 422 | 386530 |
| &nbsp;&nbsp;&nbsp;&nbsp;3.50%, 12/13/52<sup>(c)</sup> | 94050 | 86085141 |
| &nbsp;&nbsp;&nbsp;4.00%, 04/01/23 | 0 <sup>(b)</sup> | 384 |
| &nbsp;&nbsp;&nbsp;4.00%, 02/01/24 | 1 | 735 |
| &nbsp;&nbsp;&nbsp;4.00%, 02/01/24 | 0 <sup>(b)</sup> | 381 |
| &nbsp;&nbsp;&nbsp;4.00%, 03/01/24 | 90 | 88802 |
| &nbsp;&nbsp;&nbsp;4.00%, 04/01/24 | 45 | 44915 |
| &nbsp;&nbsp;&nbsp;4.00%, 04/01/24 | 0 <sup>(b)</sup> | 231 |
| &nbsp;&nbsp;&nbsp;4.00%, 05/01/24 | 3 | 2592 |
| &nbsp;&nbsp;&nbsp;4.00%, 05/01/24 | 0 <sup>(b)</sup> | 88 |
| &nbsp;&nbsp;&nbsp;4.00%, 06/01/24 | 7 | 6669 |
| &nbsp;&nbsp;&nbsp;4.00%, 06/01/24 | 0 <sup>(b)</sup> | 323 |
| &nbsp;&nbsp;&nbsp;4.00%, 07/01/24 | 0 <sup>(b)</sup> | 688 |
| &nbsp;&nbsp;&nbsp;4.00%, 07/01/24 | 19 | 18881 |
| &nbsp;&nbsp;&nbsp;4.00%, 08/01/24 | 3 | 2289 |
| &nbsp;&nbsp;&nbsp;4.00%, 08/01/24 | 1 <sup>(b)</sup> | 492 |
| &nbsp;&nbsp;&nbsp;4.00%, 09/01/24 | 5 | 5368 |
| &nbsp;&nbsp;&nbsp;4.00%, 10/01/24 | 10 | 8851 |
| &nbsp;&nbsp;&nbsp;4.00%, 11/01/24 | 2 | 1774 |
| &nbsp;&nbsp;&nbsp;4.00%, 12/01/24 | 11 | 10730 |
| &nbsp;&nbsp;&nbsp;4.00%, 01/01/25 | 4 | 4156 |
| &nbsp;&nbsp;&nbsp;4.00%, 02/01/25 | 7 | 6267 |
| &nbsp;&nbsp;&nbsp;4.00%, 03/01/25 | 15 | 15167 |
| &nbsp;&nbsp;&nbsp;4.00%, 04/01/25 | 11 | 11478 |
| &nbsp;&nbsp;&nbsp;4.00%, 04/01/25 | 0 <sup>(b)</sup> | 477 |
| &nbsp;&nbsp;&nbsp;4.00%, 05/01/25 | 19 | 19960 |
| &nbsp;&nbsp;&nbsp;4.00%, 05/01/25 | 0 <sup>(b)</sup> | 219 |

---

---

| | |
|:---|:---|
| Schedule of Investments (unaudited) (continued) | **iShares<sup>®</sup> MBS ETF** |
| November 30, 2022 | **(Percentages shown are based on Net Assets)** |

---

---

| | | |
|:---|:---|:---|
| *Security* | *Par<br> (000)* | *Value* |
| **Mortgage-Backed Securities (continued)** |  |  |
| &nbsp;&nbsp;&nbsp;4.00%, 06/01/25 | $5 | $4880 |
| &nbsp;&nbsp;&nbsp;4.00%, 07/01/25 | 62 | 60545 |
| &nbsp;&nbsp;&nbsp;4.00%, 08/01/25 | 2 | 2305 |
| &nbsp;&nbsp;&nbsp;4.00%, 09/01/25 | 386 | 378429 |
| &nbsp;&nbsp;&nbsp;4.00%, 10/01/25 | 432 | 424203 |
| &nbsp;&nbsp;&nbsp;4.00%, 11/01/25 | 182 | 178299 |
| &nbsp;&nbsp;&nbsp;4.00%, 12/01/25 | 6 | 5639 |
| &nbsp;&nbsp;&nbsp;4.00%, 01/01/26 | 12 | 11200 |
| &nbsp;&nbsp;&nbsp;4.00%, 03/01/26 | 317 | 311194 |
| &nbsp;&nbsp;&nbsp;4.00%, 05/01/26 | 10 | 9526 |
| &nbsp;&nbsp;&nbsp;4.00%, 06/01/26 | 1591 | 1558741 |
| &nbsp;&nbsp;&nbsp;4.00%, 07/01/26 | 76 | 74616 |
| &nbsp;&nbsp;&nbsp;4.00%, 08/01/26 | 12 | 12069 |
| &nbsp;&nbsp;&nbsp;4.00%, 09/01/26 | 492 | 482301 |
| &nbsp;&nbsp;&nbsp;4.00%, 03/01/27 | 363 | 358648 |
| &nbsp;&nbsp;&nbsp;4.00%, 03/01/27 | 0 <sup>(b)</sup> | 6 |
| &nbsp;&nbsp;&nbsp;4.00%, 08/01/27 | 118 | 115970 |
| &nbsp;&nbsp;&nbsp;4.00%, 02/01/29 | 143 | 140309 |
| &nbsp;&nbsp;&nbsp;4.00%, 12/01/30 | 709 | 697037 |
| &nbsp;&nbsp;&nbsp;4.00%, 01/01/31 | 460 | 451975 |
| &nbsp;&nbsp;&nbsp;4.00%, 02/01/31 | 317 | 312135 |
| &nbsp;&nbsp;&nbsp;4.00%, 03/01/31 | 38 | 37118 |
| &nbsp;&nbsp;&nbsp;4.00%, 10/01/31 | 1014 | 996193 |
| &nbsp;&nbsp;&nbsp;4.00%, 02/01/32 | 2469 | 2426610 |
| &nbsp;&nbsp;&nbsp;4.00%, 04/01/32 | 7 | 7032 |
| &nbsp;&nbsp;&nbsp;4.00%, 05/01/32 | 1358 | 1331326 |
| &nbsp;&nbsp;&nbsp;4.00%, 06/01/32 | 7 | 6996 |
| &nbsp;&nbsp;&nbsp;4.00%, 07/01/32 | 654 | 643756 |
| &nbsp;&nbsp;&nbsp;4.00%, 10/01/32 | 16 | 15360 |
| &nbsp;&nbsp;&nbsp;4.00%, 05/01/33 | 125 | 123063 |
| &nbsp;&nbsp;&nbsp;4.00%, 07/01/33 | 739 | 730011 |
| &nbsp;&nbsp;&nbsp;4.00%, 08/01/33 | 1231 | 1215269 |
| &nbsp;&nbsp;&nbsp;4.00%, 09/01/33 | 2053 | 2027167 |
| &nbsp;&nbsp;&nbsp;4.00%, 10/01/33 | 424 | 418847 |
| &nbsp;&nbsp;&nbsp;4.00%, 11/01/33 | 69 | 67937 |
| &nbsp;&nbsp;&nbsp;4.00%, 12/01/33 | 1748 | 1714759 |
| &nbsp;&nbsp;&nbsp;4.00%, 01/01/34 | 349 | 344309 |
| &nbsp;&nbsp;&nbsp;4.00%, 05/01/34 | 456 | 450349 |
| &nbsp;&nbsp;&nbsp;4.00%, 06/01/34 | 436 | 430680 |
| &nbsp;&nbsp;&nbsp;4.00%, 07/01/34 | 530 | 523431 |
| &nbsp;&nbsp;&nbsp;4.00%, 08/01/34 | 213 | 210639 |
| &nbsp;&nbsp;&nbsp;4.00%, 10/01/34 | 1122 | 1108160 |
| &nbsp;&nbsp;&nbsp;4.00%, 11/01/35 | 320 | 316386 |
| &nbsp;&nbsp;&nbsp;4.00%, 01/01/36 | 15 | 14489 |
| &nbsp;&nbsp;&nbsp;4.00%, 10/01/37 | 19014 | 18616232 |
| &nbsp;&nbsp;&nbsp;4.00%, 06/01/38 | 303 | 296607 |
| &nbsp;&nbsp;&nbsp;4.00%, 03/01/39 | 16 | 15565 |
| &nbsp;&nbsp;&nbsp;4.00%, 04/01/39 | 34 | 33012 |
| &nbsp;&nbsp;&nbsp;4.00%, 05/01/39 | 381 | 371861 |
| &nbsp;&nbsp;&nbsp;4.00%, 07/01/39 | 19 | 18652 |
| &nbsp;&nbsp;&nbsp;4.00%, 08/01/39 | 343 | 333089 |
| &nbsp;&nbsp;&nbsp;4.00%, 09/01/39 | 30 | 28814 |
| &nbsp;&nbsp;&nbsp;4.00%, 10/01/39 | 2 | 2112 |
| &nbsp;&nbsp;&nbsp;4.00%, 11/01/39 | 101 | 98844 |
| &nbsp;&nbsp;&nbsp;4.00%, 12/01/39 | 4 | 3077 |
| &nbsp;&nbsp;&nbsp;4.00%, 02/01/40 | 18 | 16971 |
| &nbsp;&nbsp;&nbsp;4.00%, 05/01/40 | 15 | 15322 |
| &nbsp;&nbsp;&nbsp;4.00%, 07/01/40 | 42 | 41040 |
| &nbsp;&nbsp;&nbsp;4.00%, 08/01/40 | 1014 | 986648 |
| &nbsp;&nbsp;&nbsp;4.00%, 09/01/40 | 870 | 847081 |

---

---

| | | |
|:---|:---|:---|
| *Security* | *Par<br> (000)* | *Value* |
| **Mortgage-Backed Securities (continued)** |  |  |
| &nbsp;&nbsp;&nbsp;4.00%, 10/01/40 | $404 | $392887 |
| &nbsp;&nbsp;&nbsp;4.00%, 11/01/40 | 113 | 110399 |
| &nbsp;&nbsp;&nbsp;4.00%, 12/01/40 | 2106 | 2050552 |
| &nbsp;&nbsp;&nbsp;4.00%, 01/01/41 | 2039 | 1984367 |
| &nbsp;&nbsp;&nbsp;4.00%, 02/01/41 | 943 | 917675 |
| &nbsp;&nbsp;&nbsp;4.00%, 03/01/41 | 217 | 211168 |
| &nbsp;&nbsp;&nbsp;4.00%, 04/01/41 | 36 | 34741 |
| &nbsp;&nbsp;&nbsp;4.00%, 05/01/41 | 343 | 333229 |
| &nbsp;&nbsp;&nbsp;4.00%, 08/01/41 | 3 | 2639 |
| &nbsp;&nbsp;&nbsp;4.00%, 09/01/41 | 2294 | 2228132 |
| &nbsp;&nbsp;&nbsp;4.00%, 10/01/41 | 349 | 339506 |
| &nbsp;&nbsp;&nbsp;4.00%, 11/01/41 | 137 | 132825 |
| &nbsp;&nbsp;&nbsp;4.00%, 12/01/41 | 848 | 825210 |
| &nbsp;&nbsp;&nbsp;4.00%, 01/01/42 | 1199 | 1164600 |
| &nbsp;&nbsp;&nbsp;4.00%, 02/01/42 | 216 | 210385 |
| &nbsp;&nbsp;&nbsp;4.00%, 03/01/42 | 6124 | 5942592 |
| &nbsp;&nbsp;&nbsp;4.00%, 05/01/42 | 920 | 892742 |
| &nbsp;&nbsp;&nbsp;4.00%, 06/01/42 | 37 | 36160 |
| &nbsp;&nbsp;&nbsp;4.00%, 07/01/42 | 398 | 386604 |
| &nbsp;&nbsp;&nbsp;4.00%, 08/01/42 | 3 | 2580 |
| &nbsp;&nbsp;&nbsp;4.00%, 09/01/42 | 5 | 5255 |
| &nbsp;&nbsp;&nbsp;4.00%, 12/01/42 | 187 | 182458 |
| &nbsp;&nbsp;&nbsp;4.00%, 01/01/43 | 8 | 8028 |
| &nbsp;&nbsp;&nbsp;4.00%, 08/01/43 | 22 | 20497 |
| &nbsp;&nbsp;&nbsp;4.00%, 09/01/43 | 1328 | 1295048 |
| &nbsp;&nbsp;&nbsp;4.00%, 10/01/43 | 168 | 163115 |
| &nbsp;&nbsp;&nbsp;4.00%, 11/01/43 | 333 | 322793 |
| &nbsp;&nbsp;&nbsp;4.00%, 12/01/43 | 5 | 4877 |
| &nbsp;&nbsp;&nbsp;4.00%, 01/01/44 | 878 | 851055 |
| &nbsp;&nbsp;&nbsp;4.00%, 02/01/44 | 10 | 9924 |
| &nbsp;&nbsp;&nbsp;4.00%, 03/01/44 | 1348 | 1314114 |
| &nbsp;&nbsp;&nbsp;4.00%, 04/01/44 | 1076 | 1046295 |
| &nbsp;&nbsp;&nbsp;4.00%, 05/01/44 | 10045 | 9769933 |
| &nbsp;&nbsp;&nbsp;4.00%, 06/01/44 | 3025 | 2938196 |
| &nbsp;&nbsp;&nbsp;4.00%, 07/01/44 | 8332 | 8134279 |
| &nbsp;&nbsp;&nbsp;4.00%, 08/01/44 | 222 | 215559 |
| &nbsp;&nbsp;&nbsp;4.00%, 09/01/44 | 166 | 161347 |
| &nbsp;&nbsp;&nbsp;4.00%, 10/01/44 | 2108 | 2043519 |
| &nbsp;&nbsp;&nbsp;4.00%, 11/01/44 | 5358 | 5192172 |
| &nbsp;&nbsp;&nbsp;4.00%, 12/01/44 | 2712 | 2630826 |
| &nbsp;&nbsp;&nbsp;4.00%, 01/01/45 | 9337 | 9056255 |
| &nbsp;&nbsp;&nbsp;4.00%, 02/01/45 | 8099 | 7875887 |
| &nbsp;&nbsp;&nbsp;4.00%, 03/01/45 | 13043 | 12673032 |
| &nbsp;&nbsp;&nbsp;4.00%, 04/01/45 | 912 | 880787 |
| &nbsp;&nbsp;&nbsp;4.00%, 06/01/45 | 7186 | 6970173 |
| &nbsp;&nbsp;&nbsp;4.00%, 07/01/45 | 13683 | 13279989 |
| &nbsp;&nbsp;&nbsp;4.00%, 08/01/45 | 297 | 287775 |
| &nbsp;&nbsp;&nbsp;4.00%, 09/01/45 | 13201 | 12766715 |
| &nbsp;&nbsp;&nbsp;4.00%, 10/01/45 | 3317 | 3216773 |
| &nbsp;&nbsp;&nbsp;4.00%, 11/01/45 | 8016 | 7756811 |
| &nbsp;&nbsp;&nbsp;4.00%, 12/01/45 | 786 | 758650 |
| &nbsp;&nbsp;&nbsp;4.00%, 01/01/46 | 2414 | 2335655 |
| &nbsp;&nbsp;&nbsp;4.00%, 02/01/46 | 4003 | 3882956 |
| &nbsp;&nbsp;&nbsp;4.00%, 03/01/46 | 11183 | 10807799 |
| &nbsp;&nbsp;&nbsp;4.00%, 04/01/46 | 7310 | 7055048 |
| &nbsp;&nbsp;&nbsp;4.00%, 05/01/46 | 9183 | 8860751 |
| &nbsp;&nbsp;&nbsp;4.00%, 06/01/46 | 15154 | 14750814 |
| &nbsp;&nbsp;&nbsp;4.00%, 07/01/46 | 1302 | 1257097 |
| &nbsp;&nbsp;&nbsp;4.00%, 08/01/46 | 8497 | 8220266 |
| &nbsp;&nbsp;&nbsp;4.00%, 09/01/46 | 10363 | 10039301 |

---

---

| | |
|:---|:---|
| Schedule of Investments (unaudited) (continued) | **iShares<sup>®</sup> MBS ETF** |
| November 30, 2022 | **(Percentages shown are based on Net Assets)** |

---

---

| | | |
|:---|:---|:---|
| *Security* | *Par<br> (000)* | *Value* |
| **Mortgage-Backed Securities (continued)** |  |  |
| &nbsp;&nbsp;&nbsp;4.00%, 10/01/46 | $3026 | $2935709 |
| &nbsp;&nbsp;&nbsp;4.00%, 11/01/46 | 9127 | 8842442 |
| &nbsp;&nbsp;&nbsp;4.00%, 01/01/47 | 3981 | 3849076 |
| &nbsp;&nbsp;&nbsp;4.00%, 02/01/47 | 3273 | 3163741 |
| &nbsp;&nbsp;&nbsp;4.00%, 03/01/47 | 8663 | 8357191 |
| &nbsp;&nbsp;&nbsp;4.00%, 04/01/47 | 10157 | 9810068 |
| &nbsp;&nbsp;&nbsp;4.00%, 05/01/47 | 9355 | 9041327 |
| &nbsp;&nbsp;&nbsp;4.00%, 06/01/47 | 17660 | 17066699 |
| &nbsp;&nbsp;&nbsp;4.00%, 07/01/47 | 9688 | 9356913 |
| &nbsp;&nbsp;&nbsp;4.00%, 08/01/47 | 25794 | 24843348 |
| &nbsp;&nbsp;&nbsp;4.00%, 09/01/47 | 24491 | 23641133 |
| &nbsp;&nbsp;&nbsp;4.00%, 10/01/47 | 29274 | 28176561 |
| &nbsp;&nbsp;&nbsp;4.00%, 11/01/47 | 13962 | 13471613 |
| &nbsp;&nbsp;&nbsp;4.00%, 12/01/47 | 8663 | 8377728 |
| &nbsp;&nbsp;&nbsp;4.00%, 01/01/48 | 9794 | 9431074 |
| &nbsp;&nbsp;&nbsp;4.00%, 02/01/48 | 42572 | 41017977 |
| &nbsp;&nbsp;&nbsp;4.00%, 03/01/48 | 3107 | 2994797 |
| &nbsp;&nbsp;&nbsp;4.00%, 04/01/48 | 13308 | 12818607 |
| &nbsp;&nbsp;&nbsp;4.00%, 05/01/48 | 6142 | 5912147 |
| &nbsp;&nbsp;&nbsp;4.00%, 06/01/48 | 2853 | 2755627 |
| &nbsp;&nbsp;&nbsp;4.00%, 07/01/48 | 12432 | 12004034 |
| &nbsp;&nbsp;&nbsp;4.00%, 08/01/48 | 3882 | 3763825 |
| &nbsp;&nbsp;&nbsp;4.00%, 09/01/48 | 7985 | 7682059 |
| &nbsp;&nbsp;&nbsp;4.00%, 10/01/48 | 9136 | 8813246 |
| &nbsp;&nbsp;&nbsp;4.00%, 11/01/48 | 5619 | 5398966 |
| &nbsp;&nbsp;&nbsp;4.00%, 12/01/48 | 9088 | 8768832 |
| &nbsp;&nbsp;&nbsp;4.00%, 01/01/49 | 11188 | 10794478 |
| &nbsp;&nbsp;&nbsp;4.00%, 02/01/49 | 5468 | 5270383 |
| &nbsp;&nbsp;&nbsp;4.00%, 03/01/49 | 14237 | 13706098 |
| &nbsp;&nbsp;&nbsp;4.00%, 04/01/49 | 11748 | 11320652 |
| &nbsp;&nbsp;&nbsp;4.00%, 05/01/49 | 9327 | 8980304 |
| &nbsp;&nbsp;&nbsp;4.00%, 06/01/49 | 34138 | 32838191 |
| &nbsp;&nbsp;&nbsp;4.00%, 07/01/49 | 28653 | 27719681 |
| &nbsp;&nbsp;&nbsp;4.00%, 09/01/49 | 13412 | 12921389 |
| &nbsp;&nbsp;&nbsp;4.00%, 11/01/49 | 1995 | 1926683 |
| &nbsp;&nbsp;&nbsp;4.00%, 12/01/49 | 22359 | 21489279 |
| &nbsp;&nbsp;&nbsp;4.00%, 01/01/50 | 3483 | 3336958 |
| &nbsp;&nbsp;&nbsp;4.00%, 03/01/50 | 3514 | 3343020 |
| &nbsp;&nbsp;&nbsp;4.00%, 04/01/50 | 4105 | 3910846 |
| &nbsp;&nbsp;&nbsp;4.00%, 05/01/50 | 5239 | 4994922 |
| &nbsp;&nbsp;&nbsp;4.00%, 06/01/50 | 468 | 445914 |
| &nbsp;&nbsp;&nbsp;4.00%, 07/01/50 | 806 | 768148 |
| &nbsp;&nbsp;&nbsp;4.00%, 12/01/50 | 10169 | 9696119 |
| &nbsp;&nbsp;&nbsp;4.00%, 05/01/51 | 678 | 643354 |
| &nbsp;&nbsp;&nbsp;4.00%, 10/01/51 | 642 | 616013 |
| &nbsp;&nbsp;&nbsp;4.00%, 05/01/52 | 15335 | 14502295 |
| &nbsp;&nbsp;&nbsp;4.00%, 06/01/52 | 19578 | 18561399 |
| &nbsp;&nbsp;&nbsp;4.00%, 07/01/52 | 13279 | 12558931 |
| &nbsp;&nbsp;&nbsp;4.00%, 08/01/52 | 50453 | 47718591 |
| &nbsp;&nbsp;&nbsp;4.00%, 09/01/52 | 10543 | 9965076 |
| &nbsp;&nbsp;&nbsp;&nbsp;4.00%, 12/13/52<sup>(c)</sup> | 231508 | 218910707 |
| &nbsp;&nbsp;&nbsp;4.50%, 04/01/23 | 0 <sup>(b)</sup> | 694 |
| &nbsp;&nbsp;&nbsp;4.50%, 05/01/23 | 0 <sup>(b)</sup> | 70 |
| &nbsp;&nbsp;&nbsp;4.50%, 06/01/23 | 2 | 1765 |
| &nbsp;&nbsp;&nbsp;4.50%, 06/01/23 | 0 <sup>(b)</sup> | 324 |
| &nbsp;&nbsp;&nbsp;4.50%, 01/01/24 | 0 <sup>(b)</sup> | 191 |
| &nbsp;&nbsp;&nbsp;4.50%, 02/01/24 | 0 <sup>(b)</sup> | 318 |
| &nbsp;&nbsp;&nbsp;4.50%, 03/01/24 | 8 | 8360 |
| &nbsp;&nbsp;&nbsp;4.50%, 03/01/24 | 0 <sup>(b)</sup> | 158 |
| &nbsp;&nbsp;&nbsp;4.50%, 04/01/24 | 0 <sup>(b)</sup> | 143 |

---

---

| | | |
|:---|:---|:---|
| *Security* | *Par<br> (000)* | *Value* |
| **Mortgage-Backed Securities (continued)** |  |  |
| &nbsp;&nbsp;&nbsp;4.50%, 07/01/24 | $1 | $1322 |
| &nbsp;&nbsp;&nbsp;4.50%, 08/01/24 | 2 | 1628 |
| &nbsp;&nbsp;&nbsp;4.50%, 10/01/24 | 161 | 158382 |
| &nbsp;&nbsp;&nbsp;4.50%, 10/01/24 | 1 <sup>(b)</sup> | 481 |
| &nbsp;&nbsp;&nbsp;4.50%, 11/01/24 | 2 | 1914 |
| &nbsp;&nbsp;&nbsp;4.50%, 12/01/24 | 13 | 12856 |
| &nbsp;&nbsp;&nbsp;4.50%, 01/01/25 | 1 | 952 |
| &nbsp;&nbsp;&nbsp;4.50%, 02/01/25 | 220 | 217682 |
| &nbsp;&nbsp;&nbsp;4.50%, 04/01/25 | 294 | 289789 |
| &nbsp;&nbsp;&nbsp;4.50%, 04/01/25 | 0 <sup>(b)</sup> | 316 |
| &nbsp;&nbsp;&nbsp;4.50%, 05/01/25 | 12 | 12176 |
| &nbsp;&nbsp;&nbsp;4.50%, 06/01/25 | 252 | 248740 |
| &nbsp;&nbsp;&nbsp;4.50%, 09/01/25 | 9 | 8898 |
| &nbsp;&nbsp;&nbsp;4.50%, 04/01/26 | 7 | 6933 |
| &nbsp;&nbsp;&nbsp;4.50%, 10/01/26 | 1028 | 1015178 |
| &nbsp;&nbsp;&nbsp;4.50%, 01/01/27 | 114 | 112103 |
| &nbsp;&nbsp;&nbsp;4.50%, 11/01/28 | 1 | 807 |
| &nbsp;&nbsp;&nbsp;4.50%, 08/01/31 | 1427 | 1423335 |
| &nbsp;&nbsp;&nbsp;4.50%, 08/01/33 | 33 | 33577 |
| &nbsp;&nbsp;&nbsp;4.50%, 09/01/33 | 7 | 6726 |
| &nbsp;&nbsp;&nbsp;4.50%, 10/01/33 | 16 | 16586 |
| &nbsp;&nbsp;&nbsp;4.50%, 11/01/33 | 25 | 25159 |
| &nbsp;&nbsp;&nbsp;4.50%, 12/01/33 | 464 | 464429 |
| &nbsp;&nbsp;&nbsp;4.50%, 01/01/34 | 1462 | 1464108 |
| &nbsp;&nbsp;&nbsp;4.50%, 02/01/34 | 316 | 317064 |
| &nbsp;&nbsp;&nbsp;4.50%, 04/01/34 | 2 | 1562 |
| &nbsp;&nbsp;&nbsp;4.50%, 05/01/34 | 10 | 9572 |
| &nbsp;&nbsp;&nbsp;4.50%, 06/01/34 | 540 | 539745 |
| &nbsp;&nbsp;&nbsp;4.50%, 07/01/34 | 0 <sup>(b)</sup> | 400 |
| &nbsp;&nbsp;&nbsp;4.50%, 08/01/34 | 1318 | 1316859 |
| &nbsp;&nbsp;&nbsp;4.50%, 09/01/34 | 271 | 270994 |
| &nbsp;&nbsp;&nbsp;4.50%, 12/01/34 | 3 | 3172 |
| &nbsp;&nbsp;&nbsp;4.50%, 01/01/35 | 1 | 834 |
| &nbsp;&nbsp;&nbsp;4.50%, 02/01/35 | 0 <sup>(b)</sup> | 421 |
| &nbsp;&nbsp;&nbsp;4.50%, 03/01/35 | 1 | 1461 |
| &nbsp;&nbsp;&nbsp;4.50%, 05/01/35 | 0 <sup>(b)</sup> | 194 |
| &nbsp;&nbsp;&nbsp;4.50%, 07/01/35 | 0 <sup>(b)</sup> | 359 |
| &nbsp;&nbsp;&nbsp;4.50%, 08/01/35 | 1 | 1174 |
| &nbsp;&nbsp;&nbsp;4.50%, 09/01/35 | 8 | 8393 |
| &nbsp;&nbsp;&nbsp;4.50%, 10/01/35 | 2 | 1635 |
| &nbsp;&nbsp;&nbsp;4.50%, 12/01/35 | 37 | 36888 |
| &nbsp;&nbsp;&nbsp;4.50%, 01/01/36 | 1 | 512 |
| &nbsp;&nbsp;&nbsp;4.50%, 03/01/36 | 2 | 1995 |
| &nbsp;&nbsp;&nbsp;4.50%, 07/01/37 | 4 | 3618 |
| &nbsp;&nbsp;&nbsp;4.50%, 03/01/38 | 3 | 2862 |
| &nbsp;&nbsp;&nbsp;4.50%, 04/01/38 | 0 <sup>(b)</sup> | 587 |
| &nbsp;&nbsp;&nbsp;4.50%, 04/01/38 | 109 | 108624 |
| &nbsp;&nbsp;&nbsp;4.50%, 05/01/38 | 43 | 42798 |
| &nbsp;&nbsp;&nbsp;4.50%, 06/01/38 | 17 | 17000 |
| &nbsp;&nbsp;&nbsp;4.50%, 06/01/38 | 0 <sup>(b)</sup> | 311 |
| &nbsp;&nbsp;&nbsp;4.50%, 09/01/38 | 11571 | 11518673 |
| &nbsp;&nbsp;&nbsp;4.50%, 11/01/38 | 3 | 3056 |
| &nbsp;&nbsp;&nbsp;4.50%, 01/01/39 | 10 | 9906 |
| &nbsp;&nbsp;&nbsp;4.50%, 02/01/39 | 0 <sup>(b)</sup> | 380 |
| &nbsp;&nbsp;&nbsp;4.50%, 02/01/39 | 741 | 740001 |
| &nbsp;&nbsp;&nbsp;4.50%, 03/01/39 | 49 | 48292 |
| &nbsp;&nbsp;&nbsp;4.50%, 04/01/39 | 1485 | 1484505 |
| &nbsp;&nbsp;&nbsp;4.50%, 05/01/39 | 874 | 873576 |
| &nbsp;&nbsp;&nbsp;4.50%, 06/01/39 | 160 | 160217 |
| &nbsp;&nbsp;&nbsp;4.50%, 07/01/39 | 179 | 178589 |

---

---

| | |
|:---|:---|
| Schedule of Investments (unaudited) (continued) | **iShares<sup>®</sup> MBS ETF** |
| November 30, 2022 | **(Percentages shown are based on Net Assets)** |

---

---

| | | |
|:---|:---|:---|
| *Security* | *Par<br> (000)* | *Value* |
| **Mortgage-Backed Securities (continued)** |  |  |
| &nbsp;&nbsp;&nbsp;4.50%, 08/01/39 | $2466 | $2465401 |
| &nbsp;&nbsp;&nbsp;4.50%, 09/01/39 | 75 | 74449 |
| &nbsp;&nbsp;&nbsp;4.50%, 10/01/39 | 5636 | 5633260 |
| &nbsp;&nbsp;&nbsp;4.50%, 11/01/39 | 31 | 30595 |
| &nbsp;&nbsp;&nbsp;4.50%, 12/01/39 | 337 | 336142 |
| &nbsp;&nbsp;&nbsp;4.50%, 01/01/40 | 1624 | 1622532 |
| &nbsp;&nbsp;&nbsp;4.50%, 02/01/40 | 336 | 335938 |
| &nbsp;&nbsp;&nbsp;4.50%, 03/01/40 | 275 | 273558 |
| &nbsp;&nbsp;&nbsp;4.50%, 04/01/40 | 103 | 103187 |
| &nbsp;&nbsp;&nbsp;4.50%, 05/01/40 | 161 | 160591 |
| &nbsp;&nbsp;&nbsp;4.50%, 06/01/40 | 27 | 26772 |
| &nbsp;&nbsp;&nbsp;4.50%, 07/01/40 | 54 | 53246 |
| &nbsp;&nbsp;&nbsp;4.50%, 08/01/40 | 128 | 128677 |
| &nbsp;&nbsp;&nbsp;4.50%, 09/01/40 | 2089 | 2087067 |
| &nbsp;&nbsp;&nbsp;4.50%, 10/01/40 | 290 | 290202 |
| &nbsp;&nbsp;&nbsp;4.50%, 12/01/40 | 2151 | 2151515 |
| &nbsp;&nbsp;&nbsp;4.50%, 01/01/41 | 2153 | 2151909 |
| &nbsp;&nbsp;&nbsp;4.50%, 02/01/41 | 419 | 418372 |
| &nbsp;&nbsp;&nbsp;4.50%, 03/01/41 | 940 | 940653 |
| &nbsp;&nbsp;&nbsp;4.50%, 04/01/41 | 15454 | 15449150 |
| &nbsp;&nbsp;&nbsp;4.50%, 05/01/41 | 12933 | 12929066 |
| &nbsp;&nbsp;&nbsp;4.50%, 06/01/41 | 5275 | 5273549 |
| &nbsp;&nbsp;&nbsp;4.50%, 07/01/41 | 328 | 328407 |
| &nbsp;&nbsp;&nbsp;4.50%, 08/01/41 | 3401 | 3400774 |
| &nbsp;&nbsp;&nbsp;4.50%, 09/01/41 | 5702 | 5701263 |
| &nbsp;&nbsp;&nbsp;4.50%, 10/01/41 | 104 | 104058 |
| &nbsp;&nbsp;&nbsp;4.50%, 11/01/41 | 277 | 277587 |
| &nbsp;&nbsp;&nbsp;4.50%, 12/01/41 | 3122 | 3136363 |
| &nbsp;&nbsp;&nbsp;4.50%, 01/01/42 | 2882 | 2881696 |
| &nbsp;&nbsp;&nbsp;4.50%, 04/01/42 | 111 | 110643 |
| &nbsp;&nbsp;&nbsp;4.50%, 07/01/42 | 2900 | 2899065 |
| &nbsp;&nbsp;&nbsp;4.50%, 09/01/42 | 1514 | 1513472 |
| &nbsp;&nbsp;&nbsp;4.50%, 10/01/42 | 1997 | 1997261 |
| &nbsp;&nbsp;&nbsp;4.50%, 01/01/43 | 153 | 152543 |
| &nbsp;&nbsp;&nbsp;4.50%, 09/01/43 | 2723 | 2744049 |
| &nbsp;&nbsp;&nbsp;4.50%, 10/01/43 | 843 | 846651 |
| &nbsp;&nbsp;&nbsp;4.50%, 11/01/43 | 2004 | 2001737 |
| &nbsp;&nbsp;&nbsp;4.50%, 12/01/43 | 1413 | 1425450 |
| &nbsp;&nbsp;&nbsp;4.50%, 01/01/44 | 300 | 301687 |
| &nbsp;&nbsp;&nbsp;4.50%, 02/01/44 | 439 | 438069 |
| &nbsp;&nbsp;&nbsp;4.50%, 03/01/44 | 7411 | 7403016 |
| &nbsp;&nbsp;&nbsp;4.50%, 04/01/44 | 1434 | 1442267 |
| &nbsp;&nbsp;&nbsp;4.50%, 05/01/44 | 583 | 579696 |
| &nbsp;&nbsp;&nbsp;4.50%, 06/01/44 | 1509 | 1506240 |
| &nbsp;&nbsp;&nbsp;4.50%, 07/01/44 | 241 | 241306 |
| &nbsp;&nbsp;&nbsp;4.50%, 08/01/44 | 1019 | 1017559 |
| &nbsp;&nbsp;&nbsp;4.50%, 09/01/44 | 37 | 37498 |
| &nbsp;&nbsp;&nbsp;4.50%, 10/01/44 | 238 | 236765 |
| &nbsp;&nbsp;&nbsp;4.50%, 11/01/44 | 58 | 58653 |
| &nbsp;&nbsp;&nbsp;4.50%, 12/01/44 | 8072 | 8113957 |
| &nbsp;&nbsp;&nbsp;4.50%, 01/01/45 | 953 | 957887 |
| &nbsp;&nbsp;&nbsp;4.50%, 02/01/45 | 9444 | 9419005 |
| &nbsp;&nbsp;&nbsp;4.50%, 03/01/45 | 1338 | 1333414 |
| &nbsp;&nbsp;&nbsp;4.50%, 04/01/45 | 5 | 4564 |
| &nbsp;&nbsp;&nbsp;4.50%, 08/01/45 | 2237 | 2231217 |
| &nbsp;&nbsp;&nbsp;4.50%, 09/01/45 | 382 | 381179 |
| &nbsp;&nbsp;&nbsp;4.50%, 10/01/45 | 5865 | 5908188 |
| &nbsp;&nbsp;&nbsp;4.50%, 11/01/45 | 466 | 463263 |
| &nbsp;&nbsp;&nbsp;4.50%, 12/01/45 | 134 | 133432 |
| &nbsp;&nbsp;&nbsp;4.50%, 01/01/46 | 82 | 81860 |

---

---

| | | |
|:---|:---|:---|
| *Security* | *Par<br> (000)* | *Value* |
| **Mortgage-Backed Securities (continued)** |  |  |
| &nbsp;&nbsp;&nbsp;4.50%, 02/01/46 | $7383 | $7391093 |
| &nbsp;&nbsp;&nbsp;4.50%, 03/01/46 | 22327 | 22321458 |
| &nbsp;&nbsp;&nbsp;4.50%, 04/01/46 | 5330 | 5352133 |
| &nbsp;&nbsp;&nbsp;4.50%, 05/01/46 | 1075 | 1076526 |
| &nbsp;&nbsp;&nbsp;4.50%, 06/01/46 | 1283 | 1290567 |
| &nbsp;&nbsp;&nbsp;4.50%, 07/01/46 | 922 | 925420 |
| &nbsp;&nbsp;&nbsp;4.50%, 08/01/46 | 6571 | 6549679 |
| &nbsp;&nbsp;&nbsp;4.50%, 09/01/46 | 199 | 196918 |
| &nbsp;&nbsp;&nbsp;4.50%, 10/01/46 | 749 | 741498 |
| &nbsp;&nbsp;&nbsp;4.50%, 11/01/46 | 95 | 94440 |
| &nbsp;&nbsp;&nbsp;4.50%, 12/01/46 | 727 | 720154 |
| &nbsp;&nbsp;&nbsp;4.50%, 01/01/47 | 707 | 701199 |
| &nbsp;&nbsp;&nbsp;4.50%, 02/01/47 | 456 | 453104 |
| &nbsp;&nbsp;&nbsp;4.50%, 03/01/47 | 1254 | 1248328 |
| &nbsp;&nbsp;&nbsp;4.50%, 04/01/47 | 3407 | 3375657 |
| &nbsp;&nbsp;&nbsp;4.50%, 05/01/47 | 1841 | 1836174 |
| &nbsp;&nbsp;&nbsp;4.50%, 06/01/47 | 8955 | 8856221 |
| &nbsp;&nbsp;&nbsp;4.50%, 07/01/47 | 2213 | 2190787 |
| &nbsp;&nbsp;&nbsp;4.50%, 08/01/47 | 5697 | 5714292 |
| &nbsp;&nbsp;&nbsp;4.50%, 09/01/47 | 4169 | 4129953 |
| &nbsp;&nbsp;&nbsp;4.50%, 10/01/47 | 6660 | 6619421 |
| &nbsp;&nbsp;&nbsp;4.50%, 11/01/47 | 2427 | 2414553 |
| &nbsp;&nbsp;&nbsp;4.50%, 12/01/47 | 671 | 664099 |
| &nbsp;&nbsp;&nbsp;4.50%, 01/01/48 | 1683 | 1668502 |
| &nbsp;&nbsp;&nbsp;4.50%, 02/01/48 | 5276 | 5242175 |
| &nbsp;&nbsp;&nbsp;4.50%, 03/01/48 | 670 | 668536 |
| &nbsp;&nbsp;&nbsp;4.50%, 04/01/48 | 13341 | 13184029 |
| &nbsp;&nbsp;&nbsp;4.50%, 05/01/48 | 5263 | 5219147 |
| &nbsp;&nbsp;&nbsp;4.50%, 06/01/48 | 3863 | 3817270 |
| &nbsp;&nbsp;&nbsp;4.50%, 07/01/48 | 3707 | 3663015 |
| &nbsp;&nbsp;&nbsp;4.50%, 08/01/48 | 29079 | 28787781 |
| &nbsp;&nbsp;&nbsp;4.50%, 09/01/48 | 6778 | 6716498 |
| &nbsp;&nbsp;&nbsp;4.50%, 10/01/48 | 12975 | 12821559 |
| &nbsp;&nbsp;&nbsp;4.50%, 11/01/48 | 6409 | 6366728 |
| &nbsp;&nbsp;&nbsp;4.50%, 12/01/48 | 36291 | 35874538 |
| &nbsp;&nbsp;&nbsp;4.50%, 01/01/49 | 18547 | 18331975 |
| &nbsp;&nbsp;&nbsp;4.50%, 02/01/49 | 11306 | 11211629 |
| &nbsp;&nbsp;&nbsp;4.50%, 03/01/49 | 9085 | 8942274 |
| &nbsp;&nbsp;&nbsp;4.50%, 04/01/49 | 13257 | 13111485 |
| &nbsp;&nbsp;&nbsp;4.50%, 05/01/49 | 11784 | 11642255 |
| &nbsp;&nbsp;&nbsp;4.50%, 06/01/49 | 2087 | 2059876 |
| &nbsp;&nbsp;&nbsp;4.50%, 07/01/49 | 3553 | 3506648 |
| &nbsp;&nbsp;&nbsp;4.50%, 08/01/49 | 2088 | 2060962 |
| &nbsp;&nbsp;&nbsp;4.50%, 09/01/49 | 3388 | 3344208 |
| &nbsp;&nbsp;&nbsp;4.50%, 10/01/49 | 1861 | 1836771 |
| &nbsp;&nbsp;&nbsp;4.50%, 11/01/49 | 966 | 953904 |
| &nbsp;&nbsp;&nbsp;4.50%, 12/01/49 | 12786 | 12749474 |
| &nbsp;&nbsp;&nbsp;4.50%, 01/01/50 | 2424 | 2392874 |
| &nbsp;&nbsp;&nbsp;4.50%, 02/01/50 | 5233 | 5141847 |
| &nbsp;&nbsp;&nbsp;4.50%, 03/01/50 | 8145 | 8013742 |
| &nbsp;&nbsp;&nbsp;4.50%, 04/01/50 | 6646 | 6475188 |
| &nbsp;&nbsp;&nbsp;4.50%, 05/01/50 | 13 | 12568 |
| &nbsp;&nbsp;&nbsp;4.50%, 06/01/50 | 623 | 606725 |
| &nbsp;&nbsp;&nbsp;4.50%, 08/01/50 | 190 | 185260 |
| &nbsp;&nbsp;&nbsp;4.50%, 09/01/50 | 917 | 899442 |
| &nbsp;&nbsp;&nbsp;4.50%, 01/01/51 | 244 | 240945 |
| &nbsp;&nbsp;&nbsp;4.50%, 06/01/52 | 4120 | 4005239 |
| &nbsp;&nbsp;&nbsp;4.50%, 07/01/52 | 4848 | 4713305 |
| &nbsp;&nbsp;&nbsp;4.50%, 10/01/52 | 8668 | 8426997 |
| &nbsp;&nbsp;&nbsp;&nbsp;4.50%, 12/13/52<sup>(c)</sup> | 214163 | 208440832 |

---

---

| | |
|:---|:---|
| Schedule of Investments (unaudited) (continued) | **iShares<sup>®</sup> MBS ETF** |
| November 30, 2022 | **(Percentages shown are based on Net Assets)** |

---

---

| | | |
|:---|:---|:---|
| *Security* | *Par<br> (000)* | *Value* |
| **Mortgage-Backed Securities (continued)** |  |  |
| &nbsp;&nbsp;&nbsp;5.00%, 01/01/23 | $0 <sup>(b)</sup> | $22 |
| &nbsp;&nbsp;&nbsp;5.00%, 05/01/23 | 0 <sup>(b)</sup> | 50 |
| &nbsp;&nbsp;&nbsp;5.00%, 06/01/23 | 0 <sup>(b)</sup> | 396 |
| &nbsp;&nbsp;&nbsp;5.00%, 07/01/23 | 63 | 62944 |
| &nbsp;&nbsp;&nbsp;5.00%, 07/01/23 | 0 <sup>(b)</sup> | 26 |
| &nbsp;&nbsp;&nbsp;5.00%, 08/01/23 | 0 <sup>(b)</sup> | 82 |
| &nbsp;&nbsp;&nbsp;5.00%, 09/01/23 | 0 <sup>(b)</sup> | 44 |
| &nbsp;&nbsp;&nbsp;5.00%, 09/01/23 | 3 | 2603 |
| &nbsp;&nbsp;&nbsp;5.00%, 10/01/23 | 0 <sup>(b)</sup> | 115 |
| &nbsp;&nbsp;&nbsp;5.00%, 11/01/23 | 0 <sup>(b)</sup> | 240 |
| &nbsp;&nbsp;&nbsp;5.00%, 12/01/23 | 2 | 1779 |
| &nbsp;&nbsp;&nbsp;5.00%, 12/01/23 | 0 <sup>(b)</sup> | 169 |
| &nbsp;&nbsp;&nbsp;5.00%, 01/01/24 | 0 <sup>(b)</sup> | 208 |
| &nbsp;&nbsp;&nbsp;5.00%, 02/01/24 | 0 <sup>(b)</sup> | 1 |
| &nbsp;&nbsp;&nbsp;5.00%, 12/01/24 | 1 | 945 |
| &nbsp;&nbsp;&nbsp;5.00%, 05/01/25 | 4 | 4159 |
| &nbsp;&nbsp;&nbsp;5.00%, 09/01/25 | 1 | 1053 |
| &nbsp;&nbsp;&nbsp;5.00%, 11/01/32 | 2 | 1703 |
| &nbsp;&nbsp;&nbsp;5.00%, 03/01/33 | 2 | 2455 |
| &nbsp;&nbsp;&nbsp;5.00%, 05/01/33 | 22 | 21729 |
| &nbsp;&nbsp;&nbsp;5.00%, 06/01/33 | 3 | 2568 |
| &nbsp;&nbsp;&nbsp;5.00%, 07/01/33 | 92 | 92806 |
| &nbsp;&nbsp;&nbsp;5.00%, 08/01/33 | 349 | 353908 |
| &nbsp;&nbsp;&nbsp;5.00%, 08/01/33 | 0 <sup>(b)</sup> | 460 |
| &nbsp;&nbsp;&nbsp;5.00%, 09/01/33 | 46 | 46287 |
| &nbsp;&nbsp;&nbsp;5.00%, 10/01/33 | 1 | 700 |
| &nbsp;&nbsp;&nbsp;5.00%, 11/01/33 | 1556 | 1576253 |
| &nbsp;&nbsp;&nbsp;5.00%, 02/01/34 | 3 | 3071 |
| &nbsp;&nbsp;&nbsp;5.00%, 03/01/34 | 24 | 23979 |
| &nbsp;&nbsp;&nbsp;5.00%, 04/01/34 | 21 | 20965 |
| &nbsp;&nbsp;&nbsp;5.00%, 05/01/34 | 630 | 638046 |
| &nbsp;&nbsp;&nbsp;5.00%, 05/01/34 | 0 <sup>(b)</sup> | 200 |
| &nbsp;&nbsp;&nbsp;5.00%, 06/01/34 | 1 | 621 |
| &nbsp;&nbsp;&nbsp;5.00%, 07/01/34 | 9 | 9128 |
| &nbsp;&nbsp;&nbsp;5.00%, 08/01/34 | 24 | 24057 |
| &nbsp;&nbsp;&nbsp;5.00%, 09/01/34 | 4 | 4294 |
| &nbsp;&nbsp;&nbsp;5.00%, 10/01/34 | 9 | 8975 |
| &nbsp;&nbsp;&nbsp;5.00%, 12/01/34 | 195 | 197924 |
| &nbsp;&nbsp;&nbsp;5.00%, 01/01/35 | 144 | 145650 |
| &nbsp;&nbsp;&nbsp;5.00%, 02/01/35 | 800 | 811504 |
| &nbsp;&nbsp;&nbsp;5.00%, 03/01/35 | 44 | 44260 |
| &nbsp;&nbsp;&nbsp;5.00%, 04/01/35 | 10 | 11014 |
| &nbsp;&nbsp;&nbsp;5.00%, 05/01/35 | 7 | 7346 |
| &nbsp;&nbsp;&nbsp;5.00%, 06/01/35 | 82 | 83496 |
| &nbsp;&nbsp;&nbsp;5.00%, 07/01/35 | 91 | 91705 |
| &nbsp;&nbsp;&nbsp;5.00%, 08/01/35 | 60 | 58895 |
| &nbsp;&nbsp;&nbsp;5.00%, 08/01/35 | 0 <sup>(b)</sup> | 483 |
| &nbsp;&nbsp;&nbsp;5.00%, 09/01/35 | 127 | 127742 |
| &nbsp;&nbsp;&nbsp;5.00%, 10/01/35 | 44 | 43957 |
| &nbsp;&nbsp;&nbsp;5.00%, 11/01/35 | 422 | 431119 |
| &nbsp;&nbsp;&nbsp;5.00%, 11/01/35 | 0 <sup>(b)</sup> | 492 |
| &nbsp;&nbsp;&nbsp;5.00%, 12/01/35 | 5 | 4531 |
| &nbsp;&nbsp;&nbsp;5.00%, 01/01/36 | 16 | 15851 |
| &nbsp;&nbsp;&nbsp;5.00%, 02/01/36 | 8 | 8433 |
| &nbsp;&nbsp;&nbsp;5.00%, 03/01/36 | 528 | 536335 |
| &nbsp;&nbsp;&nbsp;5.00%, 03/01/36 | 0 <sup>(b)</sup> | 296 |
| &nbsp;&nbsp;&nbsp;5.00%, 04/01/36 | 0 <sup>(b)</sup> | 362 |
| &nbsp;&nbsp;&nbsp;5.00%, 04/01/36 | 1 | 556 |
| &nbsp;&nbsp;&nbsp;5.00%, 05/01/36 | 409 | 415653 |
| &nbsp;&nbsp;&nbsp;5.00%, 05/01/36 | 0 <sup>(b)</sup> | 48 |

---

---

| | | |
|:---|:---|:---|
| *Security* | *Par<br> (000)* | *Value* |
| **Mortgage-Backed Securities (continued)** |  |  |
| &nbsp;&nbsp;&nbsp;5.00%, 06/01/36 | $35 | $36180 |
| &nbsp;&nbsp;&nbsp;5.00%, 07/01/36 | 24 | 24008 |
| &nbsp;&nbsp;&nbsp;5.00%, 08/01/36 | 1 | 769 |
| &nbsp;&nbsp;&nbsp;5.00%, 11/01/36 | 3 | 2546 |
| &nbsp;&nbsp;&nbsp;5.00%, 12/01/36 | 2 | 1710 |
| &nbsp;&nbsp;&nbsp;5.00%, 02/01/37 | 15 | 14516 |
| &nbsp;&nbsp;&nbsp;5.00%, 03/01/37 | 9 | 8841 |
| &nbsp;&nbsp;&nbsp;5.00%, 04/01/37 | 2 | 1693 |
| &nbsp;&nbsp;&nbsp;5.00%, 05/01/37 | 9 | 9279 |
| &nbsp;&nbsp;&nbsp;5.00%, 06/01/37 | 6 | 6578 |
| &nbsp;&nbsp;&nbsp;5.00%, 07/01/37 | 415 | 420181 |
| &nbsp;&nbsp;&nbsp;5.00%, 01/01/38 | 6 | 5894 |
| &nbsp;&nbsp;&nbsp;5.00%, 02/01/38 | 679 | 689359 |
| &nbsp;&nbsp;&nbsp;5.00%, 02/01/38 | 0 <sup>(b)</sup> | 286 |
| &nbsp;&nbsp;&nbsp;5.00%, 03/01/38 | 40 | 39825 |
| &nbsp;&nbsp;&nbsp;5.00%, 04/01/38 | 92 | 94368 |
| &nbsp;&nbsp;&nbsp;5.00%, 04/01/38 | 0 <sup>(b)</sup> | 1006 |
| &nbsp;&nbsp;&nbsp;5.00%, 05/01/38 | 22 | 22466 |
| &nbsp;&nbsp;&nbsp;5.00%, 06/01/38 | 3 | 2666 |
| &nbsp;&nbsp;&nbsp;5.00%, 07/01/38 | 70 | 71572 |
| &nbsp;&nbsp;&nbsp;5.00%, 11/01/38 | 0 <sup>(b)</sup> | 88 |
| &nbsp;&nbsp;&nbsp;5.00%, 12/01/38 | 4 | 4487 |
| &nbsp;&nbsp;&nbsp;5.00%, 01/01/39 | 208 | 212484 |
| &nbsp;&nbsp;&nbsp;5.00%, 02/01/39 | 35 | 35700 |
| &nbsp;&nbsp;&nbsp;5.00%, 03/01/39 | 446 | 456204 |
| &nbsp;&nbsp;&nbsp;5.00%, 04/01/39 | 3636 | 3712135 |
| &nbsp;&nbsp;&nbsp;5.00%, 04/01/39 | 0 <sup>(b)</sup> | 486 |
| &nbsp;&nbsp;&nbsp;5.00%, 05/01/39 | 814 | 831346 |
| &nbsp;&nbsp;&nbsp;5.00%, 06/01/39 | 748 | 757650 |
| &nbsp;&nbsp;&nbsp;5.00%, 07/01/39 | 30 | 30699 |
| &nbsp;&nbsp;&nbsp;5.00%, 08/01/39 | 603 | 615863 |
| &nbsp;&nbsp;&nbsp;5.00%, 09/01/39 | 471 | 479982 |
| &nbsp;&nbsp;&nbsp;5.00%, 10/01/39 | 351 | 358990 |
| &nbsp;&nbsp;&nbsp;5.00%, 11/01/39 | 60 | 60721 |
| &nbsp;&nbsp;&nbsp;5.00%, 12/01/39 | 1434 | 1463697 |
| &nbsp;&nbsp;&nbsp;5.00%, 01/01/40 | 108 | 111229 |
| &nbsp;&nbsp;&nbsp;5.00%, 02/01/40 | 49 | 50312 |
| &nbsp;&nbsp;&nbsp;5.00%, 03/01/40 | 249 | 254483 |
| &nbsp;&nbsp;&nbsp;5.00%, 04/01/40 | 951 | 972275 |
| &nbsp;&nbsp;&nbsp;5.00%, 05/01/40 | 8695 | 8882994 |
| &nbsp;&nbsp;&nbsp;5.00%, 06/01/40 | 221 | 227173 |
| &nbsp;&nbsp;&nbsp;5.00%, 07/01/40 | 995 | 1016231 |
| &nbsp;&nbsp;&nbsp;5.00%, 08/01/40 | 5592 | 5704811 |
| &nbsp;&nbsp;&nbsp;5.00%, 09/01/40 | 716 | 729578 |
| &nbsp;&nbsp;&nbsp;5.00%, 10/01/40 | 128 | 130879 |
| &nbsp;&nbsp;&nbsp;5.00%, 11/01/40 | 17 | 17779 |
| &nbsp;&nbsp;&nbsp;5.00%, 12/01/40 | 1353 | 1382175 |
| &nbsp;&nbsp;&nbsp;5.00%, 01/01/41 | 208 | 213325 |
| &nbsp;&nbsp;&nbsp;5.00%, 02/01/41 | 488 | 497681 |
| &nbsp;&nbsp;&nbsp;5.00%, 03/01/41 | 1511 | 1544232 |
| &nbsp;&nbsp;&nbsp;5.00%, 04/01/41 | 2609 | 2665078 |
| &nbsp;&nbsp;&nbsp;5.00%, 05/01/41 | 7390 | 7550693 |
| &nbsp;&nbsp;&nbsp;5.00%, 06/01/41 | 1084 | 1107569 |
| &nbsp;&nbsp;&nbsp;5.00%, 07/01/41 | 521 | 531732 |
| &nbsp;&nbsp;&nbsp;5.00%, 08/01/41 | 1203 | 1228390 |
| &nbsp;&nbsp;&nbsp;5.00%, 11/01/41 | 109 | 111680 |
| &nbsp;&nbsp;&nbsp;5.00%, 04/01/42 | 398 | 407073 |
| &nbsp;&nbsp;&nbsp;5.00%, 08/01/43 | 25 | 25597 |
| &nbsp;&nbsp;&nbsp;5.00%, 09/01/43 | 596 | 608211 |
| &nbsp;&nbsp;&nbsp;5.00%, 10/01/43 | 1022 | 1043971 |

---

---

| | |
|:---|:---|
| Schedule of Investments (unaudited) (continued) | **iShares<sup>®</sup> MBS ETF** |
| November 30, 2022 | **(Percentages shown are based on Net Assets)** |

---

---

| | | |
|:---|:---|:---|
| *Security* | *Par<br> (000)* | *Value* |
| **Mortgage-Backed Securities (continued)** |  |  |
| &nbsp;&nbsp;&nbsp;5.00%, 11/01/43 | $43 | $43555 |
| &nbsp;&nbsp;&nbsp;5.00%, 12/01/43 | 135 | 137550 |
| &nbsp;&nbsp;&nbsp;5.00%, 01/01/44 | 1667 | 1702285 |
| &nbsp;&nbsp;&nbsp;5.00%, 03/01/44 | 484 | 493335 |
| &nbsp;&nbsp;&nbsp;5.00%, 06/01/44 | 158 | 161114 |
| &nbsp;&nbsp;&nbsp;5.00%, 07/01/44 | 60 | 61509 |
| &nbsp;&nbsp;&nbsp;5.00%, 08/01/44 | 134 | 135210 |
| &nbsp;&nbsp;&nbsp;5.00%, 09/01/44 | 952 | 970791 |
| &nbsp;&nbsp;&nbsp;5.00%, 11/01/44 | 416 | 424241 |
| &nbsp;&nbsp;&nbsp;5.00%, 01/01/45 | 7 | 7328 |
| &nbsp;&nbsp;&nbsp;5.00%, 07/01/45 | 3301 | 3372502 |
| &nbsp;&nbsp;&nbsp;5.00%, 03/01/47 | 64 | 64209 |
| &nbsp;&nbsp;&nbsp;5.00%, 04/01/47 | 90 | 91065 |
| &nbsp;&nbsp;&nbsp;5.00%, 05/01/47 | 777 | 786738 |
| &nbsp;&nbsp;&nbsp;5.00%, 07/01/47 | 651 | 662379 |
| &nbsp;&nbsp;&nbsp;5.00%, 08/01/47 | 169 | 170909 |
| &nbsp;&nbsp;&nbsp;5.00%, 09/01/47 | 956 | 964673 |
| &nbsp;&nbsp;&nbsp;5.00%, 10/01/47 | 499 | 503073 |
| &nbsp;&nbsp;&nbsp;5.00%, 11/01/47 | 76 | 76474 |
| &nbsp;&nbsp;&nbsp;5.00%, 02/01/48 | 783 | 789174 |
| &nbsp;&nbsp;&nbsp;5.00%, 03/01/48 | 1493 | 1504507 |
| &nbsp;&nbsp;&nbsp;5.00%, 04/01/48 | 1731 | 1749670 |
| &nbsp;&nbsp;&nbsp;5.00%, 06/01/48 | 1941 | 1956549 |
| &nbsp;&nbsp;&nbsp;5.00%, 07/01/48 | 3863 | 3904555 |
| &nbsp;&nbsp;&nbsp;5.00%, 08/01/48 | 5453 | 5511549 |
| &nbsp;&nbsp;&nbsp;5.00%, 09/01/48 | 5752 | 5818252 |
| &nbsp;&nbsp;&nbsp;5.00%, 10/01/48 | 3402 | 3451990 |
| &nbsp;&nbsp;&nbsp;5.00%, 11/01/48 | 2412 | 2439066 |
| &nbsp;&nbsp;&nbsp;5.00%, 12/01/48 | 1590 | 1603603 |
| &nbsp;&nbsp;&nbsp;5.00%, 01/01/49 | 10767 | 10872188 |
| &nbsp;&nbsp;&nbsp;5.00%, 02/01/49 | 6624 | 6683419 |
| &nbsp;&nbsp;&nbsp;5.00%, 03/01/49 | 5151 | 5194168 |
| &nbsp;&nbsp;&nbsp;5.00%, 04/01/49 | 7512 | 7573905 |
| &nbsp;&nbsp;&nbsp;5.00%, 05/01/49 | 1885 | 1900152 |
| &nbsp;&nbsp;&nbsp;5.00%, 07/01/49 | 8208 | 8275629 |
| &nbsp;&nbsp;&nbsp;5.00%, 08/01/49 | 2408 | 2427212 |
| &nbsp;&nbsp;&nbsp;5.00%, 09/01/49 | 1237 | 1247678 |
| &nbsp;&nbsp;&nbsp;5.00%, 10/01/49 | 4396 | 4434145 |
| &nbsp;&nbsp;&nbsp;5.00%, 11/01/49 | 1187 | 1196724 |
| &nbsp;&nbsp;&nbsp;5.00%, 03/01/50 | 2259 | 2277200 |
| &nbsp;&nbsp;&nbsp;5.00%, 04/01/50 | 1059 | 1057740 |
| &nbsp;&nbsp;&nbsp;5.00%, 05/01/50 | 612 | 610631 |
| &nbsp;&nbsp;&nbsp;5.00%, 09/01/50 | 35 | 35085 |
| &nbsp;&nbsp;&nbsp;5.00%, 01/01/51 | 1155 | 1153179 |
| &nbsp;&nbsp;&nbsp;5.00%, 08/01/52 | 9448 | 9507416 |
| &nbsp;&nbsp;&nbsp;5.00%, 10/01/52 | 8391 | 8347788 |
| &nbsp;&nbsp;&nbsp;&nbsp;5.00%, 12/13/52<sup>(c)</sup> | 183850 | 182930750 |
| &nbsp;&nbsp;&nbsp;5.50%, 02/01/23 | 0 <sup>(b)</sup> | 132 |
| &nbsp;&nbsp;&nbsp;5.50%, 09/01/23 | 0 <sup>(b)</sup> | 57 |
| &nbsp;&nbsp;&nbsp;5.50%, 10/01/23 | 0 <sup>(b)</sup> | 61 |
| &nbsp;&nbsp;&nbsp;5.50%, 11/01/23 | 0 <sup>(b)</sup> | 215 |
| &nbsp;&nbsp;&nbsp;5.50%, 12/01/23 | 0 <sup>(b)</sup> | 179 |
| &nbsp;&nbsp;&nbsp;5.50%, 01/01/25 | 0 <sup>(b)</sup> | 66 |
| &nbsp;&nbsp;&nbsp;5.50%, 05/01/25 | 0 <sup>(b)</sup> | 40 |
| &nbsp;&nbsp;&nbsp;5.50%, 03/01/28 | 196 | 195923 |
| &nbsp;&nbsp;&nbsp;5.50%, 10/01/28 | 0 <sup>(b)</sup> | 277 |
| &nbsp;&nbsp;&nbsp;5.50%, 12/01/28 | 0 <sup>(b)</sup> | 166 |
| &nbsp;&nbsp;&nbsp;5.50%, 07/01/29 | 1 | 1407 |
| &nbsp;&nbsp;&nbsp;5.50%, 04/01/31 | 2 | 1534 |
| &nbsp;&nbsp;&nbsp;5.50%, 12/01/31 | 14 | 14584 |

---

---

| | | |
|:---|:---|:---|
| *Security* | *Par<br> (000)* | *Value* |
| **Mortgage-Backed Securities (continued)** |  |  |
| &nbsp;&nbsp;&nbsp;5.50%, 01/01/32 | $6 | $6151 |
| &nbsp;&nbsp;&nbsp;5.50%, 02/01/32 | 2 | 1882 |
| &nbsp;&nbsp;&nbsp;5.50%, 11/01/32 | 0 <sup>(b)</sup> | 484 |
| &nbsp;&nbsp;&nbsp;5.50%, 11/01/32 | 2 | 1951 |
| &nbsp;&nbsp;&nbsp;5.50%, 12/01/32 | 6 | 6179 |
| &nbsp;&nbsp;&nbsp;5.50%, 01/01/33 | 25 | 26336 |
| &nbsp;&nbsp;&nbsp;5.50%, 02/01/33 | 6 | 5534 |
| &nbsp;&nbsp;&nbsp;5.50%, 02/01/33 | 0 <sup>(b)</sup> | 841 |
| &nbsp;&nbsp;&nbsp;5.50%, 03/01/33 | 27 | 27118 |
| &nbsp;&nbsp;&nbsp;5.50%, 04/01/33 | 63 | 64414 |
| &nbsp;&nbsp;&nbsp;5.50%, 04/01/33 | 0 <sup>(b)</sup> | 482 |
| &nbsp;&nbsp;&nbsp;5.50%, 05/01/33 | 575 | 593556 |
| &nbsp;&nbsp;&nbsp;5.50%, 06/01/33 | 41 | 41790 |
| &nbsp;&nbsp;&nbsp;5.50%, 07/01/33 | 118 | 121977 |
| &nbsp;&nbsp;&nbsp;5.50%, 08/01/33 | 1 | 1252 |
| &nbsp;&nbsp;&nbsp;5.50%, 09/01/33 | 0 <sup>(b)</sup> | 174 |
| &nbsp;&nbsp;&nbsp;5.50%, 09/01/33 | 5 | 5064 |
| &nbsp;&nbsp;&nbsp;5.50%, 10/01/33 | 243 | 249166 |
| &nbsp;&nbsp;&nbsp;5.50%, 10/01/33 | 0 <sup>(b)</sup> | 636 |
| &nbsp;&nbsp;&nbsp;5.50%, 11/01/33 | 1115 | 1147731 |
| &nbsp;&nbsp;&nbsp;5.50%, 12/01/33 | 1 | 957 |
| &nbsp;&nbsp;&nbsp;5.50%, 01/01/34 | 36 | 36977 |
| &nbsp;&nbsp;&nbsp;5.50%, 02/01/34 | 25 | 24569 |
| &nbsp;&nbsp;&nbsp;5.50%, 03/01/34 | 11 | 11715 |
| &nbsp;&nbsp;&nbsp;5.50%, 04/01/34 | 56 | 56169 |
| &nbsp;&nbsp;&nbsp;5.50%, 05/01/34 | 52 | 52564 |
| &nbsp;&nbsp;&nbsp;5.50%, 06/01/34 | 23 | 24046 |
| &nbsp;&nbsp;&nbsp;5.50%, 07/01/34 | 16 | 16560 |
| &nbsp;&nbsp;&nbsp;5.50%, 09/01/34 | 817 | 842617 |
| &nbsp;&nbsp;&nbsp;5.50%, 10/01/34 | 1 | 694 |
| &nbsp;&nbsp;&nbsp;5.50%, 11/01/34 | 23 | 23656 |
| &nbsp;&nbsp;&nbsp;5.50%, 12/01/34 | 15 | 13894 |
| &nbsp;&nbsp;&nbsp;5.50%, 01/01/35 | 38 | 39868 |
| &nbsp;&nbsp;&nbsp;5.50%, 02/01/35 | 69 | 70349 |
| &nbsp;&nbsp;&nbsp;5.50%, 03/01/35 | 29 | 29655 |
| &nbsp;&nbsp;&nbsp;5.50%, 04/01/35 | 23 | 23773 |
| &nbsp;&nbsp;&nbsp;5.50%, 05/01/35 | 13 | 12291 |
| &nbsp;&nbsp;&nbsp;5.50%, 06/01/35 | 23 | 24119 |
| &nbsp;&nbsp;&nbsp;5.50%, 07/01/35 | 23 | 24181 |
| &nbsp;&nbsp;&nbsp;5.50%, 08/01/35 | 9 | 10042 |
| &nbsp;&nbsp;&nbsp;5.50%, 09/01/35 | 201 | 208260 |
| &nbsp;&nbsp;&nbsp;5.50%, 10/01/35 | 13 | 12748 |
| &nbsp;&nbsp;&nbsp;5.50%, 11/01/35 | 36 | 37238 |
| &nbsp;&nbsp;&nbsp;5.50%, 12/01/35 | 44 | 45512 |
| &nbsp;&nbsp;&nbsp;5.50%, 12/01/35 | 0 <sup>(b)</sup> | 310 |
| &nbsp;&nbsp;&nbsp;5.50%, 01/01/36 | 16 | 17176 |
| &nbsp;&nbsp;&nbsp;5.50%, 02/01/36 | 64 | 65488 |
| &nbsp;&nbsp;&nbsp;5.50%, 03/01/36 | 1 | 599 |
| &nbsp;&nbsp;&nbsp;5.50%, 04/01/36 | 1325 | 1375362 |
| &nbsp;&nbsp;&nbsp;5.50%, 05/01/36 | 329 | 341447 |
| &nbsp;&nbsp;&nbsp;5.50%, 06/01/36 | 1 | 792 |
| &nbsp;&nbsp;&nbsp;5.50%, 07/01/36 | 12 | 12217 |
| &nbsp;&nbsp;&nbsp;5.50%, 08/01/36 | 26 | 27380 |
| &nbsp;&nbsp;&nbsp;5.50%, 09/01/36 | 2154 | 2217478 |
| &nbsp;&nbsp;&nbsp;5.50%, 10/01/36 | 11 | 11650 |
| &nbsp;&nbsp;&nbsp;5.50%, 11/01/36 | 17 | 18081 |
| &nbsp;&nbsp;&nbsp;5.50%, 11/01/36 | 0 <sup>(b)</sup> | 117 |
| &nbsp;&nbsp;&nbsp;5.50%, 12/01/36 | 23 | 23128 |
| &nbsp;&nbsp;&nbsp;5.50%, 12/01/36 | 0 <sup>(b)</sup> | 213 |
| &nbsp;&nbsp;&nbsp;5.50%, 01/01/37 | 0 <sup>(b)</sup> | 274 |

---

---

| | |
|:---|:---|
| Schedule of Investments (unaudited) (continued) | **iShares<sup>®</sup> MBS ETF** |
| November 30, 2022 | **(Percentages shown are based on Net Assets)** |

---

---

| | | |
|:---|:---|:---|
| *Security* | *Par<br> (000)* | *Value* |
| **Mortgage-Backed Securities (continued)** |  |  |
| &nbsp;&nbsp;&nbsp;5.50%, 01/01/37 | $26 | $27858 |
| &nbsp;&nbsp;&nbsp;5.50%, 02/01/37 | 65 | 66477 |
| &nbsp;&nbsp;&nbsp;5.50%, 03/01/37 | 41 | 42181 |
| &nbsp;&nbsp;&nbsp;5.50%, 04/01/37 | 8 | 8395 |
| &nbsp;&nbsp;&nbsp;5.50%, 05/01/37 | 247 | 258215 |
| &nbsp;&nbsp;&nbsp;5.50%, 05/01/37 | 0 <sup>(b)</sup> | 612 |
| &nbsp;&nbsp;&nbsp;5.50%, 06/01/37 | 145 | 150180 |
| &nbsp;&nbsp;&nbsp;5.50%, 06/01/37 | 0 <sup>(b)</sup> | 431 |
| &nbsp;&nbsp;&nbsp;5.50%, 07/01/37 | 20 | 22063 |
| &nbsp;&nbsp;&nbsp;5.50%, 07/01/37 | 0 <sup>(b)</sup> | 905 |
| &nbsp;&nbsp;&nbsp;5.50%, 08/01/37 | 1700 | 1764199 |
| &nbsp;&nbsp;&nbsp;5.50%, 08/01/37 | 0 <sup>(b)</sup> | 383 |
| &nbsp;&nbsp;&nbsp;5.50%, 09/01/37 | 0 <sup>(b)</sup> | 495 |
| &nbsp;&nbsp;&nbsp;5.50%, 10/01/37 | 3 | 2872 |
| &nbsp;&nbsp;&nbsp;5.50%, 10/01/37 | 0 <sup>(b)</sup> | 257 |
| &nbsp;&nbsp;&nbsp;5.50%, 11/01/37 | 10 | 11104 |
| &nbsp;&nbsp;&nbsp;5.50%, 12/01/37 | 58 | 59516 |
| &nbsp;&nbsp;&nbsp;5.50%, 12/01/37 | 0 <sup>(b)</sup> | 228 |
| &nbsp;&nbsp;&nbsp;5.50%, 01/01/38 | 12 | 13346 |
| &nbsp;&nbsp;&nbsp;5.50%, 02/01/38 | 34 | 34182 |
| &nbsp;&nbsp;&nbsp;5.50%, 03/01/38 | 681 | 709322 |
| &nbsp;&nbsp;&nbsp;5.50%, 04/01/38 | 0 <sup>(b)</sup> | 448 |
| &nbsp;&nbsp;&nbsp;5.50%, 04/01/38 | 67 | 69955 |
| &nbsp;&nbsp;&nbsp;5.50%, 05/01/38 | 209 | 216536 |
| &nbsp;&nbsp;&nbsp;5.50%, 06/01/38 | 247 | 256562 |
| &nbsp;&nbsp;&nbsp;5.50%, 06/01/38 | 1 <sup>(b)</sup> | 518 |
| &nbsp;&nbsp;&nbsp;5.50%, 07/01/38 | 519 | 540240 |
| &nbsp;&nbsp;&nbsp;5.50%, 07/01/38 | 0 <sup>(b)</sup> | 833 |
| &nbsp;&nbsp;&nbsp;5.50%, 08/01/38 | 54 | 56409 |
| &nbsp;&nbsp;&nbsp;5.50%, 08/01/38 | 0 <sup>(b)</sup> | 185 |
| &nbsp;&nbsp;&nbsp;5.50%, 09/01/38 | 7 | 6983 |
| &nbsp;&nbsp;&nbsp;5.50%, 10/01/38 | 3 | 3035 |
| &nbsp;&nbsp;&nbsp;5.50%, 11/01/38 | 1023 | 1062887 |
| &nbsp;&nbsp;&nbsp;5.50%, 12/01/38 | 36 | 35837 |
| &nbsp;&nbsp;&nbsp;5.50%, 01/01/39 | 36 | 37123 |
| &nbsp;&nbsp;&nbsp;5.50%, 02/01/39 | 37 | 38587 |
| &nbsp;&nbsp;&nbsp;5.50%, 03/01/39 | 12 | 12285 |
| &nbsp;&nbsp;&nbsp;5.50%, 04/01/39 | 19 | 19911 |
| &nbsp;&nbsp;&nbsp;5.50%, 06/01/39 | 150 | 156421 |
| &nbsp;&nbsp;&nbsp;5.50%, 07/01/39 | 17 | 17521 |
| &nbsp;&nbsp;&nbsp;5.50%, 08/01/39 | 1 | 1192 |
| &nbsp;&nbsp;&nbsp;5.50%, 09/01/39 | 27 | 28010 |
| &nbsp;&nbsp;&nbsp;5.50%, 10/01/39 | 6 | 6620 |
| &nbsp;&nbsp;&nbsp;5.50%, 11/01/39 | 31 | 32365 |
| &nbsp;&nbsp;&nbsp;5.50%, 12/01/39 | 72 | 74727 |
| &nbsp;&nbsp;&nbsp;5.50%, 01/01/40 | 36 | 36998 |
| &nbsp;&nbsp;&nbsp;5.50%, 03/01/40 | 61 | 63426 |
| &nbsp;&nbsp;&nbsp;5.50%, 05/01/40 | 136 | 141171 |
| &nbsp;&nbsp;&nbsp;5.50%, 06/01/40 | 68 | 71300 |
| &nbsp;&nbsp;&nbsp;5.50%, 07/01/40 | 1702 | 1767631 |
| &nbsp;&nbsp;&nbsp;5.50%, 09/01/40 | 4161 | 4322777 |
| &nbsp;&nbsp;&nbsp;5.50%, 07/01/41 | 285 | 296702 |
| &nbsp;&nbsp;&nbsp;5.50%, 09/01/41 | 7206 | 7447900 |
| &nbsp;&nbsp;&nbsp;5.50%, 05/01/44 | 5469 | 5686159 |
| &nbsp;&nbsp;&nbsp;5.50%, 01/01/47 | 1831 | 1899533 |
| &nbsp;&nbsp;&nbsp;5.50%, 06/01/48 | 100 | 102613 |
| &nbsp;&nbsp;&nbsp;5.50%, 11/01/48 | 78 | 79769 |
| &nbsp;&nbsp;&nbsp;5.50%, 12/01/48 | 309 | 317265 |
| &nbsp;&nbsp;&nbsp;5.50%, 02/01/49 | 566 | 583779 |
| &nbsp;&nbsp;&nbsp;5.50%, 03/01/49 | 121 | 124505 |

---

---

| | | |
|:---|:---|:---|
| *Security* | *Par<br> (000)* | *Value* |
| **Mortgage-Backed Securities (continued)** |  |  |
| &nbsp;&nbsp;&nbsp;5.50%, 09/01/52 | $872 | $882588 |
| &nbsp;&nbsp;&nbsp;5.50%, 11/01/52 | 9930 | 10048299 |
| &nbsp;&nbsp;&nbsp;&nbsp;5.50%, 12/13/52<sup>(c)</sup> | 29250 | 29582051 |
| &nbsp;&nbsp;&nbsp;6.00%, 05/01/24 | 0 <sup>(b)</sup> | 18 |
| &nbsp;&nbsp;&nbsp;6.00%, 12/01/24 | 0 <sup>(b)</sup> | 221 |
| &nbsp;&nbsp;&nbsp;6.00%, 03/01/28 | 1 <sup>(b)</sup> | 513 |
| &nbsp;&nbsp;&nbsp;6.00%, 04/01/28 | 0 <sup>(b)</sup> | 81 |
| &nbsp;&nbsp;&nbsp;6.00%, 11/01/28 | 0 <sup>(b)</sup> | 560 |
| &nbsp;&nbsp;&nbsp;6.00%, 12/01/28 | 0 <sup>(b)</sup> | 1332 |
| &nbsp;&nbsp;&nbsp;6.00%, 01/01/29 | 0 <sup>(b)</sup> | 500 |
| &nbsp;&nbsp;&nbsp;6.00%, 01/01/29 | 2 | 1944 |
| &nbsp;&nbsp;&nbsp;6.00%, 02/01/29 | 0 <sup>(b)</sup> | 1335 |
| &nbsp;&nbsp;&nbsp;6.00%, 02/01/29 | 6 | 5133 |
| &nbsp;&nbsp;&nbsp;6.00%, 03/01/29 | 2 | 2000 |
| &nbsp;&nbsp;&nbsp;6.00%, 03/01/29 | 0 <sup>(b)</sup> | 88 |
| &nbsp;&nbsp;&nbsp;6.00%, 04/01/29 | 2 | 2526 |
| &nbsp;&nbsp;&nbsp;6.00%, 05/01/29 | 0 <sup>(b)</sup> | 176 |
| &nbsp;&nbsp;&nbsp;6.00%, 06/01/29 | 0 <sup>(b)</sup> | 74 |
| &nbsp;&nbsp;&nbsp;6.00%, 06/01/29 | 1 | 770 |
| &nbsp;&nbsp;&nbsp;6.00%, 07/01/29 | 2 | 1592 |
| &nbsp;&nbsp;&nbsp;6.00%, 04/01/30 | 1 | 1106 |
| &nbsp;&nbsp;&nbsp;6.00%, 04/01/31 | 1 | 986 |
| &nbsp;&nbsp;&nbsp;6.00%, 04/01/31 | 0 <sup>(b)</sup> | 24 |
| &nbsp;&nbsp;&nbsp;6.00%, 05/01/31 | 5 | 4935 |
| &nbsp;&nbsp;&nbsp;6.00%, 05/01/31 | 0 <sup>(b)</sup> | 454 |
| &nbsp;&nbsp;&nbsp;6.00%, 11/01/31 | 7 | 6831 |
| &nbsp;&nbsp;&nbsp;6.00%, 02/01/32 | 3 | 2576 |
| &nbsp;&nbsp;&nbsp;6.00%, 03/01/32 | 2 | 2324 |
| &nbsp;&nbsp;&nbsp;6.00%, 04/01/32 | 4 | 4397 |
| &nbsp;&nbsp;&nbsp;6.00%, 06/01/32 | 1 | 1319 |
| &nbsp;&nbsp;&nbsp;6.00%, 09/01/32 | 3 | 2857 |
| &nbsp;&nbsp;&nbsp;6.00%, 11/01/32 | 34 | 35090 |
| &nbsp;&nbsp;&nbsp;6.00%, 12/01/32 | 24 | 24654 |
| &nbsp;&nbsp;&nbsp;6.00%, 12/01/32 | 0 <sup>(b)</sup> | 369 |
| &nbsp;&nbsp;&nbsp;6.00%, 01/01/33 | 25 | 24813 |
| &nbsp;&nbsp;&nbsp;6.00%, 02/01/33 | 6 | 6239 |
| &nbsp;&nbsp;&nbsp;6.00%, 02/01/33 | 0 <sup>(b)</sup> | 467 |
| &nbsp;&nbsp;&nbsp;6.00%, 03/01/33 | 19 | 20472 |
| &nbsp;&nbsp;&nbsp;6.00%, 03/01/33 | 0 <sup>(b)</sup> | 66 |
| &nbsp;&nbsp;&nbsp;6.00%, 05/01/33 | 2 | 2398 |
| &nbsp;&nbsp;&nbsp;6.00%, 10/01/33 | 2 | 2585 |
| &nbsp;&nbsp;&nbsp;6.00%, 11/01/33 | 1 | 1551 |
| &nbsp;&nbsp;&nbsp;6.00%, 12/01/33 | 18 | 19461 |
| &nbsp;&nbsp;&nbsp;6.00%, 02/01/34 | 4 | 4317 |
| &nbsp;&nbsp;&nbsp;6.00%, 03/01/34 | 1477 | 1553959 |
| &nbsp;&nbsp;&nbsp;6.00%, 04/01/34 | 3 | 2663 |
| &nbsp;&nbsp;&nbsp;6.00%, 05/01/34 | 236 | 248897 |
| &nbsp;&nbsp;&nbsp;6.00%, 08/01/34 | 321 | 337299 |
| &nbsp;&nbsp;&nbsp;6.00%, 09/01/34 | 1 <sup>(b)</sup> | 517 |
| &nbsp;&nbsp;&nbsp;6.00%, 09/01/34 | 16 | 16569 |
| &nbsp;&nbsp;&nbsp;6.00%, 10/01/34 | 15 | 15574 |
| &nbsp;&nbsp;&nbsp;6.00%, 11/01/34 | 97 | 102063 |
| &nbsp;&nbsp;&nbsp;6.00%, 12/01/34 | 6 | 5679 |
| &nbsp;&nbsp;&nbsp;6.00%, 01/01/35 | 28 | 29475 |
| &nbsp;&nbsp;&nbsp;6.00%, 02/01/35 | 11 | 11575 |
| &nbsp;&nbsp;&nbsp;6.00%, 04/01/35 | 3 | 3471 |
| &nbsp;&nbsp;&nbsp;6.00%, 06/01/35 | 9 | 9409 |
| &nbsp;&nbsp;&nbsp;6.00%, 07/01/35 | 86 | 90752 |
| &nbsp;&nbsp;&nbsp;6.00%, 09/01/35 | 13 | 13758 |
| &nbsp;&nbsp;&nbsp;6.00%, 10/01/35 | 35 | 37108 |

---

---

| | |
|:---|:---|
| Schedule of Investments (unaudited) (continued) | **iShares<sup>®</sup> MBS ETF** |
| November 30, 2022 | **(Percentages shown are based on Net Assets)** |

---

---

| | | |
|:---|:---|:---|
| *Security* | *Par<br> (000)* | *Value* |
| **Mortgage-Backed Securities (continued)** |  |  |
| &nbsp;&nbsp;&nbsp;6.00%, 12/01/35 | $35 | $36047 |
| &nbsp;&nbsp;&nbsp;6.00%, 01/01/36 | 6 | 6420 |
| &nbsp;&nbsp;&nbsp;6.00%, 01/01/36 | 0 <sup>(b)</sup> | 311 |
| &nbsp;&nbsp;&nbsp;6.00%, 02/01/36 | 2 | 2031 |
| &nbsp;&nbsp;&nbsp;6.00%, 03/01/36 | 1 | 936 |
| &nbsp;&nbsp;&nbsp;6.00%, 05/01/36 | 0 <sup>(b)</sup> | 602 |
| &nbsp;&nbsp;&nbsp;6.00%, 05/01/36 | 23 | 23972 |
| &nbsp;&nbsp;&nbsp;6.00%, 06/01/36 | 493 | 519046 |
| &nbsp;&nbsp;&nbsp;6.00%, 07/01/36 | 10 | 10463 |
| &nbsp;&nbsp;&nbsp;6.00%, 08/01/36 | 467 | 492406 |
| &nbsp;&nbsp;&nbsp;6.00%, 10/01/36 | 19 | 19713 |
| &nbsp;&nbsp;&nbsp;6.00%, 11/01/36 | 37 | 38150 |
| &nbsp;&nbsp;&nbsp;6.00%, 11/01/36 | 0 <sup>(b)</sup> | 614 |
| &nbsp;&nbsp;&nbsp;6.00%, 12/01/36 | 11 | 11209 |
| &nbsp;&nbsp;&nbsp;6.00%, 01/01/37 | 3 | 3267 |
| &nbsp;&nbsp;&nbsp;6.00%, 02/01/37 | 72 | 74482 |
| &nbsp;&nbsp;&nbsp;6.00%, 03/01/37 | 30 | 31806 |
| &nbsp;&nbsp;&nbsp;6.00%, 04/01/37 | 0 <sup>(b)</sup> | 354 |
| &nbsp;&nbsp;&nbsp;6.00%, 04/01/37 | 16 | 17188 |
| &nbsp;&nbsp;&nbsp;6.00%, 06/01/37 | 29 | 30565 |
| &nbsp;&nbsp;&nbsp;6.00%, 07/01/37 | 22 | 22758 |
| &nbsp;&nbsp;&nbsp;6.00%, 07/01/37 | 0 <sup>(b)</sup> | 1143 |
| &nbsp;&nbsp;&nbsp;6.00%, 08/01/37 | 18 | 17907 |
| &nbsp;&nbsp;&nbsp;6.00%, 09/01/37 | 13 | 13760 |
| &nbsp;&nbsp;&nbsp;6.00%, 09/01/37 | 0 <sup>(b)</sup> | 7 |
| &nbsp;&nbsp;&nbsp;6.00%, 10/01/37 | 7 | 6925 |
| &nbsp;&nbsp;&nbsp;6.00%, 11/01/37 | 34 | 35137 |
| &nbsp;&nbsp;&nbsp;6.00%, 12/01/37 | 28 | 30096 |
| &nbsp;&nbsp;&nbsp;6.00%, 12/01/37 | 0 <sup>(b)</sup> | 56 |
| &nbsp;&nbsp;&nbsp;6.00%, 01/01/38 | 97 | 101643 |
| &nbsp;&nbsp;&nbsp;6.00%, 02/01/38 | 39 | 41550 |
| &nbsp;&nbsp;&nbsp;6.00%, 02/01/38 | 0 <sup>(b)</sup> | 407 |
| &nbsp;&nbsp;&nbsp;6.00%, 03/01/38 | 350 | 369298 |
| &nbsp;&nbsp;&nbsp;6.00%, 04/01/38 | 26 | 27578 |
| &nbsp;&nbsp;&nbsp;6.00%, 05/01/38 | 870 | 916347 |
| &nbsp;&nbsp;&nbsp;6.00%, 07/01/38 | 20 | 19572 |
| &nbsp;&nbsp;&nbsp;6.00%, 08/01/38 | 97 | 101410 |
| &nbsp;&nbsp;&nbsp;6.00%, 08/01/38 | 0 <sup>(b)</sup> | 381 |
| &nbsp;&nbsp;&nbsp;6.00%, 09/01/38 | 28 | 28323 |
| &nbsp;&nbsp;&nbsp;6.00%, 09/01/38 | 0 <sup>(b)</sup> | 413 |
| &nbsp;&nbsp;&nbsp;6.00%, 10/01/38 | 15 | 15803 |
| &nbsp;&nbsp;&nbsp;6.00%, 11/01/38 | 11 | 11164 |
| &nbsp;&nbsp;&nbsp;6.00%, 12/01/38 | 6 | 6790 |
| &nbsp;&nbsp;&nbsp;6.00%, 06/01/39 | 2556 | 2691642 |
| &nbsp;&nbsp;&nbsp;6.00%, 09/01/39 | 2 | 1878 |
| &nbsp;&nbsp;&nbsp;6.00%, 10/01/39 | 207 | 217961 |
| &nbsp;&nbsp;&nbsp;6.00%, 04/01/40 | 33 | 35314 |
| &nbsp;&nbsp;&nbsp;6.00%, 09/01/40 | 4 | 4424 |
| &nbsp;&nbsp;&nbsp;6.00%, 10/01/40 | 47 | 50059 |
| &nbsp;&nbsp;&nbsp;6.00%, 07/01/41 | 722 | 761614 |
| &nbsp;&nbsp;&nbsp;6.00%, 02/01/49 | 1089 | 1148834 |
| &nbsp;&nbsp;&nbsp;6.50%, 08/01/23 | 0 <sup>(b)</sup> | 126 |
| &nbsp;&nbsp;&nbsp;6.50%, 09/01/23 | 0 <sup>(b)</sup> | 9 |
| &nbsp;&nbsp;&nbsp;6.50%, 12/01/23 | 0 <sup>(b)</sup> | 128 |
| &nbsp;&nbsp;&nbsp;6.50%, 01/01/24 | 0 <sup>(b)</sup> | 270 |
| &nbsp;&nbsp;&nbsp;6.50%, 03/01/24 | 0 <sup>(b)</sup> | 12 |
| &nbsp;&nbsp;&nbsp;6.50%, 04/01/24 | 0 <sup>(b)</sup> | 15 |
| &nbsp;&nbsp;&nbsp;6.50%, 06/01/24 | 0 <sup>(b)</sup> | 105 |
| &nbsp;&nbsp;&nbsp;6.50%, 10/01/24 | 0 <sup>(b)</sup> | 12 |
| &nbsp;&nbsp;&nbsp;6.50%, 11/01/24 | 0 <sup>(b)</sup> | 91 |

---

---

| | | |
|:---|:---|:---|
| *Security* | *Par<br> (000)* | *Value* |
| **Mortgage-Backed Securities (continued)** |  |  |
| &nbsp;&nbsp;&nbsp;6.50%, 06/01/25 | $0 <sup>(b)</sup> | $119 |
| &nbsp;&nbsp;&nbsp;6.50%, 08/01/25 | 0 <sup>(b)</sup> | 111 |
| &nbsp;&nbsp;&nbsp;6.50%, 12/01/25 | 0 <sup>(b)</sup> | 139 |
| &nbsp;&nbsp;&nbsp;6.50%, 01/01/26 | 0 <sup>(b)</sup> | 11 |
| &nbsp;&nbsp;&nbsp;6.50%, 01/01/26 | 2 | 1523 |
| &nbsp;&nbsp;&nbsp;6.50%, 02/01/26 | 0 <sup>(b)</sup> | 170 |
| &nbsp;&nbsp;&nbsp;6.50%, 03/01/26 | 0 <sup>(b)</sup> | 312 |
| &nbsp;&nbsp;&nbsp;6.50%, 04/01/26 | 0 <sup>(b)</sup> | 278 |
| &nbsp;&nbsp;&nbsp;6.50%, 05/01/26 | 0 <sup>(b)</sup> | 234 |
| &nbsp;&nbsp;&nbsp;6.50%, 06/01/26 | 0 <sup>(b)</sup> | 63 |
| &nbsp;&nbsp;&nbsp;6.50%, 09/01/26 | 1 <sup>(b)</sup> | 488 |
| &nbsp;&nbsp;&nbsp;6.50%, 11/01/26 | 0 <sup>(b)</sup> | 84 |
| &nbsp;&nbsp;&nbsp;6.50%, 03/01/27 | 0 <sup>(b)</sup> | 248 |
| &nbsp;&nbsp;&nbsp;6.50%, 04/01/27 | 0 <sup>(b)</sup> | 148 |
| &nbsp;&nbsp;&nbsp;6.50%, 09/01/27 | 0 <sup>(b)</sup> | 3 |
| &nbsp;&nbsp;&nbsp;6.50%, 11/01/27 | 0 <sup>(b)</sup> | 103 |
| &nbsp;&nbsp;&nbsp;6.50%, 12/01/27 | 2 | 1481 |
| &nbsp;&nbsp;&nbsp;6.50%, 12/01/27 | 0 <sup>(b)</sup> | 314 |
| &nbsp;&nbsp;&nbsp;6.50%, 01/01/28 | 1 | 586 |
| &nbsp;&nbsp;&nbsp;6.50%, 02/01/28 | 0 <sup>(b)</sup> | 74 |
| &nbsp;&nbsp;&nbsp;6.50%, 04/01/28 | 0 <sup>(b)</sup> | 209 |
| &nbsp;&nbsp;&nbsp;6.50%, 04/01/28 | 1 | 1145 |
| &nbsp;&nbsp;&nbsp;6.50%, 05/01/28 | 0 <sup>(b)</sup> | 117 |
| &nbsp;&nbsp;&nbsp;6.50%, 05/01/28 | 1 | 688 |
| &nbsp;&nbsp;&nbsp;6.50%, 08/01/28 | 0 <sup>(b)</sup> | 276 |
| &nbsp;&nbsp;&nbsp;6.50%, 08/01/28 | 5 | 5445 |
| &nbsp;&nbsp;&nbsp;6.50%, 09/01/28 | 0 <sup>(b)</sup> | 229 |
| &nbsp;&nbsp;&nbsp;6.50%, 09/01/28 | 1 | 1129 |
| &nbsp;&nbsp;&nbsp;6.50%, 10/01/28 | 0 <sup>(b)</sup> | 438 |
| &nbsp;&nbsp;&nbsp;6.50%, 10/01/28 | 1 | 1193 |
| &nbsp;&nbsp;&nbsp;6.50%, 11/01/28 | 0 <sup>(b)</sup> | 556 |
| &nbsp;&nbsp;&nbsp;6.50%, 12/01/28 | 1 | 871 |
| &nbsp;&nbsp;&nbsp;6.50%, 12/01/28 | 0 <sup>(b)</sup> | 411 |
| &nbsp;&nbsp;&nbsp;6.50%, 01/01/29 | 2 | 1905 |
| &nbsp;&nbsp;&nbsp;6.50%, 02/01/29 | 2 | 1985 |
| &nbsp;&nbsp;&nbsp;6.50%, 02/01/29 | 0 <sup>(b)</sup> | 144 |
| &nbsp;&nbsp;&nbsp;6.50%, 03/01/29 | 1 <sup>(b)</sup> | 986 |
| &nbsp;&nbsp;&nbsp;6.50%, 03/01/29 | 4 | 3531 |
| &nbsp;&nbsp;&nbsp;6.50%, 04/01/29 | 1 | 964 |
| &nbsp;&nbsp;&nbsp;6.50%, 04/01/29 | 0 <sup>(b)</sup> | 433 |
| &nbsp;&nbsp;&nbsp;6.50%, 05/01/29 | 2 | 1364 |
| &nbsp;&nbsp;&nbsp;6.50%, 06/01/29 | 14 | 13502 |
| &nbsp;&nbsp;&nbsp;6.50%, 06/01/29 | 0 <sup>(b)</sup> | 329 |
| &nbsp;&nbsp;&nbsp;6.50%, 07/01/29 | 0 <sup>(b)</sup> | 496 |
| &nbsp;&nbsp;&nbsp;6.50%, 07/01/29 | 2 | 2512 |
| &nbsp;&nbsp;&nbsp;6.50%, 08/01/29 | 0 <sup>(b)</sup> | 287 |
| &nbsp;&nbsp;&nbsp;6.50%, 09/01/29 | 1 | 627 |
| &nbsp;&nbsp;&nbsp;6.50%, 11/01/29 | 0 <sup>(b)</sup> | 190 |
| &nbsp;&nbsp;&nbsp;6.50%, 05/01/30 | 0 <sup>(b)</sup> | 139 |
| &nbsp;&nbsp;&nbsp;6.50%, 10/01/30 | 0 <sup>(b)</sup> | 19 |
| &nbsp;&nbsp;&nbsp;6.50%, 12/01/30 | 1 | 662 |
| &nbsp;&nbsp;&nbsp;6.50%, 01/01/31 | 0 <sup>(b)</sup> | 111 |
| &nbsp;&nbsp;&nbsp;6.50%, 03/01/31 | 1 | 731 |
| &nbsp;&nbsp;&nbsp;6.50%, 04/01/31 | 0 <sup>(b)</sup> | 97 |
| &nbsp;&nbsp;&nbsp;6.50%, 04/01/31 | 2 | 2297 |
| &nbsp;&nbsp;&nbsp;6.50%, 05/01/31 | 0 <sup>(b)</sup> | 530 |
| &nbsp;&nbsp;&nbsp;6.50%, 05/01/31 | 5 | 4427 |
| &nbsp;&nbsp;&nbsp;6.50%, 06/01/31 | 0 <sup>(b)</sup> | 95 |
| &nbsp;&nbsp;&nbsp;6.50%, 07/01/31 | 3 | 2438 |
| &nbsp;&nbsp;&nbsp;6.50%, 07/01/31 | 0 <sup>(b)</sup> | 609 |

---

---

| | |
|:---|:---|
| Schedule of Investments (unaudited) (continued) | **iShares<sup>®</sup> MBS ETF** |
| November 30, 2022 | **(Percentages shown are based on Net Assets)** |

---

---

| | | |
|:---|:---|:---|
| *Security* | *Par<br> (000)* | *Value* |
| **Mortgage-Backed Securities (continued)** |  |  |
| &nbsp;&nbsp;&nbsp;6.50%, 08/01/31 | $2 | $1616 |
| &nbsp;&nbsp;&nbsp;6.50%, 09/01/31 | 3 | 3298 |
| &nbsp;&nbsp;&nbsp;6.50%, 10/01/31 | 5 | 5886 |
| &nbsp;&nbsp;&nbsp;6.50%, 10/01/31 | 0 <sup>(b)</sup> | 437 |
| &nbsp;&nbsp;&nbsp;6.50%, 11/01/31 | 2 | 2094 |
| &nbsp;&nbsp;&nbsp;6.50%, 12/01/31 | 4 | 3773 |
| &nbsp;&nbsp;&nbsp;6.50%, 12/01/31 | 0 <sup>(b)</sup> | 195 |
| &nbsp;&nbsp;&nbsp;6.50%, 02/01/32 | 0 <sup>(b)</sup> | 925 |
| &nbsp;&nbsp;&nbsp;6.50%, 02/01/32 | 2 | 2363 |
| &nbsp;&nbsp;&nbsp;6.50%, 03/01/32 | 10 | 11016 |
| &nbsp;&nbsp;&nbsp;6.50%, 04/01/32 | 1 | 726 |
| &nbsp;&nbsp;&nbsp;6.50%, 05/01/32 | 6 | 6011 |
| &nbsp;&nbsp;&nbsp;6.50%, 06/01/32 | 2 | 2039 |
| &nbsp;&nbsp;&nbsp;6.50%, 06/01/32 | 0 <sup>(b)</sup> | 360 |
| &nbsp;&nbsp;&nbsp;6.50%, 07/01/32 | 7 | 6495 |
| &nbsp;&nbsp;&nbsp;6.50%, 07/01/32 | 0 <sup>(b)</sup> | 588 |
| &nbsp;&nbsp;&nbsp;6.50%, 08/01/32 | 15 | 15160 |
| &nbsp;&nbsp;&nbsp;6.50%, 08/01/32 | 0 <sup>(b)</sup> | 659 |
| &nbsp;&nbsp;&nbsp;6.50%, 09/01/32 | 12 | 12978 |
| &nbsp;&nbsp;&nbsp;6.50%, 11/01/32 | 0 <sup>(b)</sup> | 332 |
| &nbsp;&nbsp;&nbsp;6.50%, 01/01/33 | 1 <sup>(b)</sup> | 510 |
| &nbsp;&nbsp;&nbsp;6.50%, 03/01/33 | 5 | 5027 |
| &nbsp;&nbsp;&nbsp;6.50%, 05/01/33 | 1 | 600 |
| &nbsp;&nbsp;&nbsp;6.50%, 05/01/33 | 0 <sup>(b)</sup> | 373 |
| &nbsp;&nbsp;&nbsp;6.50%, 06/01/33 | 6 | 5973 |
| &nbsp;&nbsp;&nbsp;6.50%, 07/01/33 | 0 <sup>(b)</sup> | 79 |
| &nbsp;&nbsp;&nbsp;6.50%, 09/01/33 | 0 <sup>(b)</sup> | 217 |
| &nbsp;&nbsp;&nbsp;6.50%, 11/01/33 | 5 | 4873 |
| &nbsp;&nbsp;&nbsp;6.50%, 01/01/34 | 8 | 8347 |
| &nbsp;&nbsp;&nbsp;6.50%, 03/01/34 | 0 <sup>(b)</sup> | 279 |
| &nbsp;&nbsp;&nbsp;6.50%, 05/01/34 | 14 | 14681 |
| &nbsp;&nbsp;&nbsp;6.50%, 08/01/34 | 9 | 9856 |
| &nbsp;&nbsp;&nbsp;6.50%, 09/01/34 | 19 | 20394 |
| &nbsp;&nbsp;&nbsp;6.50%, 10/01/34 | 2 | 2619 |
| &nbsp;&nbsp;&nbsp;6.50%, 11/01/34 | 1 | 1006 |
| &nbsp;&nbsp;&nbsp;6.50%, 04/01/35 | 3 | 3141 |
| &nbsp;&nbsp;&nbsp;6.50%, 02/01/36 | 6 | 6125 |
| &nbsp;&nbsp;&nbsp;6.50%, 05/01/36 | 1 | 978 |
| &nbsp;&nbsp;&nbsp;6.50%, 06/01/36 | 0 <sup>(b)</sup> | 471 |
| &nbsp;&nbsp;&nbsp;6.50%, 07/01/36 | 0 <sup>(b)</sup> | 397 |
| &nbsp;&nbsp;&nbsp;6.50%, 07/01/36 | 1 | 1136 |
| &nbsp;&nbsp;&nbsp;6.50%, 08/01/36 | 36 | 38196 |
| &nbsp;&nbsp;&nbsp;6.50%, 08/01/36 | 0 <sup>(b)</sup> | 319 |
| &nbsp;&nbsp;&nbsp;6.50%, 09/01/36 | 156 | 167775 |
| &nbsp;&nbsp;&nbsp;6.50%, 10/01/36 | 30 | 31993 |
| &nbsp;&nbsp;&nbsp;6.50%, 11/01/36 | 0 <sup>(b)</sup> | 386 |
| &nbsp;&nbsp;&nbsp;6.50%, 12/01/36 | 29 | 31023 |
| &nbsp;&nbsp;&nbsp;6.50%, 12/01/36 | 0 <sup>(b)</sup> | 671 |
| &nbsp;&nbsp;&nbsp;6.50%, 02/01/37 | 6 | 6858 |
| &nbsp;&nbsp;&nbsp;6.50%, 03/01/37 | 3 | 2909 |
| &nbsp;&nbsp;&nbsp;6.50%, 06/01/37 | 1 | 713 |
| &nbsp;&nbsp;&nbsp;6.50%, 07/01/37 | 42 | 44738 |
| &nbsp;&nbsp;&nbsp;6.50%, 07/01/37 | 0 <sup>(b)</sup> | 576 |
| &nbsp;&nbsp;&nbsp;6.50%, 08/01/37 | 1266 | 1356765 |
| &nbsp;&nbsp;&nbsp;6.50%, 08/01/37 | 0 <sup>(b)</sup> | 112 |
| &nbsp;&nbsp;&nbsp;6.50%, 09/01/37 | 0 <sup>(b)</sup> | 155 |
| &nbsp;&nbsp;&nbsp;6.50%, 09/01/37 | 10 | 10044 |
| &nbsp;&nbsp;&nbsp;6.50%, 10/01/37 | 87 | 92989 |
| &nbsp;&nbsp;&nbsp;6.50%, 10/01/37 | 0 <sup>(b)</sup> | 774 |
| &nbsp;&nbsp;&nbsp;6.50%, 11/01/37 | 19 | 20306 |

---

---

| | | |
|:---|:---|:---|
| *Security* | *Par<br> (000)* | *Value* |
| **Mortgage-Backed Securities (continued)** |  |  |
| &nbsp;&nbsp;&nbsp;6.50%, 11/01/37 | $0 <sup>(b)</sup> | $315 |
| &nbsp;&nbsp;&nbsp;6.50%, 12/01/37 | 50 | 53775 |
| &nbsp;&nbsp;&nbsp;6.50%, 12/01/37 | 0 <sup>(b)</sup> | 729 |
| &nbsp;&nbsp;&nbsp;6.50%, 01/01/38 | 5 | 5056 |
| &nbsp;&nbsp;&nbsp;6.50%, 02/01/38 | 8 | 8431 |
| &nbsp;&nbsp;&nbsp;6.50%, 03/01/38 | 16 | 16832 |
| &nbsp;&nbsp;&nbsp;6.50%, 05/01/38 | 41 | 43567 |
| &nbsp;&nbsp;&nbsp;6.50%, 06/01/38 | 12 | 13180 |
| &nbsp;&nbsp;&nbsp;6.50%, 09/01/38 | 4 | 4678 |
| &nbsp;&nbsp;&nbsp;6.50%, 12/01/38 | 6 | 5929 |
| &nbsp;&nbsp;&nbsp;6.50%, 01/01/39 | 8 | 8592 |
| &nbsp;&nbsp;&nbsp;6.50%, 03/01/39 | 4 | 4146 |
| &nbsp;&nbsp;&nbsp;6.50%, 05/01/39 | 3 | 2857 |
| &nbsp;&nbsp;&nbsp;6.50%, 10/01/39 | 1201 | 1285913 |
| &nbsp;&nbsp;&nbsp;6.50%, 05/01/40 | 830 | 888891 |
| &nbsp;&nbsp;&nbsp;7.00%, 06/01/23 | 0 <sup>(b)</sup> | 4 |
| &nbsp;&nbsp;&nbsp;7.00%, 07/01/23 | 0 <sup>(b)</sup> | 199 |
| &nbsp;&nbsp;&nbsp;7.00%, 09/01/23 | 0 <sup>(b)</sup> | 5 |
| &nbsp;&nbsp;&nbsp;7.00%, 10/01/23 | 0 <sup>(b)</sup> | 170 |
| &nbsp;&nbsp;&nbsp;7.00%, 12/01/23 | 0 <sup>(b)</sup> | 90 |
| &nbsp;&nbsp;&nbsp;7.00%, 01/01/24 | 0 <sup>(b)</sup> | 38 |
| &nbsp;&nbsp;&nbsp;7.00%, 02/01/24 | 0 <sup>(b)</sup> | 207 |
| &nbsp;&nbsp;&nbsp;7.00%, 02/01/24 | 1 | 705 |
| &nbsp;&nbsp;&nbsp;7.00%, 03/01/24 | 0 <sup>(b)</sup> | 196 |
| &nbsp;&nbsp;&nbsp;7.00%, 05/01/24 | 1 | 1025 |
| &nbsp;&nbsp;&nbsp;7.00%, 10/01/24 | 0 <sup>(b)</sup> | 11 |
| &nbsp;&nbsp;&nbsp;7.00%, 11/01/24 | 0 <sup>(b)</sup> | 169 |
| &nbsp;&nbsp;&nbsp;7.00%, 07/01/25 | 0 <sup>(b)</sup> | 4 |
| &nbsp;&nbsp;&nbsp;7.00%, 08/01/25 | 0 <sup>(b)</sup> | 182 |
| &nbsp;&nbsp;&nbsp;7.00%, 09/01/25 | 0 <sup>(b)</sup> | 102 |
| &nbsp;&nbsp;&nbsp;7.00%, 10/01/25 | 0 <sup>(b)</sup> | 119 |
| &nbsp;&nbsp;&nbsp;7.00%, 12/01/25 | 2 | 1754 |
| &nbsp;&nbsp;&nbsp;7.00%, 02/01/26 | 0 <sup>(b)</sup> | 189 |
| &nbsp;&nbsp;&nbsp;7.00%, 03/01/26 | 0 <sup>(b)</sup> | 362 |
| &nbsp;&nbsp;&nbsp;7.00%, 04/01/26 | 0 <sup>(b)</sup> | 90 |
| &nbsp;&nbsp;&nbsp;7.00%, 05/01/26 | 0 <sup>(b)</sup> | 1196 |
| &nbsp;&nbsp;&nbsp;7.00%, 08/01/26 | 0 <sup>(b)</sup> | 128 |
| &nbsp;&nbsp;&nbsp;7.00%, 11/01/26 | 2 | 2275 |
| &nbsp;&nbsp;&nbsp;7.00%, 02/01/27 | 0 <sup>(b)</sup> | 32 |
| &nbsp;&nbsp;&nbsp;7.00%, 04/01/27 | 0 <sup>(b)</sup> | 145 |
| &nbsp;&nbsp;&nbsp;7.00%, 07/01/27 | 0 <sup>(b)</sup> | 289 |
| &nbsp;&nbsp;&nbsp;7.00%, 08/01/27 | 1 | 1480 |
| &nbsp;&nbsp;&nbsp;7.00%, 09/01/27 | 0 <sup>(b)</sup> | 183 |
| &nbsp;&nbsp;&nbsp;7.00%, 09/01/27 | 1 | 644 |
| &nbsp;&nbsp;&nbsp;7.00%, 11/01/27 | 0 <sup>(b)</sup> | 188 |
| &nbsp;&nbsp;&nbsp;7.00%, 12/01/27 | 0 <sup>(b)</sup> | 181 |
| &nbsp;&nbsp;&nbsp;7.00%, 03/01/28 | 1 | 602 |
| &nbsp;&nbsp;&nbsp;7.00%, 04/01/28 | 0 <sup>(b)</sup> | 286 |
| &nbsp;&nbsp;&nbsp;7.00%, 04/01/28 | 2 | 1725 |
| &nbsp;&nbsp;&nbsp;7.00%, 07/01/28 | 0 <sup>(b)</sup> | 272 |
| &nbsp;&nbsp;&nbsp;7.00%, 07/01/28 | 1 | 662 |
| &nbsp;&nbsp;&nbsp;7.00%, 08/01/28 | 0 <sup>(b)</sup> | 348 |
| &nbsp;&nbsp;&nbsp;7.00%, 01/01/29 | 0 <sup>(b)</sup> | 444 |
| &nbsp;&nbsp;&nbsp;7.00%, 02/01/29 | 0 <sup>(b)</sup> | 694 |
| &nbsp;&nbsp;&nbsp;7.00%, 05/01/29 | 1 | 664 |
| &nbsp;&nbsp;&nbsp;7.00%, 06/01/29 | 1 | 589 |
| &nbsp;&nbsp;&nbsp;7.00%, 07/01/29 | 0 <sup>(b)</sup> | 47 |
| &nbsp;&nbsp;&nbsp;7.00%, 08/01/29 | 0 <sup>(b)</sup> | 166 |
| &nbsp;&nbsp;&nbsp;7.00%, 08/01/29 | 1 | 1165 |
| &nbsp;&nbsp;&nbsp;7.00%, 10/01/29 | 0 <sup>(b)</sup> | 127 |

---

---

| | |
|:---|:---|
| Schedule of Investments (unaudited) (continued) | **iShares<sup>®</sup> MBS ETF** |
| November 30, 2022 | **(Percentages shown are based on Net Assets)** |

---

---

| | | |
|:---|:---|:---|
| *Security* | *Par<br> (000)* | *Value* |
| **Mortgage-Backed Securities (continued)** |  |  |
| &nbsp;&nbsp;&nbsp;7.00%, 01/01/30 | $0 <sup>(b)</sup> | $81 |
| &nbsp;&nbsp;&nbsp;7.00%, 02/01/30 | 0 <sup>(b)</sup> | 231 |
| &nbsp;&nbsp;&nbsp;7.00%, 09/01/30 | 1 | 646 |
| &nbsp;&nbsp;&nbsp;7.00%, 12/01/30 | 0 <sup>(b)</sup> | 115 |
| &nbsp;&nbsp;&nbsp;7.00%, 02/01/31 | 0 <sup>(b)</sup> | 161 |
| &nbsp;&nbsp;&nbsp;7.00%, 09/01/31 | 1 | 561 |
| &nbsp;&nbsp;&nbsp;7.00%, 09/01/31 | 0 <sup>(b)</sup> | 253 |
| &nbsp;&nbsp;&nbsp;7.00%, 11/01/31 | 0 <sup>(b)</sup> | 50 |
| &nbsp;&nbsp;&nbsp;7.00%, 03/01/32 | 4 | 4253 |
| &nbsp;&nbsp;&nbsp;7.00%, 04/01/32 | 27 | 29366 |
| &nbsp;&nbsp;&nbsp;7.00%, 04/01/32 | 0 <sup>(b)</sup> | 300 |
| &nbsp;&nbsp;&nbsp;7.00%, 05/01/32 | 10 | 10854 |
| &nbsp;&nbsp;&nbsp;7.00%, 05/01/32 | 0 <sup>(b)</sup> | 368 |
| &nbsp;&nbsp;&nbsp;7.00%, 07/01/32 | 0 <sup>(b)</sup> | 504 |
| &nbsp;&nbsp;&nbsp;7.00%, 08/01/32 | 1 | 957 |
| &nbsp;&nbsp;&nbsp;7.00%, 10/01/32 | 0 <sup>(b)</sup> | 784 |
| &nbsp;&nbsp;&nbsp;7.00%, 12/01/32 | 10 | 10346 |
| &nbsp;&nbsp;&nbsp;7.00%, 01/01/36 | 2 | 2494 |
| &nbsp;&nbsp;&nbsp;7.00%, 07/01/36 | 1 | 870 |
| &nbsp;&nbsp;&nbsp;7.00%, 08/01/36 | 1 | 1038 |
| &nbsp;&nbsp;&nbsp;7.00%, 01/01/37 | 2 | 1675 |
| &nbsp;&nbsp;&nbsp;7.00%, 03/01/37 | 3 | 2644 |
| &nbsp;&nbsp;&nbsp;7.00%, 04/01/37 | 421 | 459761 |
| &nbsp;&nbsp;&nbsp;7.00%, 05/01/37 | 6 | 6790 |
| &nbsp;&nbsp;&nbsp;7.00%, 06/01/37 | 0 <sup>(b)</sup> | 270 |
| &nbsp;&nbsp;&nbsp;7.00%, 06/01/37 | 7 | 6998 |
| &nbsp;&nbsp;&nbsp;7.00%, 09/01/37 | 0 <sup>(b)</sup> | 492 |
| &nbsp;&nbsp;&nbsp;7.00%, 12/01/37 | 11 | 11911 |
| &nbsp;&nbsp;&nbsp;7.00%, 05/01/38 | 0 <sup>(b)</sup> | 490 |
| &nbsp;&nbsp;&nbsp;7.00%, 12/01/38 | 3 | 2974 |
| &nbsp;&nbsp;&nbsp;7.00%, 01/01/39 | 0 <sup>(b)</sup> | 430 |
| &nbsp;&nbsp;&nbsp;7.50%, 02/01/23 | 0 <sup>(b)</sup> | 1 |
| &nbsp;&nbsp;&nbsp;7.50%, 06/01/23 | 0 <sup>(b)</sup> | 14 |
| &nbsp;&nbsp;&nbsp;7.50%, 03/01/24 | 0 <sup>(b)</sup> | 28 |
| &nbsp;&nbsp;&nbsp;7.50%, 04/01/24 | 0 <sup>(b)</sup> | 211 |
| &nbsp;&nbsp;&nbsp;7.50%, 04/01/24 | 1 | 1015 |
| &nbsp;&nbsp;&nbsp;7.50%, 05/01/24 | 0 <sup>(b)</sup> | 100 |
| &nbsp;&nbsp;&nbsp;7.50%, 06/01/24 | 0 <sup>(b)</sup> | 20 |
| &nbsp;&nbsp;&nbsp;7.50%, 07/01/24 | 0 <sup>(b)</sup> | 364 |
| &nbsp;&nbsp;&nbsp;7.50%, 08/01/24 | 0 <sup>(b)</sup> | 146 |
| &nbsp;&nbsp;&nbsp;7.50%, 09/01/24 | 0 <sup>(b)</sup> | 31 |
| &nbsp;&nbsp;&nbsp;7.50%, 09/01/25 | 0 <sup>(b)</sup> | 126 |
| &nbsp;&nbsp;&nbsp;7.50%, 10/01/25 | 0 <sup>(b)</sup> | 180 |
| &nbsp;&nbsp;&nbsp;7.50%, 11/01/25 | 0 <sup>(b)</sup> | 370 |
| &nbsp;&nbsp;&nbsp;7.50%, 12/01/25 | 0 <sup>(b)</sup> | 264 |
| &nbsp;&nbsp;&nbsp;7.50%, 05/01/26 | 0 <sup>(b)</sup> | 103 |
| &nbsp;&nbsp;&nbsp;7.50%, 07/01/26 | 0 <sup>(b)</sup> | 12 |
| &nbsp;&nbsp;&nbsp;7.50%, 08/01/26 | 0 <sup>(b)</sup> | 96 |
| &nbsp;&nbsp;&nbsp;7.50%, 01/01/27 | 0 <sup>(b)</sup> | 23 |
| &nbsp;&nbsp;&nbsp;7.50%, 04/01/27 | 0 <sup>(b)</sup> | 301 |
| &nbsp;&nbsp;&nbsp;7.50%, 07/01/27 | 0 <sup>(b)</sup> | 463 |
| &nbsp;&nbsp;&nbsp;7.50%, 09/01/27 | 0 <sup>(b)</sup> | 65 |
| &nbsp;&nbsp;&nbsp;7.50%, 11/01/27 | 0 <sup>(b)</sup> | 101 |
| &nbsp;&nbsp;&nbsp;7.50%, 01/01/28 | 0 <sup>(b)</sup> | 161 |
| &nbsp;&nbsp;&nbsp;7.50%, 07/01/29 | 1 | 651 |
| &nbsp;&nbsp;&nbsp;7.50%, 08/01/29 | 4 | 3670 |
| &nbsp;&nbsp;&nbsp;7.50%, 08/01/29 | 0 <sup>(b)</sup> | 53 |
| &nbsp;&nbsp;&nbsp;7.50%, 09/01/29 | 1 | 697 |
| &nbsp;&nbsp;&nbsp;7.50%, 09/01/29 | 0 <sup>(b)</sup> | 816 |
| &nbsp;&nbsp;&nbsp;7.50%, 10/01/29 | 0 <sup>(b)</sup> | 69 |

---

---

| | | |
|:---|:---|:---|
| *Security* | *Par/<br> Shares <br> (000)* | *Value* |
| **Mortgage-Backed Securities (continued)** |  |  |
| &nbsp;&nbsp;&nbsp;7.50%, 05/01/30 | $0 <sup>(b)</sup> | $168 |
| &nbsp;&nbsp;&nbsp;7.50%, 06/01/30 | 0 <sup>(b)</sup> | 606 |
| &nbsp;&nbsp;&nbsp;7.50%, 12/01/30 | 0 <sup>(b)</sup> | 64 |
| &nbsp;&nbsp;&nbsp;7.50%, 12/01/30 | 2 | 1639 |
| &nbsp;&nbsp;&nbsp;7.50%, 01/01/31 | 0 <sup>(b)</sup> | 188 |
| &nbsp;&nbsp;&nbsp;7.50%, 03/01/31 | 0 <sup>(b)</sup> | 11 |
| &nbsp;&nbsp;&nbsp;7.50%, 05/01/31 | 2 | 2307 |
| &nbsp;&nbsp;&nbsp;7.50%, 05/01/31 | 0 <sup>(b)</sup> | 397 |
| &nbsp;&nbsp;&nbsp;7.50%, 06/01/31 | 0 <sup>(b)</sup> | 779 |
| &nbsp;&nbsp;&nbsp;7.50%, 07/01/32 | 0 <sup>(b)</sup> | 148 |
| &nbsp;&nbsp;&nbsp;7.50%, 10/01/32 | 0 <sup>(b)</sup> | 50 |
| &nbsp;&nbsp;&nbsp;7.50%, 03/01/33 | 2 | 2326 |
| &nbsp;&nbsp;&nbsp;7.50%, 06/01/33 | 0 <sup>(b)</sup> | 298 |
| &nbsp;&nbsp;&nbsp;7.50%, 12/01/37 | 0 <sup>(b)</sup> | 362 |
| &nbsp;&nbsp;&nbsp;8.00%, 10/01/23 | 0 <sup>(b)</sup> | 14 |
| &nbsp;&nbsp;&nbsp;8.00%, 07/01/24 | 0 <sup>(b)</sup> | 27 |
| &nbsp;&nbsp;&nbsp;8.00%, 08/01/25 | 0 <sup>(b)</sup> | 82 |
| &nbsp;&nbsp;&nbsp;8.00%, 10/01/25 | 0 <sup>(b)</sup> | 120 |
| &nbsp;&nbsp;&nbsp;8.00%, 12/01/25 | 0 <sup>(b)</sup> | 49 |
| &nbsp;&nbsp;&nbsp;8.00%, 01/01/26 | 0 <sup>(b)</sup> | 213 |
| &nbsp;&nbsp;&nbsp;8.00%, 09/01/26 | 1 | 791 |
| &nbsp;&nbsp;&nbsp;8.00%, 08/01/27 | 0 <sup>(b)</sup> | 124 |
| &nbsp;&nbsp;&nbsp;8.00%, 06/01/28 | 0 <sup>(b)</sup> | 121 |
| &nbsp;&nbsp;&nbsp;8.00%, 07/01/29 | 0 <sup>(b)</sup> | 195 |
| &nbsp;&nbsp;&nbsp;8.00%, 08/01/29 | 0 <sup>(b)</sup> | 437 |
| &nbsp;&nbsp;&nbsp;8.00%, 08/01/29 | 1 | 581 |
| &nbsp;&nbsp;&nbsp;8.00%, 04/01/30 | 0 <sup>(b)</sup> | 81 |
| &nbsp;&nbsp;&nbsp;8.00%, 06/01/30 | 0 <sup>(b)</sup> | 249 |
| &nbsp;&nbsp;&nbsp;8.00%, 10/01/30 | 0 <sup>(b)</sup> | 178 |
| &nbsp;&nbsp;&nbsp;8.50%, 06/01/25 | 0 <sup>(b)</sup> | 36 |
| &nbsp;&nbsp;&nbsp;8.50%, 09/01/25 | 0 <sup>(b)</sup> | 28 |
| &nbsp;&nbsp;&nbsp;8.50%, 12/01/25 | 0 <sup>(b)</sup> | 52 |
| &nbsp;&nbsp;&nbsp;8.50%, 12/01/26 | 0 <sup>(b)</sup> | 247 |
| &nbsp;&nbsp;&nbsp;8.50%, 03/01/27 | 1 | 1189 |
| &nbsp;&nbsp;&nbsp;8.50%, 04/01/30 | 1 | 712 |
| &nbsp;&nbsp;&nbsp;8.50%, 05/01/32 | 2 | 2086 |
| &nbsp;&nbsp;&nbsp;9.00%, 11/01/26 | 0 <sup>(b)</sup> | 14 |
| &nbsp;&nbsp;&nbsp;9.00%, 06/01/27 | 0 <sup>(b)</sup> | 278 |
| &nbsp;&nbsp;&nbsp;9.00%, 09/01/30 | 0 <sup>(b)</sup> | 274 |
| &nbsp;&nbsp;&nbsp;9.00%, 10/01/30 | 0 <sup>(b)</sup> | 85 |
|  |  | 23328236498 |
| **Total Long-Term Investments — 99.5%** |  |  |
| &nbsp;&nbsp;&nbsp;**(Cost: $25,718,855,195)** |  | 23328236498 |
| **Short-Term Securities** |  |  |
| **Money Market Funds — 8.9%** |  |  |
| BlackRock Cash Funds: Institutional, SL Agency Shares, 4.06%<sup>(d)(e)</sup> | 2096447 | 2096656157 |
| BlackRock Cash Funds: Treasury, SL Agency Shares, 3.64%<sup>(d)(e)</sup> | 100 | 100000 |
| **Total Short-Term Securities — 8.9%** |  |  |
| &nbsp;&nbsp;&nbsp;**(Cost: $2,095,904,468)** |  | 2096756157 |
| **Total Investments Before TBA Sales Commitments — 108.4%** |  |  |
| &nbsp;&nbsp;&nbsp;**(Cost: $27,814,759,663)** |  | 25424992655 |

---

---

| | |
|:---|:---|
| Schedule of Investments (unaudited) (continued) | **iShares<sup>®</sup> MBS ETF** |
| November 30, 2022 | **(Percentages shown are based on Net Assets)** |

---

---

| | | |
|:---|:---|:---|
| *Security* | *Par<br> (000)* | *Value* |
| **TBA Sales Commitments<sup>(c)</sup>** |  |  |
| **Mortgage-Backed Securities — (0.2)%** |  |  |
| Government National Mortgage Association, 3.00%, 12/20/52 | $(8825) | $(7969636) |
| Uniform Mortgage-Backed Securities, 5.00%, 12/13/52 | $(32301) | (32139495) |
| **Total TBA Sales Commitments — (0.2)%** |  |  |
| &nbsp;&nbsp;&nbsp;**(Proceeds: $(39609102))** |  | (40109131) |
| **Total Investments, Net of TBA Sales Commitments — 108.2%** |  |  |
| &nbsp;&nbsp;&nbsp;**(Cost: $27,775,150,561)** |  | 25384883524 |
| **Liabilities in Excess of Other Assets — (8.2)%** |  | (1932542835) |
| **Net Assets — 100.0%** |  | $23452340689 |

---

<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> Rounds to less than 1,000.

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

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

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

**Affiliates**

Investments in issuers considered to be affiliate(s) of the Fund during the period ended November 30, 2022 for purposes of Section 2(a)(3) of the Investment Company Act of 1940, as amended, were as follows:

---

| | | | | | | | | | |
|:---|:---|:---|:---|:---|:---|:---|:---|:---|:---|
| *Affiliated Issuer* | *Value at <br> 02/28/22* | *Purchases <br> at Cost* | *Proceeds <br> from Sale* | *Net Realized <br> Gain (Loss)* | *Change in <br> Unrealized <br> Appreciation <br> (Depreciation)* | *Value at <br> 11/30/22* | *Shares <br> Held at <br> 11/30/22 <br> (000)* | *Income* | *Capital Gain <br> Distributions from <br> Underlying Funds* |
| BlackRock Cash Funds: Institutional, SL Agency Shares | $3760436149 | $— | $(1663392905)<sup>(a)</sup> | $(774756) | $387669 | $2096656157 | 2096447 | $27165837 | $— |
| BlackRock Cash Funds: Treasury, SL Agency Shares | 100000 | 0 <sup>(a)</sup> |  |  |  | 100000 | 100 | 1234 |  |
|  |  |  |  | $(774756) | $387669 | $2096756157 |  | $27167071 | $— |

---

<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:

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

● 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

● 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.

---

| | |
|:---|:---|
| Schedule of Investments (unaudited) (continued) | **iShares<sup>®</sup> MBS ETF** |
| November 30, 2022 |  |

---

**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* |
| Investments |  |  |  |  |
| &nbsp;&nbsp;&nbsp;Assets |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;U.S. Government Agency Obligations | $— | $23328236498 | $— | $23328236498 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Money Market Funds | 2096756157 |  |  | 2096756157 |
|  | 2096756157 | 23328236498 |  | 25424992655 |
| &nbsp;&nbsp;&nbsp;Liabilities |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;TBA Sales Commitments |  | (40109131) |  | (40109131) |
|  | $2096756157 | $23288127367 | $— | $25384883524 |

---

**Portfolio Abbreviation**

LIBOR London Interbank Offered Rate <br> TBA To-Be-Announced

## Form NPORT-P: Monthly Portfolio Investments Report

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

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

- **a. Name of Registrant:** iShares Trust

- **b. Investment Company Act file number:** 811-09729

- **c. CIK number of Registrant:** 0001100663

- **d. LEI of Registrant:** 5493000860OXIC4B5K91

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

  - **Street Address 1:** 400 Howard Street

  - **City:** San Francisco

  - **State:** CA

  - **Foreign country:** US

  - **Zip / Postal Code:** 94105

  - **Telephone number:** 800-474-2737

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

- **a. Name of Series:** iShares MBS ETF

- **b. EDGAR series identifier (if any):** S000013702

- **c. LEI of Series:** 549300M0TH0IE2E6RP07

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

- **a. Date of fiscal year-end:** 2023-02-28

- **b. Date as of which information is reported:** 2022-11-30

**Item A.4. Final filing**

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

### Fund Information

**Total Assets:** $25304562176.20

**Total Liabilities:** $1851995989.56

**Net Assets:** $23452566186.64

**Currency Risk Metrics (dv01):**

- 

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

- **3-Month:** 38635.36000000 | **1-Year:** 45246.56000000 | **5-Year:** 5117756.09000000 | **10-Year:** 9593243.75000000 | **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 C000037544 | -5.01%               | -1.40%               | 4.06%                |

**Monthly Gains & Losses**

| Period   | Net Realized Gain/Loss   | Net Unrealized Appreciation/Depreciation   |
|:---|:---|:---|
| Month 1  | $-75230525.54            | $-1015617651.59                            |
| Month 2  | $-63834197.98            | $-225193572.54                             |
| Month 3  | $-6831555.61             | $851414863.68                              |

**Designated Index Information**

- **Index Name:** Bloomberg U.S. MBS Index

- **Index Identifier:** LUMSTRUU

### 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   |
|:---|:---|:---|:---|:---|:---|:---|---:|:---|:---|:---|:---|:---|:---|:---|---:|:---|
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31414GEH8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      70267 | PA      | $74116.75      | 0.00%             | 2038-01-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31416YK23<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       4711 | PA      | $4616.69       | 0.00%             | 2026-05-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138WGS70<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    5391350 | PA      | $5206891.81    | 0.02%             | 2046-03-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140Q9XM0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     401364 | PA      | $396627.18     | 0.00%             | 2048-10-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31412MAN8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       2805 | PA      | $2959.17       | 0.00%             | 2037-11-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3128PTGC3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       5720 | PA      | $5582.21       | 0.00%             | 2025-12-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138Y1DH5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       2100 | PA      | $2053.63       | 0.00%             | 2029-08-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140GQ4E3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     421974 | PA      | $393252.29     | 0.00%             | 2047-08-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae II Pool                               | CUSIP: 36179QPG0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    7088524 | PA      | $6730473.63    | 0.03%             | 2044-09-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3132D6NX4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   76209061 | PA      | $68585529.04   | 0.29%             | 2036-02-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138WBSH9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      18728 | PA      | $18672.49      | 0.00%             | 2044-05-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3128L8YM1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       4641 | PA      | $4738.43       | 0.00%             | 2038-04-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3132JBN33<br>LEI: 254900HROIFWPRGM1V77 | Long             | ABS-MBS          | USGSE             | US        |    1360292 | PA      | $1243082.67    | 0.01%             | 2043-07-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31418D4Y5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    2581798 | PA      | $2209461.16    | 0.01%             | 2051-10-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 31292K2X4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      13963 | PA      | $13972.12      | 0.00%             | 2040-08-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 36204PRE4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        487 | PA      | $487.42        | 0.00%             | 2024-05-15      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3128LXGT1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       4216 | PA      | $4377.72       | 0.00%             | 2036-01-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 31296NMW4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |        222 | PA      | $228.63        | 0.00%             | 2033-10-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140KVCC2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1427915 | PA      | $1184771.47    | 0.01%             | 2050-12-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140GXPM7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    5778909 | PA      | $5385567.26    | 0.02%             | 2047-12-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3128MDGN7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |        885 | PA      | $879.89        | 0.00%             | 2026-06-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31386LRK0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       1073 | PA      | $1105.80       | 0.00%             | 2030-04-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140F9Y25<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     394991 | PA      | $356948.91     | 0.00%             | 2046-05-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3132XXHD4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    4289179 | PA      | $3994762.24    | 0.02%             | 2048-03-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140LTHA5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    4705948 | PA      | $4032638.85    | 0.02%             | 2051-09-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140F0CF9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     322368 | PA      | $319285.03     | 0.00%             | 2047-02-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31410WKQ0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      16026 | PA      | $16654.70      | 0.00%             | 2037-06-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138X8C41<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     132461 | PA      | $132299.09     | 0.00%             | 2043-11-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3132A8G37<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     670663 | PA      | $642055.74     | 0.00%             | 2031-04-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140QQLR4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    6350779 | PA      | $6363626.86    | 0.03%             | 2052-10-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140K2XP4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    2344089 | PA      | $2168525.04    | 0.01%             | 2049-11-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140HMPJ7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    3147996 | PA      | $3113553.87    | 0.01%             | 2048-09-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140J76B6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     368278 | PA      | $335943.05     | 0.00%             | 2047-10-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31400RDJ7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      26859 | PA      | $27655.17      | 0.00%             | 2033-04-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31405SEG5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        839 | PA      | $851.56        | 0.00%             | 2035-08-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31415L4E4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       1261 | PA      | $1310.87       | 0.00%             | 2038-06-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140GST51<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     379507 | PA      | $358441.17     | 0.00%             | 2048-01-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138ELGR8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     181417 | PA      | $176250.05     | 0.00%             | 2041-12-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 31294T7M2<br>LEI: 254900HROIFWPRGM1V77 | Long             | ABS-MBS          | USGSE             | US        |     546683 | PA      | $530718.22     | 0.00%             | 2027-06-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31410QKJ9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       1277 | PA      | $1346.32       | 0.00%             | 2036-10-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31410KWY6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       9290 | PA      | $9796.96       | 0.00%             | 2037-03-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140QMPF5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    3102066 | PA      | $2718754.26    | 0.01%             | 2036-12-01      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 312936KM8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      19409 | PA      | $19837.82      | 0.00%             | 2039-10-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 31283GG68<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |         13 | PA      | $12.62         | 0.00%             | 2024-05-01      | Fixed         | 8.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3128MJXQ8<br>LEI: 254900HROIFWPRGM1V77 | Long             | ABS-MBS          | USGSE             | US        |    1679317 | PA      | $1520187.60    | 0.01%             | 2046-01-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138EP5H3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     210948 | PA      | $210323.31     | 0.00%             | 2045-02-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3128MJXK1<br>LEI: 254900HROIFWPRGM1V77 | Long             | ABS-MBS          | USGSE             | US        |    3147233 | PA      | $2940670.27    | 0.01%             | 2045-12-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3132DNVC4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    7849000 | PA      | $7820400.12    | 0.03%             | 2052-08-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140K8K83<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    2147659 | PA      | $1949138.00    | 0.01%             | 2050-01-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138W9B74<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      23492 | PA      | $22781.40      | 0.00%             | 2028-08-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 3617B65X6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      11073 | PA      | $10975.16      | 0.00%             | 2047-08-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 36225AUD0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        262 | PA      | $269.42        | 0.00%             | 2027-06-15      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3132DWBC6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     287280 | PA      | $246665.63     | 0.00%             | 2051-03-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 312932PN0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       1335 | PA      | $1335.82       | 0.00%             | 2039-04-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3133L8W50<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   17470230 | PA      | $15709152.99   | 0.07%             | 2037-01-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 36181JCW1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      40466 | PA      | $37161.10      | 0.00%             | 2043-09-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae II Pool                               | CUSIP: 36179RXJ3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     353148 | PA      | $376924.45     | 0.00%             | 2046-01-20      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140J86T5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     701723 | PA      | $666409.66     | 0.00%             | 2043-07-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140X93X1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     232552 | PA      | $214109.74     | 0.00%             | 2050-12-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138ERY87<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   12255167 | PA      | $11900249.15   | 0.05%             | 2045-07-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3128M4B77<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      46918 | PA      | $49528.99      | 0.00%             | 2036-12-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 31307MW85<br>LEI: 254900HROIFWPRGM1V77 | Long             | ABS-MBS          | USGSE             | US        |     229063 | PA      | $217272.94     | 0.00%             | 2030-05-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31404R4X2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       2020 | PA      | $2013.88       | 0.00%             | 2034-05-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3132QWPU7<br>LEI: 254900HROIFWPRGM1V77 | Long             | ABS-MBS          | USGSE             | US        |    2118776 | PA      | $1976912.28    | 0.01%             | 2046-03-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 31292KZW0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      11347 | PA      | $11353.62      | 0.00%             | 2040-02-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 36296UQP8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        652 | PA      | $671.86        | 0.00%             | 2039-02-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 36225B6V5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       1388 | PA      | $1469.32       | 0.00%             | 2034-08-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31412PQB0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     814260 | PA      | $831346.21     | 0.00%             | 2039-05-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 31329NKP2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     930476 | PA      | $845559.92     | 0.00%             | 2047-01-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31407HHS8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      26764 | PA      | $27170.55      | 0.00%             | 2035-10-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae II Pool                               | CUSIP: 36179WTZ1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   26332698 | PA      | $23816123.71   | 0.10%             | 2051-12-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138WGBA1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     378313 | PA      | $353146.47     | 0.00%             | 2045-12-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3132D6BM1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   45047351 | PA      | $39379921.88   | 0.17%             | 2037-03-01      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138AKWX3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       8278 | PA      | $8275.21       | 0.00%             | 2041-07-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae II Pool                               | CUSIP: 3617BVN52<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    1299454 | PA      | $1227511.02    | 0.01%             | 2047-12-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140HEJU7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1190066 | PA      | $1199907.29    | 0.01%             | 2049-01-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 31283HXM2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |        706 | PA      | $715.86        | 0.00%             | 2033-08-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 3620A6ZN0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      59651 | PA      | $58477.36      | 0.00%             | 2039-06-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3133KM4V4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   38570470 | PA      | $31809218.93   | 0.14%             | 2051-11-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3132GEK58<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       4281 | PA      | $4284.02       | 0.00%             | 2041-06-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3133AQD87<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    3891584 | PA      | $3322121.96    | 0.01%             | 2051-08-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 312938X57<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      16173 | PA      | $16181.91      | 0.00%             | 2040-01-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3131XB3K3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      16106 | PA      | $15352.26      | 0.00%             | 2031-04-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140FEFU3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     768207 | PA      | $748606.29     | 0.00%             | 2046-09-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3132WHAJ4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    1831236 | PA      | $1656552.87    | 0.01%             | 2046-10-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140JNQH6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1083203 | PA      | $1069237.74    | 0.00%             | 2049-02-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138EJNM6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |         40 | PA      | $39.94         | 0.00%             | 2025-05-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31409C4M4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       4348 | PA      | $4517.37       | 0.00%             | 2036-04-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3132J66Y5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    1081026 | PA      | $987879.75     | 0.00%             | 2043-02-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31408EBF8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       1277 | PA      | $1324.48       | 0.00%             | 2036-01-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae II Pool                               | CUSIP: 36179VQT0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     216291 | PA      | $196798.65     | 0.00%             | 2050-07-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140QLFF8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   28369816 | PA      | $24331688.30   | 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        |   31355856 | PA      | $29269969.70   | 0.12%             | 2046-02-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 313615TX4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |         38 | PA      | $37.64         | 0.00%             | 2024-01-01      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 31335AYT9<br>LEI: 254900HROIFWPRGM1V77 | Long             | ABS-MBS          | USGSE             | US        |   17262589 | PA      | $15621700.22   | 0.07%             | 2046-10-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140LTG57<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    2977639 | PA      | $2572534.43    | 0.01%             | 2051-09-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3132WJUX7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      98805 | PA      | $92189.33      | 0.00%             | 2046-12-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 31292KX93<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      33295 | PA      | $33314.02      | 0.00%             | 2039-09-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138WD6L0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     201091 | PA      | $181853.08     | 0.00%             | 2045-02-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138YNF28<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     490085 | PA      | $471162.01     | 0.00%             | 2030-06-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31379JK21<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        113 | PA      | $117.44        | 0.00%             | 2028-05-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 36207WWF7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        587 | PA      | $590.23        | 0.00%             | 2027-08-15      | Fixed         | 8.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138YNFX0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      17570 | PA      | $16649.48      | 0.00%             | 2030-06-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 31346Y7J6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     610108 | PA      | $546864.80     | 0.00%             | 2049-11-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3133G73V3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     418687 | PA      | $396130.36     | 0.00%             | 2035-03-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 36209TAY5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       3536 | PA      | $3628.63       | 0.00%             | 2028-11-15      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31371PB90<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        193 | PA      | $191.31        | 0.00%             | 2024-01-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3132L6HF1<br>LEI: 254900HROIFWPRGM1V77 | Long             | ABS-MBS          | USGSE             | US        |     292019 | PA      | $283286.33     | 0.00%             | 2044-04-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140XBKS8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   12699597 | PA      | $11816013.59   | 0.05%             | 2049-06-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140F4QZ2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     610904 | PA      | $552066.71     | 0.00%             | 2041-05-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140N2BG5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     965075 | PA      | $968942.78     | 0.00%             | 2052-09-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140KRQ85<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   28827526 | PA      | $24799566.04   | 0.11%             | 2050-11-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 31307T5H0<br>LEI: 254900HROIFWPRGM1V77 | Long             | ABS-MBS          | USGSE             | US        |     551394 | PA      | $536567.97     | 0.00%             | 2032-06-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae II Pool                               | CUSIP: 36179TQR9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     136071 | PA      | $134903.65     | 0.00%             | 2048-01-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138YT6G4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      10675 | PA      | $10318.64      | 0.00%             | 2045-10-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3132HRFY1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      60880 | PA      | $53990.61      | 0.00%             | 2043-01-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140LPJ45<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    8500826 | PA      | $7575937.36    | 0.03%             | 2051-06-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3133L8CY9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   32947754 | PA      | $29644675.31   | 0.13%             | 2036-03-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138X6KN4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      24989 | PA      | $23554.65      | 0.00%             | 2044-02-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 312936PP6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       1907 | PA      | $1907.74       | 0.00%             | 2039-10-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 31292LF91<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       7967 | PA      | $7519.31       | 0.00%             | 2042-04-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 3620AHLV3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      30243 | PA      | $30347.82      | 0.00%             | 2040-03-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae II Pool                               | CUSIP: 36179WG51<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    7900873 | PA      | $7395014.67    | 0.03%             | 2051-06-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31410KJE5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      79409 | PA      | $82540.88      | 0.00%             | 2038-06-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31417AJS9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       8298 | PA      | $8061.65       | 0.00%             | 2041-11-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140LXW43<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1028280 | PA      | $954696.22     | 0.00%             | 2051-09-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138A9LD4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      66581 | PA      | $66561.07      | 0.00%             | 2041-03-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140FFCB5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1106936 | PA      | $1077769.40    | 0.00%             | 2046-09-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 36291K5Y9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       4169 | PA      | $4266.38       | 0.00%             | 2035-08-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3133KMBV6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    1008453 | PA      | $864894.45     | 0.00%             | 2051-06-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140X5S38<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     104998 | PA      | $103758.91     | 0.00%             | 2049-02-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 36211YSR6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        231 | PA      | $238.24        | 0.00%             | 2030-02-15      | Fixed         | 8.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3128MMM75<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |        687 | PA      | $674.08        | 0.00%             | 2026-03-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3128LXGB0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      20082 | PA      | $20409.79      | 0.00%             | 2035-12-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3133A2GK0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    1287653 | PA      | $1254675.98    | 0.01%             | 2050-02-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3128Q0DK0<br>LEI: 254900HROIFWPRGM1V77 | Long             | ABS-MBS          | USGSE             | US        |      61348 | PA      | $59556.96      | 0.00%             | 2027-05-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 31292LV93<br>LEI: 254900HROIFWPRGM1V77 | Long             | ABS-MBS          | USGSE             | US        |    3600500 | PA      | $3398435.91    | 0.01%             | 2042-09-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140KG5Q2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1130164 | PA      | $1069304.26    | 0.00%             | 2035-07-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 3617G2V78<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     944388 | PA      | $886742.00     | 0.00%             | 2047-12-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140GTZ37<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     375349 | PA      | $364925.47     | 0.00%             | 2032-07-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae II Pool                               | CUSIP: 36202EW62<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     625119 | PA      | $676431.10     | 0.00%             | 2038-10-20      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae II Pool                               | CUSIP: 36179QT68<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     134320 | PA      | $134560.70     | 0.00%             | 2044-11-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3128MFKW7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    1935186 | PA      | $1821743.27    | 0.01%             | 2033-01-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae                                       | CUSIP: 21H0326C9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   95234000 | PA      | $88403936.56   | 0.38%             | 2052-12-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31418CV43<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     556039 | PA      | $549476.69     | 0.00%             | 2048-04-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3128KGHY7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       5183 | PA      | $5390.64       | 0.00%             | 2036-11-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae II Pool                               | CUSIP: 36179UXV9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    4210696 | PA      | $4172935.14    | 0.02%             | 2049-08-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3128KTQP8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       1471 | PA      | $1552.52       | 0.00%             | 2037-07-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138LVVN0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     491229 | PA      | $475640.47     | 0.00%             | 2032-06-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138WDYE5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    5720684 | PA      | $5561987.13    | 0.02%             | 2045-02-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3131XNHQ9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    2124801 | PA      | $1939835.76    | 0.01%             | 2043-07-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31412N4L7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        385 | PA      | $380.50        | 0.00%             | 2024-02-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae II Pool                               | CUSIP: 36179W2X5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     463734 | PA      | $442207.83     | 0.00%             | 2052-04-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 31283GP84<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |         12 | PA      | $12.18         | 0.00%             | 2026-02-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31407XTH4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       1328 | PA      | $1348.34       | 0.00%             | 2035-11-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140Q7NZ6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1641618 | PA      | $1529881.16    | 0.01%             | 2047-09-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138ABLM9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      89888 | PA      | $87327.94      | 0.00%             | 2041-03-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 31292GVT0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |        227 | PA      | $233.75        | 0.00%             | 2028-06-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31368HH30<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |         42 | PA      | $42.48         | 0.00%             | 2023-10-01      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 36241KMS4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       1992 | PA      | $2118.21       | 0.00%             | 2037-06-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 36176W2M2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     510774 | PA      | $500642.93     | 0.00%             | 2041-12-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31418CYM0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     307856 | PA      | $295943.75     | 0.00%             | 2048-07-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae II Pool                               | CUSIP: 36202FPH3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      54224 | PA      | $55725.49      | 0.00%             | 2041-01-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31403CZT1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       1894 | PA      | $1996.02       | 0.00%             | 2036-01-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| UMBS, TBA                                      | Uniform Mortgage-Backed Security, TBA            | CUSIP: 01F0124C7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   20917209 | PA      | $18331564.19   | 0.08%             | 2037-12-15      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3133BKXW4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    6031307 | PA      | $5703945.90    | 0.02%             | 2052-09-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138YGWZ1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     436298 | PA      | $397703.34     | 0.00%             | 2045-04-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140QBZF8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    4440954 | PA      | $4010655.21    | 0.02%             | 2048-03-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31371KHU8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       2156 | PA      | $2213.47       | 0.00%             | 2031-12-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae II Pool                               | CUSIP: 36179MCZ1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      99804 | PA      | $94901.91      | 0.00%             | 2042-05-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 312939HY0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       9226 | PA      | $9429.92       | 0.00%             | 2040-02-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae II Pool                               | CUSIP: 36179R4D8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    4860419 | PA      | $4459777.79    | 0.02%             | 2046-03-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140QA7F1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1557770 | PA      | $1508972.47    | 0.01%             | 2034-05-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31416YDT2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    5881588 | PA      | $5879867.49    | 0.03%             | 2041-04-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140H7Z42<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     828776 | PA      | $796942.55     | 0.00%             | 2048-01-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31418PT54<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      61005 | PA      | $63426.32      | 0.00%             | 2040-03-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31418PCS2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      31008 | PA      | $30184.40      | 0.00%             | 2040-12-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 36176CDL6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      31879 | PA      | $31991.52      | 0.00%             | 2041-09-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31403DLY3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        371 | PA      | $397.28        | 0.00%             | 2036-07-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 36178TSX5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    2558603 | PA      | $2349713.19    | 0.01%             | 2042-09-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138WHHW5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      49420 | PA      | $46528.06      | 0.00%             | 2031-06-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31416BS90<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       3058 | PA      | $3055.59       | 0.00%             | 2038-11-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 31339SQP3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   12235205 | PA      | $10926820.27   | 0.05%             | 2049-10-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3133G8QP9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    1095429 | PA      | $1036413.56    | 0.00%             | 2035-05-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae II Pool                               | CUSIP: 36178HX56<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     373341 | PA      | $343881.13     | 0.00%             | 2043-02-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3128M5K58<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      26948 | PA      | $28450.36      | 0.00%             | 2037-12-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 3620A7LP8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      16830 | PA      | $17405.78      | 0.00%             | 2039-10-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 36210F4L7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       2794 | PA      | $2856.57       | 0.00%             | 2029-07-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3133AQPG6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    8546469 | PA      | $7071446.86    | 0.03%             | 2051-07-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3132AA2B9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    1130470 | PA      | $1087512.92    | 0.00%             | 2046-04-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31416KBN7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       1633 | PA      | $1632.40       | 0.00%             | 2039-02-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae II Pool                               | CUSIP: 36179RQ51<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      76319 | PA      | $78444.16      | 0.00%             | 2045-10-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31418CLG7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     657996 | PA      | $613209.45     | 0.00%             | 2047-06-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3132DNRH8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   27071875 | PA      | $23996702.72   | 0.10%             | 2052-04-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140J9ZA2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    3269075 | PA      | $3129600.22    | 0.01%             | 2032-09-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140F8KT3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     277223 | PA      | $266682.27     | 0.00%             | 2046-06-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138X1V78<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      18849 | PA      | $17861.44      | 0.00%             | 2030-06-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31371FAH5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |         35 | PA      | $35.68         | 0.00%             | 2025-08-01      | Fixed         | 8.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140KTMK8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    6301693 | PA      | $5224316.50    | 0.02%             | 2050-11-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31416B3Q9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       2773 | PA      | $2969.75       | 0.00%             | 2039-03-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140F7P78<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     710274 | PA      | $667844.86     | 0.00%             | 2046-06-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae II Pool                               | CUSIP: 36179WG44<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   12657668 | PA      | $11469123.27   | 0.05%             | 2051-06-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140MBGE6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    2145931 | PA      | $1838150.94    | 0.01%             | 2052-02-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 31288BGU1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       2394 | PA      | $2506.03       | 0.00%             | 2032-11-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31416NCW0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      74739 | PA      | $74708.48      | 0.00%             | 2039-04-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 36184HKB9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      37902 | PA      | $33547.31      | 0.00%             | 2045-04-15      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31384WEY2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |         61 | PA      | $64.25         | 0.00%             | 2030-12-01      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3131YBPV4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    2347238 | PA      | $2252547.99    | 0.01%             | 2049-04-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31410GTY9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       2781 | PA      | $2932.99       | 0.00%             | 2037-12-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138ENBK4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      28426 | PA      | $28417.62      | 0.00%             | 2041-09-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31402RDG1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       1142 | PA      | $1201.02       | 0.00%             | 2035-04-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138WGG24<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     154122 | PA      | $148976.81     | 0.00%             | 2046-01-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae II Pool                               | CUSIP: 36179WJT6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     734881 | PA      | $687829.37     | 0.00%             | 2051-07-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140JGVW2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      21662 | PA      | $21840.89      | 0.00%             | 2048-09-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 31297SW84<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     436588 | PA      | $443714.36     | 0.00%             | 2035-08-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140KQU33<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    2541408 | PA      | $2251290.71    | 0.01%             | 2050-10-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 36241LH25<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     438621 | PA      | $452118.44     | 0.00%             | 2040-05-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3128MMNN9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       1106 | PA      | $1076.75       | 0.00%             | 2026-07-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140KGD34<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    2689159 | PA      | $2420232.57    | 0.01%             | 2050-06-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 31293LRL0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |        169 | PA      | $174.08        | 0.00%             | 2029-03-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31411JX50<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       2645 | PA      | $2789.59       | 0.00%             | 2037-02-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 312933J47<br>LEI: 254900HROIFWPRGM1V77 | Long             | ABS-MBS          | USGSE             | US        |     597670 | PA      | $616056.83     | 0.00%             | 2034-02-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31378XZG4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        567 | PA      | $585.57        | 0.00%             | 2028-01-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140GRA38<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     294083 | PA      | $297719.95     | 0.00%             | 2047-05-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140JLAL8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     499314 | PA      | $484675.51     | 0.00%             | 2049-01-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3128M7T48<br>LEI: 254900HROIFWPRGM1V77 | Long             | ABS-MBS          | USGSE             | US        |      21711 | PA      | $22587.25      | 0.00%             | 2038-08-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138ABRJ0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    4446408 | PA      | $4445108.09    | 0.02%             | 2041-04-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138WJCX4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   20421378 | PA      | $18454548.73   | 0.08%             | 2046-10-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138WGML5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1809143 | PA      | $1757029.60    | 0.01%             | 2046-02-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 36184KQ42<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     259421 | PA      | $245003.42     | 0.00%             | 2045-04-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140KLZS4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    2455335 | PA      | $2200191.27    | 0.01%             | 2050-08-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae II Pool                               | CUSIP: 3617G1GR3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    4945365 | PA      | $4671569.09    | 0.02%             | 2048-01-20      | 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        |     156145 | PA      | $155834.07     | 0.00%             | 2046-01-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae II Pool                               | CUSIP: 36180XZL0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     623512 | PA      | $625267.69     | 0.00%             | 2043-11-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 31335CC36<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     776332 | PA      | $747521.29     | 0.00%             | 2047-02-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3132Y1HK7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      75793 | PA      | $72934.16      | 0.00%             | 2048-07-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 3617KMGS0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     540112 | PA      | $506175.34     | 0.00%             | 2049-11-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140J7T39<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1702635 | PA      | $1603006.49    | 0.01%             | 2032-04-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138YNYD3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      13095 | PA      | $12536.37      | 0.00%             | 2030-06-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138YNEL7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     228862 | PA      | $216868.60     | 0.00%             | 2030-05-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3132XYQN0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      26419 | PA      | $25422.20      | 0.00%             | 2048-05-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31418PSZ9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     142500 | PA      | $142457.82     | 0.00%             | 2040-03-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 312942PM1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       4355 | PA      | $4358.05       | 0.00%             | 2040-09-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31417J5F3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       3379 | PA      | $3313.70       | 0.00%             | 2025-05-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 36296SDS1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       1476 | PA      | $1510.22       | 0.00%             | 2038-10-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3128LXJN1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       1214 | PA      | $1260.13       | 0.00%             | 2036-03-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3128MJ5E6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     157409 | PA      | $158889.46     | 0.00%             | 2048-10-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140GVS89<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     527574 | PA      | $499990.74     | 0.00%             | 2047-08-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140LWKC0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    4161778 | PA      | $3595573.33    | 0.02%             | 2051-10-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140F3BT4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     335748 | PA      | $326901.05     | 0.00%             | 2046-09-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140JMKV3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     171206 | PA      | $166213.15     | 0.00%             | 2034-01-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31385JNG9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        982 | PA      | $1017.06       | 0.00%             | 2032-07-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138WKZM0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    2132113 | PA      | $2062783.85    | 0.01%             | 2047-06-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140X9PY5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     561658 | PA      | $555144.48     | 0.00%             | 2048-06-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31390Y7F9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       4027 | PA      | $4210.12       | 0.00%             | 2032-11-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31386QFM8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |         10 | PA      | $10.79         | 0.00%             | 2031-03-01      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3132VPVD7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     688173 | PA      | $662495.12     | 0.00%             | 2049-05-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140FHRC3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     285809 | PA      | $249842.81     | 0.00%             | 2046-12-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 31292GQF6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |         86 | PA      | $87.77         | 0.00%             | 2026-04-01      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140X5CW1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    2587422 | PA      | $2426400.05    | 0.01%             | 2047-12-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138MRD40<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1269144 | PA      | $1186491.71    | 0.01%             | 2042-12-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138Y5DZ6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      79727 | PA      | $77565.84      | 0.00%             | 2027-07-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3128M7HB5<br>LEI: 254900HROIFWPRGM1V77 | Long             | ABS-MBS          | USGSE             | US        |     568648 | PA      | $577929.48     | 0.00%             | 2038-02-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae II Pool                               | CUSIP: 36179W5F1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    2945764 | PA      | $2881500.00    | 0.01%             | 2052-05-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 36208TZX1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |         29 | PA      | $30.02         | 0.00%             | 2028-02-15      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 36194X5T0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     499331 | PA      | $455909.96     | 0.00%             | 2046-07-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138A2BE8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     525334 | PA      | $495313.41     | 0.00%             | 2040-12-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 31306XUA9<br>LEI: 254900HROIFWPRGM1V77 | Long             | ABS-MBS          | USGSE             | US        |     370898 | PA      | $360067.09     | 0.00%             | 2027-09-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31416Y4B1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      14837 | PA      | $14833.11      | 0.00%             | 2041-09-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 36204GNW8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        130 | PA      | $130.70        | 0.00%             | 2024-08-15      | Fixed         | 8.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140XBNL0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     961312 | PA      | $824629.42     | 0.00%             | 2051-06-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31414MHD1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        807 | PA      | $822.68        | 0.00%             | 2038-03-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 36201UCF9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       1887 | PA      | $1943.55       | 0.00%             | 2032-11-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140EYGK1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     867860 | PA      | $827235.25     | 0.00%             | 2031-03-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 31335GA54<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |         28 | PA      | $27.56         | 0.00%             | 2023-04-01      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 36211DGJ3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        831 | PA      | $847.76        | 0.00%             | 2029-08-15      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 36294W6U7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       2030 | PA      | $2119.93       | 0.00%             | 2037-07-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140J9RY9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    2263686 | PA      | $2154899.13    | 0.01%             | 2044-05-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31385HQ88<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        134 | PA      | $139.07        | 0.00%             | 2030-05-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 36295L6G1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        797 | PA      | $819.90        | 0.00%             | 2038-08-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31384WDT4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        176 | PA      | $187.66        | 0.00%             | 2031-01-01      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138WXK22<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      97911 | PA      | $93906.03      | 0.00%             | 2028-08-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31417WGP0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       1013 | PA      | $996.48        | 0.00%             | 2024-12-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 312934DL3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      12753 | PA      | $12759.74      | 0.00%             | 2039-07-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3128M6JV1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       1446 | PA      | $1446.57       | 0.00%             | 2038-07-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae II Pool                               | CUSIP: 36179UEA6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    1824135 | PA      | $1807775.98    | 0.01%             | 2048-10-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3132VMF34<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    2164507 | PA      | $2092868.89    | 0.01%             | 2049-01-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3132L9V69<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    4057649 | PA      | $3779125.07    | 0.02%             | 2048-05-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 31292LPT6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      26829 | PA      | $25320.87      | 0.00%             | 2042-06-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140KS7L5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1250963 | PA      | $1036585.46    | 0.00%             | 2050-11-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3132DWC35<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     300124 | PA      | $266125.35     | 0.00%             | 2052-01-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 36230RVU7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      17229 | PA      | $16907.12      | 0.00%             | 2025-11-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140KBAM6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     783966 | PA      | $731279.18     | 0.00%             | 2050-05-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 3617GFX93<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      56113 | PA      | $52657.50      | 0.00%             | 2048-05-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3128K1K83<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       6558 | PA      | $6664.62       | 0.00%             | 2035-12-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140K5XW2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     111726 | PA      | $99935.64      | 0.00%             | 2050-01-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae II Pool                               | CUSIP: 36179QYR6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      27857 | PA      | $25635.47      | 0.00%             | 2045-01-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3128M6WE4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       6999 | PA      | $7384.10       | 0.00%             | 2036-05-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138Y6ME1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     384396 | PA      | $373263.71     | 0.00%             | 2044-12-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31418BR32<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     742120 | PA      | $703230.55     | 0.00%             | 2030-06-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3128M5SG6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      27336 | PA      | $28860.58      | 0.00%             | 2038-01-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3128PKWN0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |        200 | PA      | $198.92        | 0.00%             | 2023-05-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 36211Q4D0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      18061 | PA      | $18365.20      | 0.00%             | 2034-06-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 3620A5T74<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      10004 | PA      | $10038.40      | 0.00%             | 2040-02-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3128MBUA3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |         94 | PA      | $94.03         | 0.00%             | 2023-04-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31418CVE1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     507627 | PA      | $482664.33     | 0.00%             | 2033-03-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138WGQU1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1657446 | PA      | $1579859.87    | 0.01%             | 2031-03-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 312935PD5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       2409 | PA      | $2348.93       | 0.00%             | 2039-09-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 36297AKJ1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      25989 | PA      | $26761.23      | 0.00%             | 2039-01-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138EJP44<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       2659 | PA      | $2580.14       | 0.00%             | 2042-08-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3132CWG73<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     305412 | PA      | $289108.81     | 0.00%             | 2034-11-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 31283G4H7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |          2 | PA      | $2.18          | 0.00%             | 2023-12-01      | Fixed         | 8.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31380WKG8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        313 | PA      | $322.53        | 0.00%             | 2028-11-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 312930D64<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      12129 | PA      | $12301.24      | 0.00%             | 2033-09-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140QDF25<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    3676646 | PA      | $3582198.60    | 0.02%             | 2050-04-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3128MJQ37<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     154165 | PA      | $145501.06     | 0.00%             | 2042-01-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140X7B24<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     526228 | PA      | $509743.62     | 0.00%             | 2035-02-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31407NQC0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       1177 | PA      | $1174.23       | 0.00%             | 2035-08-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140FBP20<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     816449 | PA      | $790756.57     | 0.00%             | 2047-11-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3128LXE89<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       1158 | PA      | $1176.78       | 0.00%             | 2035-12-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 312941B71<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       9425 | PA      | $9431.79       | 0.00%             | 2040-06-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 36210APX9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       1496 | PA      | $1540.40       | 0.00%             | 2028-09-15      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140J9KU4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     482931 | PA      | $436419.26     | 0.00%             | 2047-12-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31418VWV0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       5275 | PA      | $5389.16       | 0.00%             | 2040-06-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 36296QPS2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       1562 | PA      | $1636.44       | 0.00%             | 2039-01-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138XXZ33<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     329947 | PA      | $313597.07     | 0.00%             | 2044-09-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 31329NZ27<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    1348017 | PA      | $1256251.39    | 0.01%             | 2048-01-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 36176W7E5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     100383 | PA      | $95403.56      | 0.00%             | 2042-01-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 36225AMW7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |         28 | PA      | $28.45         | 0.00%             | 2023-12-15      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3128KUJJ7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       5976 | PA      | $6309.02       | 0.00%             | 2037-08-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140FALQ3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     365019 | PA      | $329863.46     | 0.00%             | 2046-07-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138AALE9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       1665 | PA      | $1664.47       | 0.00%             | 2041-04-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae II Pool                               | CUSIP: 36179RZW2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     556263 | PA      | $571662.00     | 0.00%             | 2046-02-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3132M7LC0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      62379 | PA      | $60513.82      | 0.00%             | 2044-06-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3131Y0R53<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     626978 | PA      | $583415.15     | 0.00%             | 2048-03-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31417TP69<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      31057 | PA      | $31708.32      | 0.00%             | 2040-01-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31418ECC2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   80356779 | PA      | $70256431.52   | 0.30%             | 2037-03-01      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31418BKG0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      14544 | PA      | $13828.95      | 0.00%             | 2029-11-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3131XGLP1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    1287597 | PA      | $1287221.27    | 0.01%             | 2041-04-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140QNAK8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   26400567 | PA      | $23717601.87   | 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        |   18900464 | PA      | $17005064.08   | 0.07%             | 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        |    3211156 | PA      | $3090776.04    | 0.01%             | 2048-02-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae II Pool                               | CUSIP: 36179XDD5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    6549685 | PA      | $6245656.39    | 0.03%             | 2052-08-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138WERA9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    3341597 | PA      | $3021911.49    | 0.01%             | 2045-05-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140KVZM5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   39133391 | PA      | $32253633.65   | 0.14%             | 2051-02-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 31293A6A1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |         49 | PA      | $50.79         | 0.00%             | 2028-09-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31378GHM8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        638 | PA      | $658.87        | 0.00%             | 2027-12-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 36176B2D8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      37505 | PA      | $36760.93      | 0.00%             | 2041-04-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3133G9E47<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    2010209 | PA      | $1860552.54    | 0.01%             | 2035-07-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138YEDW4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      91246 | PA      | $83338.56      | 0.00%             | 2045-04-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138Y9SW9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     142402 | PA      | $132928.62     | 0.00%             | 2045-03-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140FPCG2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    5486630 | PA      | $5113181.95    | 0.02%             | 2047-06-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3132QTJP2<br>LEI: 254900HROIFWPRGM1V77 | Long             | ABS-MBS          | USGSE             | US        |     704146 | PA      | $681297.46     | 0.00%             | 2045-10-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140QKSF6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     515038 | PA      | $441888.28     | 0.00%             | 2051-05-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31371FBN1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        101 | PA      | $101.61        | 0.00%             | 2025-09-01      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 31307MN77<br>LEI: 254900HROIFWPRGM1V77 | Long             | ABS-MBS          | USGSE             | US        |      37336 | PA      | $35413.96      | 0.00%             | 2030-04-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140KB6N9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1861921 | PA      | $1750918.96    | 0.01%             | 2035-03-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140FSH22<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     871614 | PA      | $812428.71     | 0.00%             | 2047-01-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3133KKWE5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    9587657 | PA      | $7923109.69    | 0.03%             | 2050-12-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138WGU44<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     726896 | PA      | $688804.79     | 0.00%             | 2030-12-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae II Pool                               | CUSIP: 36179V4W7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    2686509 | PA      | $2442742.78    | 0.01%             | 2051-01-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3132QVXM8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      15188 | PA      | $14624.54      | 0.00%             | 2046-02-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140HD3G7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1251289 | PA      | $1213697.18    | 0.01%             | 2048-04-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 312930TT7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       6732 | PA      | $7108.40       | 0.00%             | 2039-01-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3128MMTF0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     930323 | PA      | $882438.02     | 0.00%             | 2030-04-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 36210QZD7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |         82 | PA      | $83.31         | 0.00%             | 2029-04-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138WJG44<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     606478 | PA      | $548066.93     | 0.00%             | 2046-11-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140LXNA9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   11427294 | PA      | $9759871.88    | 0.04%             | 2051-10-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3128MJMT4<br>LEI: 254900HROIFWPRGM1V77 | Long             | ABS-MBS          | USGSE             | US        |        983 | PA      | $1004.64       | 0.00%             | 2039-10-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3128LXAY6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |        477 | PA      | $502.47        | 0.00%             | 2035-05-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae II Pool                               | CUSIP: 36179N5W4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     213831 | PA      | $208558.66     | 0.00%             | 2044-03-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae II Pool                               | CUSIP: 36179WQA9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     317323 | PA      | $278788.12     | 0.00%             | 2051-10-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 3620A7Q24<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     114839 | PA      | $114007.09     | 0.00%             | 2024-11-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3129262Y3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       1054 | PA      | $1127.02       | 0.00%             | 2038-08-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140JMB27<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1007439 | PA      | $968457.24     | 0.00%             | 2049-01-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138X9WA3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      37633 | PA      | $34356.86      | 0.00%             | 2043-08-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3133A9MJ1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    1433606 | PA      | $1247974.80    | 0.01%             | 2050-08-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31417SJP6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        542 | PA      | $535.75        | 0.00%             | 2024-10-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3128MBQT7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |          1 | PA      | $0.99          | 0.00%             | 2023-01-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 36211EPU6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      16888 | PA      | $17588.62      | 0.00%             | 2035-02-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 36296JQ73<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       7453 | PA      | $7675.65       | 0.00%             | 2039-07-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140J9UE9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1625203 | PA      | $1562316.86    | 0.01%             | 2048-12-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140F54F7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     108858 | PA      | $103761.95     | 0.00%             | 2031-09-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140XDCU8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   29141905 | PA      | $24047582.90   | 0.10%             | 2051-10-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140X64B4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     466452 | PA      | $431310.48     | 0.00%             | 2035-06-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae II Pool                               | CUSIP: 36179WNE4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   39681451 | PA      | $34874875.63   | 0.15%             | 2051-09-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 3617JDES4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      16613 | PA      | $15569.21      | 0.00%             | 2049-10-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31382F2Q1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        385 | PA      | $395.98        | 0.00%             | 2029-02-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140M1WS9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    3100404 | PA      | $2555499.46    | 0.01%             | 2051-10-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3128M8ZL1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      27318 | PA      | $27336.42      | 0.00%             | 2041-10-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140L8C99<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1450673 | PA      | $1303153.61    | 0.01%             | 2036-05-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31418AAE8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      30793 | PA      | $30783.59      | 0.00%             | 2041-11-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 31283HS71<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |        113 | PA      | $117.94        | 0.00%             | 2032-08-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140EAUB7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     459828 | PA      | $429238.51     | 0.00%             | 2045-12-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 31329MUS7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     945567 | PA      | $870467.05     | 0.00%             | 2043-04-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3128F9MP2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |        756 | PA      | $760.03        | 0.00%             | 2026-03-01      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae II Pool                               | CUSIP: 36179SYS0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   13586788 | PA      | $12834565.89   | 0.05%             | 2047-03-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae II Pool                               | CUSIP: 3617WLWG7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    3774419 | PA      | $3219344.75    | 0.01%             | 2051-08-20      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 31306YZZ7<br>LEI: 254900HROIFWPRGM1V77 | Long             | ABS-MBS          | USGSE             | US        |      97334 | PA      | $94491.73      | 0.00%             | 2027-12-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138YSBU9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      10305 | PA      | $9865.16       | 0.00%             | 2030-08-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 31298MPS0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |        358 | PA      | $373.12        | 0.00%             | 2031-05-01      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3128LA7D6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       1891 | PA      | $1967.07       | 0.00%             | 2038-05-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 3620C4W71<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      97340 | PA      | $95425.97      | 0.00%             | 2040-10-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31414CQ92<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       6715 | PA      | $6847.80       | 0.00%             | 2038-03-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3131XKBG3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     390467 | PA      | $356652.92     | 0.00%             | 2042-09-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3128KGKW7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |        961 | PA      | $1024.45       | 0.00%             | 2036-11-01      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31384BCC8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |         67 | PA      | $68.63         | 0.00%             | 2029-10-01      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138WFRN8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      35100 | PA      | $32764.92      | 0.00%             | 2045-10-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3133KKLQ0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   37917762 | PA      | $32626376.64   | 0.14%             | 2050-11-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138WKQG3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      76528 | PA      | $73588.44      | 0.00%             | 2047-04-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138YEBP1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      19059 | PA      | $18059.87      | 0.00%             | 2030-04-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140FH3M7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     206652 | PA      | $204499.80     | 0.00%             | 2047-04-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 3617A0J98<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    1800960 | PA      | $1645877.85    | 0.01%             | 2045-08-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3132M53G5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      60620 | PA      | $61879.55      | 0.00%             | 2044-04-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138A2HG7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     100209 | PA      | $97546.18      | 0.00%             | 2041-01-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138EGRE6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     135845 | PA      | $141171.12     | 0.00%             | 2040-05-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31407KC31<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       2196 | PA      | $2229.63       | 0.00%             | 2035-09-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3132D6AR1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    3583159 | PA      | $3312579.31    | 0.01%             | 2036-08-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 36176HQD9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     259692 | PA      | $238490.10     | 0.00%             | 2042-04-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 36225AQ37<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |         13 | PA      | $13.28         | 0.00%             | 2023-12-15      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3133AUQ27<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    2012939 | PA      | $1855452.55    | 0.01%             | 2051-10-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3128MJFH8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       1426 | PA      | $1483.05       | 0.00%             | 2036-12-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138A9CE2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      16185 | PA      | $15723.72      | 0.00%             | 2041-03-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31416PNZ6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     827754 | PA      | $827419.60     | 0.00%             | 2039-05-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138Y3XV8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      19044 | PA      | $18456.84      | 0.00%             | 2044-10-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31368HMB6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        528 | PA      | $544.52        | 0.00%             | 2034-12-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138ABM30<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       3218 | PA      | $3133.29       | 0.00%             | 2026-04-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140J8CA9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    6017574 | PA      | $5493713.68    | 0.02%             | 2045-05-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3132QSRH3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      49180 | PA      | $47584.60      | 0.00%             | 2045-09-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140GUGQ4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     476905 | PA      | $474835.07     | 0.00%             | 2047-08-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 36200RUY6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        232 | PA      | $241.23        | 0.00%             | 2031-09-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 36176M3K7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      26109 | PA      | $25591.19      | 0.00%             | 2041-09-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31408EVD1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       6115 | PA      | $6342.67       | 0.00%             | 2035-11-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31419GCZ5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      84841 | PA      | $82807.64      | 0.00%             | 2025-10-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 36203LBT8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |         21 | PA      | $21.48         | 0.00%             | 2023-10-15      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31416YUC0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     103643 | PA      | $103612.72     | 0.00%             | 2041-07-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31402XER3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |         75 | PA      | $79.37         | 0.00%             | 2033-07-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 31292GTN6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |        249 | PA      | $257.06        | 0.00%             | 2027-10-01      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140J8EV1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     768470 | PA      | $716164.49     | 0.00%             | 2048-03-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140QCGQ3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    2330602 | PA      | $2160931.98    | 0.01%             | 2034-11-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140GTSL5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      13268 | PA      | $12477.18      | 0.00%             | 2032-08-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3133B0LK7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    1389305 | PA      | $1276055.77    | 0.01%             | 2051-12-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3128MJX88<br>LEI: 254900HROIFWPRGM1V77 | Long             | ABS-MBS          | USGSE             | US        |    1649495 | PA      | $1539051.52    | 0.01%             | 2046-04-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31418MHW5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     159185 | PA      | $157347.72     | 0.00%             | 2024-10-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138EPAM6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       2071 | PA      | $2064.64       | 0.00%             | 2044-11-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31391TAP3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       4580 | PA      | $4788.85       | 0.00%             | 2032-11-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3133G6XR1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      47658 | PA      | $45377.99      | 0.00%             | 2032-12-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 31339SHE8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     360517 | PA      | $363495.02     | 0.00%             | 2049-09-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 36213CXP0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       4391 | PA      | $4582.51       | 0.00%             | 2035-10-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31418DJT0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    3250538 | PA      | $3119533.61    | 0.01%             | 2049-12-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31407NEN9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       1824 | PA      | $1851.47       | 0.00%             | 2035-08-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3133B04Y6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    1411910 | PA      | $1163251.10    | 0.00%             | 2051-09-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31391K5X1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        692 | PA      | $720.46        | 0.00%             | 2032-05-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31418DTQ5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   31417072 | PA      | $25964664.36   | 0.11%             | 2050-10-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae                                       | CUSIP: 21H0206C4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |  177765000 | PA      | $151266904.69  | 0.64%             | 2052-12-20      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae II Pool                               | CUSIP: 3622A3AD2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    6273258 | PA      | $5925943.95    | 0.03%             | 2048-02-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3132DWCK7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    1603553 | PA      | $1423886.76    | 0.01%             | 2051-10-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 36203LFG2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |          8 | PA      | $7.70          | 0.00%             | 2023-06-15      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 36241LG59<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      19206 | PA      | $20075.77      | 0.00%             | 2040-03-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3128LDC69<br>LEI: 254900HROIFWPRGM1V77 | Long             | ABS-MBS          | USGSE             | US        |       4064 | PA      | $4189.35       | 0.00%             | 2034-10-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140JND49<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      20277 | PA      | $19953.59      | 0.00%             | 2049-02-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 31297SM44<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       1541 | PA      | $1566.30       | 0.00%             | 2035-08-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140Q9XX6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    2711887 | PA      | $2679880.04    | 0.01%             | 2048-10-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140FWDD3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     171441 | PA      | $166680.61     | 0.00%             | 2032-04-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3132XSUP3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     765379 | PA      | $713993.97     | 0.00%             | 2047-09-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3128M4GU1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |        832 | PA      | $878.08        | 0.00%             | 2037-02-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 3620A16R4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      13069 | PA      | $13485.38      | 0.00%             | 2039-07-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140JAVP0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     351994 | PA      | $340968.19     | 0.00%             | 2034-05-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140Q95B5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     265412 | PA      | $262279.72     | 0.00%             | 2048-11-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3132DN5R0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    4990966 | PA      | $4998997.51    | 0.02%             | 2052-10-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3132A8FF1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     196348 | PA      | $187972.51     | 0.00%             | 2031-02-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 312934CR1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      12912 | PA      | $12589.07      | 0.00%             | 2039-07-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138X3DP4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     406725 | PA      | $383379.49     | 0.00%             | 2043-08-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31414AG48<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       1659 | PA      | $1749.97       | 0.00%             | 2037-08-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140KQ2D2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     796681 | PA      | $769317.25     | 0.00%             | 2035-10-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 3617A0JA5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      28063 | PA      | $25646.56      | 0.00%             | 2045-07-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138X3BR2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     153985 | PA      | $140579.54     | 0.00%             | 2043-08-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140KPQG1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    6672313 | PA      | $5771980.80    | 0.02%             | 2050-11-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 31335AY85<br>LEI: 254900HROIFWPRGM1V77 | Long             | ABS-MBS          | USGSE             | US        |    5124461 | PA      | $5113640.30    | 0.02%             | 2046-06-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140FBE22<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     200094 | PA      | $184668.29     | 0.00%             | 2031-08-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140KQG54<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1603917 | PA      | $1325060.59    | 0.01%             | 2050-11-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3128MMVU4<br>LEI: 254900HROIFWPRGM1V77 | Long             | ABS-MBS          | USGSE             | US        |     252329 | PA      | $237794.99     | 0.00%             | 2032-01-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31400QUG6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       2201 | PA      | $2326.41       | 0.00%             | 2033-03-01      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 36296QKZ1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       3020 | PA      | $3030.96       | 0.00%             | 2039-03-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138Y4PF0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      17713 | PA      | $17166.99      | 0.00%             | 2044-10-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140Q8D77<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1076826 | PA      | $1065611.41    | 0.00%             | 2048-01-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140X8XP7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     229360 | PA      | $213401.92     | 0.00%             | 2049-06-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3132WMNJ9<br>LEI: 254900HROIFWPRGM1V77 | Long             | ABS-MBS          | USGSE             | US        |    1932617 | PA      | $1802866.86    | 0.01%             | 2047-04-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 312940XF1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       7653 | PA      | $7657.75       | 0.00%             | 2040-06-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31418RGE5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     900232 | PA      | $919735.92     | 0.00%             | 2040-04-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140JUQH0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1003127 | PA      | $968348.14     | 0.00%             | 2049-07-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 31292HBA1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |         67 | PA      | $71.15         | 0.00%             | 2030-03-01      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31402UTR3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       1013 | PA      | $1015.14       | 0.00%             | 2024-04-01      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140KVB66<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    5154151 | PA      | $4271603.20    | 0.02%             | 2050-12-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 36292EQ29<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       1092 | PA      | $1096.29       | 0.00%             | 2039-04-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138XSF85<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      25842 | PA      | $25765.86      | 0.00%             | 2044-04-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3128MJJW1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       3235 | PA      | $3415.47       | 0.00%             | 2038-06-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138XHCR0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      10766 | PA      | $10440.64      | 0.00%             | 2028-12-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 36208WFY4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        694 | PA      | $701.35        | 0.00%             | 2028-01-15      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138EQ7D8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    2642533 | PA      | $2567266.87    | 0.01%             | 2044-06-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138ANZF3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       2716 | PA      | $2638.69       | 0.00%             | 2041-08-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae II Pool                               | CUSIP: 36202FUF1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    2509531 | PA      | $2529552.35    | 0.01%             | 2041-06-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140XAZH8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    4902323 | PA      | $4537210.56    | 0.02%             | 2036-03-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140EU2G3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1372524 | PA      | $1308275.88    | 0.01%             | 2031-03-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 31296NGK7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       4380 | PA      | $4442.30       | 0.00%             | 2033-09-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31416CKR6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      23979 | PA      | $24292.49      | 0.00%             | 2037-07-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3132A7WJ6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    1088152 | PA      | $1044138.63    | 0.00%             | 2028-01-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138YTRR7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     625433 | PA      | $592658.71     | 0.00%             | 2030-07-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140XFLM1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1593366 | PA      | $1412132.72    | 0.01%             | 2052-01-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140QLMK9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     275869 | PA      | $228109.02     | 0.00%             | 2051-08-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 31307RD85<br>LEI: 254900HROIFWPRGM1V77 | Long             | ABS-MBS          | USGSE             | US        |     628869 | PA      | $600028.12     | 0.00%             | 2031-06-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140H9S95<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1546263 | PA      | $1394406.42    | 0.01%             | 2049-04-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31407KNV7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       1180 | PA      | $1197.65       | 0.00%             | 2035-09-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae II Pool                               | CUSIP: 36202FY75<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    1383567 | PA      | $1394604.92    | 0.01%             | 2041-11-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138A2WT2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      50273 | PA      | $47400.21      | 0.00%             | 2041-01-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3128MCGD1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       1669 | PA      | $1648.59       | 0.00%             | 2024-07-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138EHKF8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      12521 | PA      | $12164.16      | 0.00%             | 2041-11-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 36195JJ81<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     136485 | PA      | $124616.35     | 0.00%             | 2046-11-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31371L2M0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       5583 | PA      | $5758.27       | 0.00%             | 2035-02-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3131XXWJ6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     509635 | PA      | $474942.19     | 0.00%             | 2047-09-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138X5CJ4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      14749 | PA      | $14302.79      | 0.00%             | 2029-02-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140Q7X28<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    2604152 | PA      | $2504125.64    | 0.01%             | 2047-11-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138Y1DB8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      57632 | PA      | $58140.00      | 0.00%             | 2044-08-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 31297KGQ9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |        983 | PA      | $997.93        | 0.00%             | 2034-12-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31416XJZ4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       7790 | PA      | $7582.84       | 0.00%             | 2041-01-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140EXF73<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     181589 | PA      | $175526.94     | 0.00%             | 2046-02-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31418XQQ4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     138531 | PA      | $141532.15     | 0.00%             | 2040-09-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 36296UUE8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       1488 | PA      | $1533.72       | 0.00%             | 2039-03-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3133BHBE5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   14657829 | PA      | $13862246.36   | 0.06%             | 2052-08-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138WBSS5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      12641 | PA      | $12603.76      | 0.00%             | 2044-05-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140FDCM6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     121456 | PA      | $114361.62     | 0.00%             | 2046-08-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138ELQQ9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     848505 | PA      | $828205.90     | 0.00%             | 2043-09-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31419BC29<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      31613 | PA      | $31101.14      | 0.00%             | 2025-09-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31405WG74<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       5775 | PA      | $5853.71       | 0.00%             | 2034-10-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140JUD84<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1170492 | PA      | $1133826.05    | 0.00%             | 2034-06-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140K5X93<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1073783 | PA      | $1009735.36    | 0.00%             | 2035-01-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140Q8VZ5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    2297679 | PA      | $2173292.83    | 0.01%             | 2048-04-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31409EEF4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       1334 | PA      | $1386.29       | 0.00%             | 2036-04-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140X4QW9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   18482189 | PA      | $16714023.77   | 0.07%             | 2046-11-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140M1XA7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     985255 | PA      | $910711.01     | 0.00%             | 2051-10-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31410LBN1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       5127 | PA      | $5326.50       | 0.00%             | 2040-06-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31418CCE2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      34549 | PA      | $32932.11      | 0.00%             | 2031-08-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 3620A5MS5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       1051 | PA      | $1082.93       | 0.00%             | 2039-09-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3128LXB82<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |        476 | PA      | $502.00        | 0.00%             | 2035-07-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31412LCL2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        551 | PA      | $580.90        | 0.00%             | 2037-02-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31410LUP5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      52779 | PA      | $50255.37      | 0.00%             | 2032-08-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31415XKE0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       3390 | PA      | $3457.48       | 0.00%             | 2039-01-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3133G6X83<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     653287 | PA      | $645273.27     | 0.00%             | 2034-10-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140JHY56<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      77768 | PA      | $79768.89      | 0.00%             | 2048-11-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138YF6P4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     242192 | PA      | $235177.83     | 0.00%             | 2045-02-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 36296QN39<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     252067 | PA      | $259772.85     | 0.00%             | 2039-01-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138MQUF8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     470480 | PA      | $429704.78     | 0.00%             | 2042-12-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140JKTY2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1161388 | PA      | $1147680.81    | 0.00%             | 2049-01-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138ENTR0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     134882 | PA      | $137550.50     | 0.00%             | 2043-12-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3131XKNC9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     234413 | PA      | $221041.84     | 0.00%             | 2042-10-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138YLJ85<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      93048 | PA      | $85152.41      | 0.00%             | 2045-03-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 312931T32<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     254950 | PA      | $255093.76     | 0.00%             | 2039-03-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140F9V69<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     156319 | PA      | $145704.79     | 0.00%             | 2047-01-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 36290TCW7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       1993 | PA      | $2105.09       | 0.00%             | 2034-10-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 31283HEK7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |        140 | PA      | $144.87        | 0.00%             | 2029-06-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140K3K50<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     261001 | PA      | $250482.18     | 0.00%             | 2050-01-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138A9VZ4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     171351 | PA      | $166831.35     | 0.00%             | 2026-04-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138E6N36<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     149935 | PA      | $141366.24     | 0.00%             | 2041-12-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140KRLQ0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    8304347 | PA      | $7145351.89    | 0.03%             | 2050-10-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31417Y5E3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1426970 | PA      | $1423334.66    | 0.01%             | 2031-08-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140J9RC7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   45066156 | PA      | $41142916.99   | 0.18%             | 2044-07-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3132ACHR4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    2822707 | PA      | $2630553.75    | 0.01%             | 2048-01-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140GNL68<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     394612 | PA      | $373980.83     | 0.00%             | 2047-04-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae II Pool                               | CUSIP: 36179XDB9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   29383542 | PA      | $26516494.53   | 0.11%             | 2052-08-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 312938A78<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      17416 | PA      | $17426.07      | 0.00%             | 2039-12-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 31335BYT7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    4236168 | PA      | $3832076.44    | 0.02%             | 2047-10-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138E1M53<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     114363 | PA      | $111106.00     | 0.00%             | 2041-12-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 31335GEJ0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |         63 | PA      | $62.70         | 0.00%             | 2024-04-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31414UW46<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       1242 | PA      | $1280.55       | 0.00%             | 2035-01-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31382SE72<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        464 | PA      | $480.53        | 0.00%             | 2029-03-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3128M73E4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      28197 | PA      | $28215.95      | 0.00%             | 2040-05-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3132GKTS5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      80210 | PA      | $77998.62      | 0.00%             | 2041-11-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31365EBN2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        116 | PA      | $116.34        | 0.00%             | 2023-10-01      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138EJRG5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       2606 | PA      | $2527.36       | 0.00%             | 2027-09-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3128MJHP8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       1605 | PA      | $1694.61       | 0.00%             | 2037-12-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31400CF41<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       2698 | PA      | $2775.64       | 0.00%             | 2033-02-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 3620A2L79<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      15324 | PA      | $15377.88      | 0.00%             | 2039-04-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140X4N28<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1963403 | PA      | $1716328.08    | 0.01%             | 2047-02-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140HAZH6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     203523 | PA      | $201120.52     | 0.00%             | 2048-06-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31384WM72<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        374 | PA      | $397.30        | 0.00%             | 2031-05-01      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 312933G65<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      27282 | PA      | $27297.09      | 0.00%             | 2039-05-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140ECR92<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     561618 | PA      | $523482.12     | 0.00%             | 2046-05-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3132VMAW5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     769038 | PA      | $779529.10     | 0.00%             | 2049-01-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31418D4X7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  145214257 | PA      | $119644407.68  | 0.51%             | 2051-10-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 36176Q4K7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     284427 | PA      | $278786.05     | 0.00%             | 2042-01-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 36296NXX9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       2453 | PA      | $2502.60       | 0.00%             | 2038-08-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3133GAMX1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    4323018 | PA      | $3889708.62    | 0.02%             | 2035-11-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3128MJA59<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      23314 | PA      | $24070.61      | 0.00%             | 2034-12-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31372MCG9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        196 | PA      | $196.03        | 0.00%             | 2024-03-01      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138ERM49<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1112706 | PA      | $1065232.44    | 0.00%             | 2031-09-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 312940NZ8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       8051 | PA      | $8056.52       | 0.00%             | 2040-05-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3132M5RE4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      26462 | PA      | $26409.00      | 0.00%             | 2044-03-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae II Pool                               | CUSIP: 36202FP75<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      29904 | PA      | $30142.20      | 0.00%             | 2041-02-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138XSUX3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     104948 | PA      | $104939.03     | 0.00%             | 2034-06-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138A1AK7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1352865 | PA      | $1382175.42    | 0.01%             | 2040-12-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 36203N6W3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |         20 | PA      | $19.79         | 0.00%             | 2023-11-15      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31417GAT3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      54873 | PA      | $50118.46      | 0.00%             | 2043-04-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140Q7GX9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     282667 | PA      | $269150.54     | 0.00%             | 2032-08-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3128PRBV0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |        400 | PA      | $396.86        | 0.00%             | 2025-03-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31408D4D3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       9998 | PA      | $10370.22      | 0.00%             | 2035-12-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138W9TG5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       5735 | PA      | $5561.02       | 0.00%             | 2043-09-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140HMNV2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    2106831 | PA      | $2081965.04    | 0.01%             | 2048-10-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3132XUR23<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     442626 | PA      | $402428.05     | 0.00%             | 2047-11-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3133KKYV5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   16038373 | PA      | $13249909.97   | 0.06%             | 2050-12-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31418NXX3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      16527 | PA      | $16520.70      | 0.00%             | 2040-02-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3133KKWK1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   47394832 | PA      | $39166445.69   | 0.17%             | 2050-12-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31374TRZ4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        638 | PA      | $663.71        | 0.00%             | 2029-05-01      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3128MJ4X5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    1146293 | PA      | $1133873.97    | 0.00%             | 2048-09-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3132Y3RP1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     738310 | PA      | $739306.34     | 0.00%             | 2048-11-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3128MJJH4<br>LEI: 254900HROIFWPRGM1V77 | Long             | ABS-MBS          | USGSE             | US        |     219385 | PA      | $228261.82     | 0.00%             | 2038-04-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 36206FP22<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |         42 | PA      | $42.83         | 0.00%             | 2025-06-15      | Fixed         | 8.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae II Pool                               | CUSIP: 36179VFP0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   41234346 | PA      | $37575611.42   | 0.16%             | 2050-02-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31416TPU7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       1521 | PA      | $1498.43       | 0.00%             | 2024-07-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3132Y0R69<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     358840 | PA      | $345306.08     | 0.00%             | 2048-06-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31410Q5Y3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        369 | PA      | $388.79        | 0.00%             | 2036-11-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3128MJSY7<br>LEI: 254900HROIFWPRGM1V77 | Long             | ABS-MBS          | USGSE             | US        |     904304 | PA      | $826385.27     | 0.00%             | 2043-06-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31402CU67<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       8733 | PA      | $8847.31       | 0.00%             | 2034-03-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31417MAH6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       2436 | PA      | $2373.04       | 0.00%             | 2039-11-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31417YS32<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       8437 | PA      | $8434.52       | 0.00%             | 2040-10-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140J8GM9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     319818 | PA      | $298101.22     | 0.00%             | 2046-11-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3132DMUS2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   35012463 | PA      | $31452164.78   | 0.13%             | 2051-05-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138E4AF8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      28711 | PA      | $27891.18      | 0.00%             | 2027-01-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31417VWY5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       4126 | PA      | $4212.48       | 0.00%             | 2040-01-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140QBC63<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1884613 | PA      | $1900151.61    | 0.01%             | 2049-05-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae II Pool                               | CUSIP: 36179QL66<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    3139986 | PA      | $3062557.81    | 0.01%             | 2044-08-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140J8LN1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     619002 | PA      | $576970.36     | 0.00%             | 2046-10-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 31307QHV2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      23744 | PA      | $22655.01      | 0.00%             | 2031-03-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3132AD6P8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    2864808 | PA      | $2831000.20    | 0.01%             | 2049-03-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138XRAF6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      21745 | PA      | $20883.90      | 0.00%             | 2029-10-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3132QWP29<br>LEI: 254900HROIFWPRGM1V77 | Long             | ABS-MBS          | USGSE             | US        |     806703 | PA      | $776764.76     | 0.00%             | 2046-03-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138WA6S1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       9397 | PA      | $9111.85       | 0.00%             | 2044-02-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae II Pool                               | CUSIP: 36179VQU7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     429880 | PA      | $403776.66     | 0.00%             | 2050-07-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138YWKH9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     172875 | PA      | $165499.60     | 0.00%             | 2030-10-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140EUFU8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      82462 | PA      | $81859.66      | 0.00%             | 2046-01-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 36200WAU5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       8555 | PA      | $8811.88       | 0.00%             | 2031-12-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140F5RX3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      99862 | PA      | $93081.40      | 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        |    1760736 | PA      | $1694729.15    | 0.01%             | 2047-11-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae II Pool                               | CUSIP: 36202FGE0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      10066 | PA      | $10344.48      | 0.00%             | 2040-05-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31416T5G0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      33351 | PA      | $32484.25      | 0.00%             | 2039-08-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3132JMS59<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     101130 | PA      | $92416.26      | 0.00%             | 2043-08-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3133L8U52<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   33707632 | PA      | $30281119.71   | 0.13%             | 2037-01-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138WGL69<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     632769 | PA      | $590675.25     | 0.00%             | 2046-02-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31417EMZ1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     704187 | PA      | $643156.06     | 0.00%             | 2043-01-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31402CVY5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       3032 | PA      | $3071.27       | 0.00%             | 2034-02-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3128MMSV6<br>LEI: 254900HROIFWPRGM1V77 | Long             | ABS-MBS          | USGSE             | US        |     627382 | PA      | $603103.61     | 0.00%             | 2029-11-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 31329MMH0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     542755 | PA      | $507427.62     | 0.00%             | 2033-04-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 31283HSW6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |        671 | PA      | $698.66        | 0.00%             | 2032-07-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3132AA3W2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     737428 | PA      | $671406.56     | 0.00%             | 2046-09-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae II Pool                               | CUSIP: 36179RXD6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     380624 | PA      | $360913.96     | 0.00%             | 2046-01-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140XDKZ8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    5252277 | PA      | $4621608.53    | 0.02%             | 2036-10-01      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 3617G7G58<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    4796701 | PA      | $4503905.89    | 0.02%             | 2048-01-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138A46W0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     459664 | PA      | $451974.99     | 0.00%             | 2031-01-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3128L6YE3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       6929 | PA      | $7064.62       | 0.00%             | 2038-02-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 31287QFM8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       1364 | PA      | $1420.77       | 0.00%             | 2032-03-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3128M76V3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      47923 | PA      | $47954.72      | 0.00%             | 2040-08-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 3622A2DV1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     530529 | PA      | $487215.96     | 0.00%             | 2043-02-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae II Pool                               | CUSIP: 3622A2U26<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     313049 | PA      | $304887.38     | 0.00%             | 2045-09-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140LQVN7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    2760378 | PA      | $2275605.89    | 0.01%             | 2051-07-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 31307UGB8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     741846 | PA      | $698357.83     | 0.00%             | 2032-08-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140J6FB8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   11557648 | PA      | $10770975.82   | 0.05%             | 2047-11-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140FECL6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     319717 | PA      | $300618.15     | 0.00%             | 2046-09-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 36297HMX3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       5963 | PA      | $5983.94       | 0.00%             | 2039-05-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140XDX84<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    5095796 | PA      | $4573967.23    | 0.02%             | 2036-12-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140GYKA6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     560707 | PA      | $542474.53     | 0.00%             | 2048-02-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3128MMSH7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     110272 | PA      | $107930.95     | 0.00%             | 2029-07-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae II Pool                               | CUSIP: 3617W6U64<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     671148 | PA      | $577706.83     | 0.00%             | 2051-08-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3132GJLW7<br>LEI: 254900HROIFWPRGM1V77 | Long             | ABS-MBS          | USGSE             | US        |    1758284 | PA      | $1709810.37    | 0.01%             | 2041-09-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 312944PJ4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      47726 | PA      | $46503.05      | 0.00%             | 2040-12-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31418BRZ1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      16566 | PA      | $15859.48      | 0.00%             | 2030-06-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 31292HNH3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       1009 | PA      | $1044.11       | 0.00%             | 2032-02-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138WK3C7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    4815744 | PA      | $4540670.02    | 0.02%             | 2047-06-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31417EN98<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     182890 | PA      | $172460.57     | 0.00%             | 2043-01-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 36225ADU1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |         46 | PA      | $46.36         | 0.00%             | 2025-04-15      | Fixed         | 8.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3128MJYV6<br>LEI: 254900HROIFWPRGM1V77 | Long             | ABS-MBS          | USGSE             | US        |    1020438 | PA      | $982568.61     | 0.00%             | 2046-09-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138M9BU4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     447784 | PA      | $408975.03     | 0.00%             | 2042-10-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31387EFJ1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        259 | PA      | $268.62        | 0.00%             | 2031-07-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3128LAX21<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       2609 | PA      | $2663.87       | 0.00%             | 2038-05-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140EVTN7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      65404 | PA      | $57173.73      | 0.00%             | 2046-07-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31380KLV0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        210 | PA      | $217.34        | 0.00%             | 2028-10-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3128M7ZZ2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      27844 | PA      | $28971.05      | 0.00%             | 2040-02-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3131XJ7K2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    1766367 | PA      | $1665612.28    | 0.01%             | 2042-07-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3128MJLN8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       4788 | PA      | $4791.10       | 0.00%             | 2039-03-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 31287L6A5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       6066 | PA      | $6289.08       | 0.00%             | 2031-12-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3132GVL67<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       6422 | PA      | $5871.56       | 0.00%             | 2042-08-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138XUAP7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       8544 | PA      | $8206.09       | 0.00%             | 2029-08-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31417YYT8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       7030 | PA      | $6932.89       | 0.00%             | 2026-04-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31380BDM9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |          4 | PA      | $4.27          | 0.00%             | 2028-09-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 36200VET6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        336 | PA      | $345.23        | 0.00%             | 2032-01-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140K1XX9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     353193 | PA      | $356105.07     | 0.00%             | 2049-10-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138YTU69<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     197700 | PA      | $187340.23     | 0.00%             | 2030-06-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 3620AR4C2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       5737 | PA      | $5757.21       | 0.00%             | 2041-02-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 31307SAR4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     180265 | PA      | $169882.40     | 0.00%             | 2031-10-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 31283GWL7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       1965 | PA      | $1967.41       | 0.00%             | 2024-09-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31417CSN6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     879845 | PA      | $803590.38     | 0.00%             | 2042-08-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 36192SUX6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     150452 | PA      | $149146.90     | 0.00%             | 2046-02-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138A94Z4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       1814 | PA      | $1762.60       | 0.00%             | 2041-04-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3128PRT58<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       2642 | PA      | $2595.64       | 0.00%             | 2025-06-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138AJWE8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     474532 | PA      | $484829.81     | 0.00%             | 2041-07-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31417MLN1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      16176 | PA      | $16515.51      | 0.00%             | 2039-10-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140Q7DP9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1842885 | PA      | $1717449.28    | 0.01%             | 2047-08-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 36203MDG2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |         88 | PA      | $87.83         | 0.00%             | 2024-05-15      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31402UR87<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       9173 | PA      | $9144.97       | 0.00%             | 2033-10-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138WTUN4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    5492392 | PA      | $5014251.22    | 0.02%             | 2043-05-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae II Pool                               | CUSIP: 36179NF86<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      27699 | PA      | $27224.49      | 0.00%             | 2043-06-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140GNA29<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     266742 | PA      | $256015.32     | 0.00%             | 2047-06-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140F73S6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     123262 | PA      | $120060.81     | 0.00%             | 2031-09-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31418CKV5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     432390 | PA      | $390494.69     | 0.00%             | 2047-04-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31419GB94<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      81817 | PA      | $79642.89      | 0.00%             | 2040-10-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3133AYJU5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    2257893 | PA      | $1927491.27    | 0.01%             | 2051-12-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3132GDS86<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       8682 | PA      | $8688.21       | 0.00%             | 2041-05-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31418D2S0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1605802 | PA      | $1484533.46    | 0.01%             | 2036-07-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140KPQU0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    9277854 | PA      | $7977345.50    | 0.03%             | 2050-12-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 36205NBC9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |         80 | PA      | $80.22         | 0.00%             | 2024-04-15      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3128MMXK4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      65176 | PA      | $62028.11      | 0.00%             | 2033-03-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3128M6N38<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      10308 | PA      | $10883.54      | 0.00%             | 2038-07-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140JWFK1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     454741 | PA      | $430453.24     | 0.00%             | 2034-10-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140E0RN7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       6664 | PA      | $6221.12       | 0.00%             | 2045-10-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 36225BKS6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        254 | PA      | $275.51        | 0.00%             | 2030-07-15      | Fixed         | 8.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3128M4EM1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       5565 | PA      | $5647.49       | 0.00%             | 2034-11-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 36241KW46<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       7022 | PA      | $7357.25       | 0.00%             | 2038-11-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31406ST29<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       9860 | PA      | $10391.01      | 0.00%             | 2035-02-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3128MMKT9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |        982 | PA      | $970.75        | 0.00%             | 2024-04-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3132L87D3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     168195 | PA      | $156903.32     | 0.00%             | 2047-11-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140K5NM5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1221256 | PA      | $1047234.63    | 0.00%             | 2051-08-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3128PKL44<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |        123 | PA      | $122.61        | 0.00%             | 2023-04-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 3622A2XW7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    2680960 | PA      | $2450100.70    | 0.01%             | 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        |    1595597 | PA      | $1507614.15    | 0.01%             | 2046-12-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 36193UB29<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     304268 | PA      | $285845.59     | 0.00%             | 2046-06-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 36296AQZ0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       4935 | PA      | $5142.51       | 0.00%             | 2038-06-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 36290YYT9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |         64 | PA      | $65.45         | 0.00%             | 2033-12-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 312934C34<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      10727 | PA      | $10733.25      | 0.00%             | 2039-07-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31371LDH9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     100681 | PA      | $103666.59     | 0.00%             | 2033-10-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3132AD5X2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    1813508 | PA      | $1657424.85    | 0.01%             | 2046-12-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 36177YQV1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      54101 | PA      | $51428.51      | 0.00%             | 2042-05-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae II Pool                               | CUSIP: 36179W7K8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    2442689 | PA      | $2201020.65    | 0.01%             | 2052-06-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31419CBJ1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     472781 | PA      | $483024.02     | 0.00%             | 2040-08-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138WDJM4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    2984619 | PA      | $2892591.78    | 0.01%             | 2044-11-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138WJW53<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1958360 | PA      | $1866688.48    | 0.01%             | 2032-02-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3132Y2Z41<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     315186 | PA      | $318150.87     | 0.00%             | 2048-10-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae II Pool                               | CUSIP: 36179NQ43<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    1303918 | PA      | $1239166.97    | 0.01%             | 2043-10-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3132GRJG7<br>LEI: 254900HROIFWPRGM1V77 | Long             | ABS-MBS          | USGSE             | US        |    5321725 | PA      | $5175010.57    | 0.02%             | 2042-02-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3132GF5U7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       9437 | PA      | $9176.78       | 0.00%             | 2041-08-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3128PRCC1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |        387 | PA      | $380.55        | 0.00%             | 2025-03-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31417BG92<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     133724 | PA      | $128311.92     | 0.00%             | 2027-03-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 3620AKWN2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       1615 | PA      | $1648.68       | 0.00%             | 2040-05-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31416XEK2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      23912 | PA      | $23327.28      | 0.00%             | 2025-12-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31417YWB9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     317445 | PA      | $312134.90     | 0.00%             | 2031-02-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3133AM2A3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    4630682 | PA      | $3967399.86    | 0.02%             | 2051-07-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140GWQY2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     658757 | PA      | $624315.38     | 0.00%             | 2047-11-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31418UC51<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       5450 | PA      | $5379.51       | 0.00%             | 2025-05-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3128PVLM0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |        936 | PA      | $913.40        | 0.00%             | 2026-06-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140JNWG1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    3531627 | PA      | $3267120.02    | 0.01%             | 2049-04-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 36202VYA3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       2230 | PA      | $2279.39       | 0.00%             | 2034-06-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae II Pool                               | CUSIP: 36179UB92<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    1588992 | PA      | $1458267.71    | 0.01%             | 2048-09-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140MMT73<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    4759513 | PA      | $4078357.83    | 0.02%             | 2052-04-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31381FF21<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |         27 | PA      | $28.20         | 0.00%             | 2029-02-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140X4WX0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    3963155 | PA      | $3816511.33    | 0.02%             | 2049-09-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138NY4N2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    2212546 | PA      | $2028866.12    | 0.01%             | 2043-02-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138WDKV2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1541446 | PA      | $1493917.11    | 0.01%             | 2044-11-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31410KDT8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        878 | PA      | $925.59        | 0.00%             | 2037-11-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3132WF6S3<br>LEI: 254900HROIFWPRGM1V77 | Long             | ABS-MBS          | USGSE             | US        |      48118 | PA      | $46724.64      | 0.00%             | 2046-08-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae II Pool                               | CUSIP: 36179SZU4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     284368 | PA      | $264548.72     | 0.00%             | 2032-04-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae II Pool                               | CUSIP: 36202FNW2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       4001 | PA      | $4216.36       | 0.00%             | 2040-12-20      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138ECEV1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      17459 | PA      | $16463.25      | 0.00%             | 2042-03-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138AHXR2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      26279 | PA      | $26271.43      | 0.00%             | 2041-06-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31418DHB1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     468624 | PA      | $462886.94     | 0.00%             | 2034-10-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 31306XEA7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     152293 | PA      | $146268.68     | 0.00%             | 2027-08-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138X5HP5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     178220 | PA      | $168497.28     | 0.00%             | 2028-08-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140QKY93<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     344491 | PA      | $307244.10     | 0.00%             | 2051-06-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140QNE24<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     350244 | PA      | $288517.44     | 0.00%             | 2051-11-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3128PVBS8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      11064 | PA      | $10852.32      | 0.00%             | 2026-05-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140QLY42<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   83811518 | PA      | $71794965.25   | 0.31%             | 2051-09-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 36201GVS1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       1656 | PA      | $1626.68       | 0.00%             | 2034-06-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 36207JM75<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |         47 | PA      | $47.49         | 0.00%             | 2027-01-15      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138EQHG0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     228181 | PA      | $223134.54     | 0.00%             | 2030-08-01      | 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        |       4480 | PA      | $4495.89       | 0.00%             | 2039-07-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31418CML5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     341004 | PA      | $329236.52     | 0.00%             | 2032-05-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31384VQL9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |         64 | PA      | $67.61         | 0.00%             | 2030-02-01      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31414AEC2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       5637 | PA      | $5945.99       | 0.00%             | 2037-11-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31418CPQ1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     621058 | PA      | $591964.90     | 0.00%             | 2027-09-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140J74Y8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     575581 | PA      | $558161.01     | 0.00%             | 2030-07-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 312929GG1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |        126 | PA      | $130.89        | 0.00%             | 2038-11-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3131XVHC2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     455178 | PA      | $414451.47     | 0.00%             | 2046-11-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3133KL2H9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    2388837 | PA      | $2048890.27    | 0.01%             | 2051-05-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138AHPM2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      64769 | PA      | $64968.98      | 0.00%             | 2041-08-01      | Floating      | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31416XEP1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     380574 | PA      | $371517.78     | 0.00%             | 2025-12-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3132M8C79<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       2618 | PA      | $2539.99       | 0.00%             | 2044-08-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae II Pool                               | CUSIP: 36179MG95<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       5470 | PA      | $5692.04       | 0.00%             | 2042-07-20      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31418BKN5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       5263 | PA      | $5247.40       | 0.00%             | 2044-11-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3128F4W72<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |        293 | PA      | $296.37        | 0.00%             | 2025-11-01      | Fixed         | 8.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 36178WGS2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    2232255 | PA      | $2050008.85    | 0.01%             | 2042-11-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138XDVQ0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       3077 | PA      | $2982.52       | 0.00%             | 2045-01-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 31307UPJ1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    1105119 | PA      | $1040336.30    | 0.00%             | 2032-09-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3128MJVK3<br>LEI: 254900HROIFWPRGM1V77 | Long             | ABS-MBS          | USGSE             | US        |     570919 | PA      | $569781.46     | 0.00%             | 2044-11-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31406AT69<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        871 | PA      | $882.38        | 0.00%             | 2034-12-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3133A1QR6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     960108 | PA      | $895049.91     | 0.00%             | 2050-02-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 31335GE68<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |         32 | PA      | $32.61         | 0.00%             | 2024-05-01      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3128M7XB7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      49725 | PA      | $50823.67      | 0.00%             | 2040-01-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31403DST7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       1419 | PA      | $1463.85       | 0.00%             | 2036-04-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140KTPU3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   17409051 | PA      | $15660417.79   | 0.07%             | 2035-11-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138W94X5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       2821 | PA      | $2882.28       | 0.00%             | 2043-10-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31371FBH4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |         62 | PA      | $62.67         | 0.00%             | 2025-09-01      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140QBVZ8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    4707481 | PA      | $4456054.17    | 0.02%             | 2034-09-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 36225BEU8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       1675 | PA      | $1718.08       | 0.00%             | 2029-06-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140Q8KR5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     461968 | PA      | $444223.94     | 0.00%             | 2048-02-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140Q9DP5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1277871 | PA      | $1262788.69    | 0.01%             | 2048-06-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 31288HSW1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       2986 | PA      | $3077.73       | 0.00%             | 2033-04-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3128KMBA2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       3760 | PA      | $3969.53       | 0.00%             | 2037-03-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 36211DUU2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        882 | PA      | $910.45        | 0.00%             | 2029-07-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 36210QXR8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |         45 | PA      | $45.74         | 0.00%             | 2029-01-15      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31413B4V0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       2045 | PA      | $2125.45       | 0.00%             | 2037-07-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3128M6MW5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      32910 | PA      | $34241.17      | 0.00%             | 2038-07-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140QMBZ6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   14069994 | PA      | $11606205.73   | 0.05%             | 2051-10-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3128PYUK8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      16237 | PA      | $16210.26      | 0.00%             | 2027-04-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3128MJAR1<br>LEI: 254900HROIFWPRGM1V77 | Long             | ABS-MBS          | USGSE             | US        |      64056 | PA      | $66134.20      | 0.00%             | 2034-10-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31419FA89<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    2316928 | PA      | $2316250.44    | 0.01%             | 2041-05-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140MGLC3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   67303534 | PA      | $55306513.87   | 0.24%             | 2052-02-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140FQTQ0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     590917 | PA      | $558756.35     | 0.00%             | 2046-09-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3132J65H3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     842657 | PA      | $796205.02     | 0.00%             | 2043-02-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae II Pool                               | CUSIP: 36179TNS0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    4727678 | PA      | $4590804.43    | 0.02%             | 2047-12-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3132WH6K6<br>LEI: 254900HROIFWPRGM1V77 | Long             | ABS-MBS          | USGSE             | US        |     551138 | PA      | $514236.64     | 0.00%             | 2046-11-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3128M5EW6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       1223 | PA      | $1290.71       | 0.00%             | 2037-10-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138WHL34<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1066905 | PA      | $994459.24     | 0.00%             | 2046-07-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31385XNR4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       2870 | PA      | $2955.25       | 0.00%             | 2033-10-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 31296MKJ7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      30389 | PA      | $30820.18      | 0.00%             | 2033-09-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3128PS5X1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     418155 | PA      | $408459.96     | 0.00%             | 2025-11-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 3617BMR66<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     118358 | PA      | $111133.07     | 0.00%             | 2047-10-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 3620ALUJ1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     101347 | PA      | $101697.43     | 0.00%             | 2040-09-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140KT7L3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     968741 | PA      | $896592.09     | 0.00%             | 2036-02-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 31292HNG5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       1143 | PA      | $1229.54       | 0.00%             | 2031-12-01      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31407H6Q4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      16702 | PA      | $17892.34      | 0.00%             | 2036-08-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140FUNM6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      69428 | PA      | $68763.97      | 0.00%             | 2047-02-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 36295HKM1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       7312 | PA      | $7710.47       | 0.00%             | 2037-12-15      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 36225BLL0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        949 | PA      | $993.00        | 0.00%             | 2030-12-15      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31410GZ97<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       9302 | PA      | $9855.71       | 0.00%             | 2034-08-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31415SSQ6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       1485 | PA      | $1543.19       | 0.00%             | 2038-08-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138W1SW8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     604339 | PA      | $551728.36     | 0.00%             | 2043-02-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138EMDN8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      54225 | PA      | $54159.05      | 0.00%             | 2043-12-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31417YBT3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       5976 | PA      | $6212.88       | 0.00%             | 2039-04-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 312935ZC6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |        975 | PA      | $990.74        | 0.00%             | 2037-06-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 36180DX51<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      15951 | PA      | $15169.28      | 0.00%             | 2043-06-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31417W7K1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       4536 | PA      | $4475.01       | 0.00%             | 2025-04-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31418D6B3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  145438484 | PA      | $119806575.80  | 0.51%             | 2051-11-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 36194TZ58<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    1052707 | PA      | $988969.37     | 0.00%             | 2046-10-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3133BH3A2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   29941387 | PA      | $28316258.80   | 0.12%             | 2052-08-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31418CWU4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1913540 | PA      | $1890955.40    | 0.01%             | 2048-05-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 312932UX2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      15023 | PA      | $15635.92      | 0.00%             | 2039-05-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae II Pool                               | CUSIP: 36179QWE7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    2012413 | PA      | $1910763.08    | 0.01%             | 2044-12-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140JXUS5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1843835 | PA      | $1662753.83    | 0.01%             | 2049-10-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 36292GS89<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       1781 | PA      | $1837.39       | 0.00%             | 2035-12-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138M7MG7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     232456 | PA      | $212309.25     | 0.00%             | 2042-09-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 31288D7L7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |        715 | PA      | $748.75        | 0.00%             | 2033-01-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 31306XQY2<br>LEI: 254900HROIFWPRGM1V77 | Long             | ABS-MBS          | USGSE             | US        |     274709 | PA      | $266686.81     | 0.00%             | 2027-09-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 3620AEEJ5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       4211 | PA      | $4225.93       | 0.00%             | 2040-03-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 36210NAX7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |         83 | PA      | $85.73         | 0.00%             | 2029-04-15      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138WFKF2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1181747 | PA      | $1068691.07    | 0.00%             | 2045-08-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 31307STN3<br>LEI: 254900HROIFWPRGM1V77 | Long             | ABS-MBS          | USGSE             | US        |    7300534 | PA      | $6880032.99    | 0.03%             | 2031-12-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31410KNA8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        365 | PA      | $379.44        | 0.00%             | 2038-07-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138WMFX4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     153623 | PA      | $140248.95     | 0.00%             | 2043-03-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae II Pool                               | CUSIP: 36179SGL5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    2547467 | PA      | $2410008.11    | 0.01%             | 2046-07-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 31283HC94<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |        145 | PA      | $150.43        | 0.00%             | 2028-11-01      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3128MJWB2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      49540 | PA      | $46288.95      | 0.00%             | 2045-05-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3131YDD92<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     778134 | PA      | $736597.14     | 0.00%             | 2034-05-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138X2PG3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     654408 | PA      | $627640.27     | 0.00%             | 2028-05-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31418AKW7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     166674 | PA      | $152228.56     | 0.00%             | 2042-10-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 31294MNR8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      24766 | PA      | $23785.94      | 0.00%             | 2027-03-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31417YZA8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     359540 | PA      | $367342.58     | 0.00%             | 2041-05-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3131XJT36<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     233506 | PA      | $227921.59     | 0.00%             | 2042-07-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3128KD4K8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       1787 | PA      | $1886.86       | 0.00%             | 2036-08-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31402E6Q6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       3991 | PA      | $3979.05       | 0.00%             | 2033-09-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31416PVL8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       1024 | PA      | $1010.97       | 0.00%             | 2024-05-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31408HA88<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       2066 | PA      | $2146.40       | 0.00%             | 2036-02-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31417WK26<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       2330 | PA      | $2263.73       | 0.00%             | 2041-10-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140X8PS0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     271907 | PA      | $244595.27     | 0.00%             | 2035-12-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3131XJS60<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      29430 | PA      | $27751.42      | 0.00%             | 2042-06-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31389AR62<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |         48 | PA      | $49.57         | 0.00%             | 2031-11-01      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138EHRM6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     158688 | PA      | $154111.61     | 0.00%             | 2027-01-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140E8X86<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      42467 | PA      | $41049.48      | 0.00%             | 2045-11-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31417FP36<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     415244 | PA      | $398259.43     | 0.00%             | 2028-03-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 31292HQU1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       1064 | PA      | $1143.50       | 0.00%             | 2032-05-01      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31412UH52<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       6461 | PA      | $6596.55       | 0.00%             | 2039-03-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138WKQY4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    2321924 | PA      | $2299930.00    | 0.01%             | 2047-04-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31379KD26<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       1699 | PA      | $1724.56       | 0.00%             | 2028-04-01      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31418UWG5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      50354 | PA      | $52352.82      | 0.00%             | 2040-06-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 36291YHH3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       2186 | PA      | $2296.32       | 0.00%             | 2036-07-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3128PVLA6<br>LEI: 254900HROIFWPRGM1V77 | Long             | ABS-MBS          | USGSE             | US        |     179731 | PA      | $175022.27     | 0.00%             | 2026-06-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140K2PR9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1863362 | PA      | $1673997.15    | 0.01%             | 2036-05-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31417WSR3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1254598 | PA      | $1254091.39    | 0.01%             | 2040-01-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138EJHN1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       6130 | PA      | $5948.68       | 0.00%             | 2042-06-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3133GCCB6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    3680494 | PA      | $3305479.92    | 0.01%             | 2036-03-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3128PYPC2<br>LEI: 254900HROIFWPRGM1V77 | Long             | ABS-MBS          | USGSE             | US        |      83673 | PA      | $81229.67      | 0.00%             | 2027-04-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31417DCZ4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     279771 | PA      | $255536.41     | 0.00%             | 2042-10-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140EULG2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1255642 | PA      | $1172112.63    | 0.00%             | 2045-12-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3133GBQL1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    2161798 | PA      | $1946377.94    | 0.01%             | 2036-01-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140QBS74<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    2997261 | PA      | $2699443.20    | 0.01%             | 2049-09-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138XMGE4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     981772 | PA      | $959175.42     | 0.00%             | 2044-03-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3133G6DJ1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     889600 | PA      | $842112.61     | 0.00%             | 2034-06-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31411LQV6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      11494 | PA      | $11688.18      | 0.00%             | 2037-02-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 36183X2R0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      17002 | PA      | $16057.54      | 0.00%             | 2045-03-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31401CD83<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        352 | PA      | $373.14        | 0.00%             | 2033-05-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3133BJFE7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    8164387 | PA      | $7720783.48    | 0.03%             | 2052-08-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140JR6U0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    3647697 | PA      | $3372226.30    | 0.01%             | 2036-02-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138ENBT5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     100641 | PA      | $100342.80     | 0.00%             | 2044-06-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3128MMTT0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     173475 | PA      | $166230.96     | 0.00%             | 2030-07-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140H3JQ0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     529822 | PA      | $502121.52     | 0.00%             | 2047-12-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3128LXCU2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       5670 | PA      | $5762.60       | 0.00%             | 2035-08-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 36181A2X9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      76679 | PA      | $72921.25      | 0.00%             | 2043-04-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 36296DD39<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       6709 | PA      | $7113.35       | 0.00%             | 2038-08-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3128K8FG6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       1363 | PA      | $1385.54       | 0.00%             | 2035-10-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae II Pool                               | CUSIP: 36179UML3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    1541007 | PA      | $1494005.02    | 0.01%             | 2049-02-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138ENKH1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      21946 | PA      | $21880.99      | 0.00%             | 2044-08-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140QDRC0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1899498 | PA      | $1770516.77    | 0.01%             | 2049-11-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138EQKA9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     142974 | PA      | $140308.74     | 0.00%             | 2029-02-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 31307TLC3<br>LEI: 254900HROIFWPRGM1V77 | Long             | ABS-MBS          | USGSE             | US        |     151911 | PA      | $147826.59     | 0.00%             | 2032-03-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 36224HMU7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |         40 | PA      | $40.20         | 0.00%             | 2023-01-15      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138X76Z1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     219723 | PA      | $210736.11     | 0.00%             | 2028-09-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31376UX58<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |         63 | PA      | $62.93         | 0.00%             | 2026-06-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138W9YN4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       7656 | PA      | $7434.27       | 0.00%             | 2043-10-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3128M8AZ7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      47279 | PA      | $47311.13      | 0.00%             | 2040-08-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 36241KHA9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       2484 | PA      | $2591.39       | 0.00%             | 2035-12-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 36201YDB9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       3347 | PA      | $3288.49       | 0.00%             | 2033-08-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140H6ZR3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     448079 | PA      | $417580.49     | 0.00%             | 2047-12-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31374F3R8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        139 | PA      | $139.39        | 0.00%             | 2025-12-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138YJXR2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     370458 | PA      | $354652.29     | 0.00%             | 2030-05-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31412RLX3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      14986 | PA      | $14614.25      | 0.00%             | 2025-12-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140KXYX8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1424414 | PA      | $1278433.75    | 0.01%             | 2051-01-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3133APCH0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    1441287 | PA      | $1191452.94    | 0.01%             | 2051-07-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3132WHPV1<br>LEI: 254900HROIFWPRGM1V77 | Long             | ABS-MBS          | USGSE             | US        |    5995091 | PA      | $5423213.80    | 0.02%             | 2046-10-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3128M4QW6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      19359 | PA      | $19675.14      | 0.00%             | 2035-11-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140K8B26<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     600493 | PA      | $536145.00     | 0.00%             | 2050-04-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31371FBT8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        178 | PA      | $180.49        | 0.00%             | 2025-10-01      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140LTSC9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1056654 | PA      | $976856.92     | 0.00%             | 2036-07-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31371NTS4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        431 | PA      | $448.34        | 0.00%             | 2038-04-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31407CN94<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        438 | PA      | $444.80        | 0.00%             | 2035-08-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138XHX97<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      28528 | PA      | $27662.05      | 0.00%             | 2044-01-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31371KLU3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       8144 | PA      | $8434.49       | 0.00%             | 2032-03-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140XBMG2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1873162 | PA      | $1732868.88    | 0.01%             | 2050-09-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138XZFA4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      61778 | PA      | $59331.78      | 0.00%             | 2029-07-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138WHQA3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1605861 | PA      | $1544803.77    | 0.01%             | 2046-08-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3133A3VC9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     778231 | PA      | $742071.11     | 0.00%             | 2050-03-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140K15M4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    2475578 | PA      | $2295353.41    | 0.01%             | 2034-12-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140F8JH1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    4697162 | PA      | $4268478.95    | 0.02%             | 2046-09-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31388EH74<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       3184 | PA      | $3297.62       | 0.00%             | 2031-09-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138AVWL5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      13509 | PA      | $13123.80      | 0.00%             | 2041-10-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3128F9EL0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |        183 | PA      | $183.88        | 0.00%             | 2026-03-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 36201FBX4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       1434 | PA      | $1491.87       | 0.00%             | 2033-08-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 3620A2VC7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       3906 | PA      | $3919.47       | 0.00%             | 2039-05-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 31297KLP5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |        883 | PA      | $911.55        | 0.00%             | 2034-12-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 31298EK95<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |        649 | PA      | $677.97        | 0.00%             | 2030-12-01      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138EQLD2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     454461 | PA      | $415079.34     | 0.00%             | 2045-10-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae II Pool                               | CUSIP: 36179N5U8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    1028527 | PA      | $947389.12     | 0.00%             | 2044-03-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140X5G31<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    6747104 | PA      | $6289857.29    | 0.03%             | 2049-11-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140KEQH4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     770404 | PA      | $675023.67     | 0.00%             | 2035-09-01      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140Q8W27<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    5275425 | PA      | $5213161.70    | 0.02%             | 2048-04-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3128PRHJ1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       4206 | PA      | $4144.12       | 0.00%             | 2025-04-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 3620A6EK9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      19051 | PA      | $19640.15      | 0.00%             | 2039-07-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3128M4YG2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       2451 | PA      | $2549.35       | 0.00%             | 2037-05-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140XDBL9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    2695641 | PA      | $2592099.57    | 0.01%             | 2048-11-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3131Y0DH2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     437285 | PA      | $422343.42     | 0.00%             | 2048-01-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140E7QA1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     834088 | PA      | $786730.22     | 0.00%             | 2046-04-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138MQTX1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     129976 | PA      | $122693.08     | 0.00%             | 2042-12-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138W5HT8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       5339 | PA      | $4874.49       | 0.00%             | 2043-08-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31418CN42<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     106389 | PA      | $107268.77     | 0.00%             | 2047-08-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31403MQ51<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        319 | PA      | $328.10        | 0.00%             | 2033-10-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140XJRC9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   21175670 | PA      | $18158263.80   | 0.08%             | 2052-09-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae II Pool                               | CUSIP: 36179SJS7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   30549472 | PA      | $28031297.45   | 0.12%             | 2046-08-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3128LXAT7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      13589 | PA      | $13810.60      | 0.00%             | 2035-05-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138WV2K6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     849929 | PA      | $775938.29     | 0.00%             | 2043-06-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 36194M3F6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    2330246 | PA      | $2189157.39    | 0.01%             | 2046-08-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31410QUJ8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       4219 | PA      | $4519.75       | 0.00%             | 2036-10-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3132DV6V2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      10578 | PA      | $9423.12       | 0.00%             | 2050-08-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31418XD54<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      15416 | PA      | $15411.75      | 0.00%             | 2040-08-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140QAY46<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    2914712 | PA      | $2823408.18    | 0.01%             | 2034-04-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3128LAWL0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       6368 | PA      | $6625.94       | 0.00%             | 2038-06-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3128M7X35<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      44634 | PA      | $46454.00      | 0.00%             | 2040-01-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31407JSN3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        360 | PA      | $358.70        | 0.00%             | 2035-07-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31373UPM3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |         55 | PA      | $55.60         | 0.00%             | 2026-04-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138WQY89<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      15304 | PA      | $14088.31      | 0.00%             | 2043-10-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140X4PB6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    4519089 | PA      | $4358509.23    | 0.02%             | 2048-10-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138XMHF0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     339283 | PA      | $331779.75     | 0.00%             | 2029-03-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3128M7H74<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      12761 | PA      | $13027.64      | 0.00%             | 2039-03-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140X8RW9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    6064922 | PA      | $5610679.96    | 0.02%             | 2050-07-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31416TMF3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      28678 | PA      | $28666.85      | 0.00%             | 2039-08-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138WBSC0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      21068 | PA      | $20233.62      | 0.00%             | 2029-05-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31417AJV2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       2289 | PA      | $2223.55       | 0.00%             | 2041-11-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140JWMH0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    2155210 | PA      | $1998308.41    | 0.01%             | 2034-09-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3133G73C5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     724620 | PA      | $685939.30     | 0.00%             | 2035-01-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3131WRAU9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       4934 | PA      | $4932.08       | 0.00%             | 2040-12-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31407G6C7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |         38 | PA      | $38.10         | 0.00%             | 2035-08-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31402JXC6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      12154 | PA      | $12117.05      | 0.00%             | 2033-08-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 312938ZA4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       4990 | PA      | $5099.88       | 0.00%             | 2040-01-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 31307CLF3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       7839 | PA      | $7525.04       | 0.00%             | 2028-05-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140JJUP2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1611770 | PA      | $1549403.78    | 0.01%             | 2049-01-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 36196PR95<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      10575 | PA      | $10481.95      | 0.00%             | 2047-06-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140J8JH7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1154062 | PA      | $1122014.73    | 0.00%             | 2033-05-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140LWKA4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1095381 | PA      | $983658.16     | 0.00%             | 2051-10-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138YMN21<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     190146 | PA      | $166184.15     | 0.00%             | 2045-04-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140FRJQ9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      17419 | PA      | $16603.69      | 0.00%             | 2032-02-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140J7QE8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    4127569 | PA      | $4150390.90    | 0.02%             | 2047-08-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140KXQ66<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    2815691 | PA      | $2321809.58    | 0.01%             | 2050-12-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3128Q1A47<br>LEI: 254900HROIFWPRGM1V77 | Long             | ABS-MBS          | USGSE             | US        |      50203 | PA      | $48737.39      | 0.00%             | 2027-08-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31418CPK4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1394987 | PA      | $1328281.12    | 0.01%             | 2032-09-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31415LWX1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      67422 | PA      | $68755.89      | 0.00%             | 2038-07-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140HEP55<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     429105 | PA      | $434461.14     | 0.00%             | 2048-09-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3128PXDV5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      80677 | PA      | $77895.53      | 0.00%             | 2026-11-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140Q9DC4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     108439 | PA      | $107763.35     | 0.00%             | 2048-06-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31414L5U8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        839 | PA      | $855.21        | 0.00%             | 2038-05-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140J6DV6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     394868 | PA      | $382917.41     | 0.00%             | 2032-06-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140Q8V28<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    2209649 | PA      | $2055911.31    | 0.01%             | 2048-04-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 31292HNB6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       3690 | PA      | $3817.57       | 0.00%             | 2032-01-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31418TUV7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       7206 | PA      | $7361.86       | 0.00%             | 2040-06-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae II Pool                               | CUSIP: 36180NED3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    1194360 | PA      | $1167939.96    | 0.00%             | 2043-05-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3132WMJ62<br>LEI: 254900HROIFWPRGM1V77 | Long             | ABS-MBS          | USGSE             | US        |     875168 | PA      | $821756.67     | 0.00%             | 2047-04-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 312929DS8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      10583 | PA      | $11011.67      | 0.00%             | 2038-11-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 31307FH61<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      32327 | PA      | $30594.75      | 0.00%             | 2028-12-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 3620ASVC0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       7855 | PA      | $7699.35       | 0.00%             | 2041-09-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 36212HFS4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        524 | PA      | $542.26        | 0.00%             | 2032-05-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140JMGJ5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     622558 | PA      | $627691.06     | 0.00%             | 2049-02-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140L6XC3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    3950394 | PA      | $3387219.66    | 0.01%             | 2051-05-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140XCG28<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1084254 | PA      | $963454.65     | 0.00%             | 2051-07-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31378ULZ3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        304 | PA      | $314.46        | 0.00%             | 2027-12-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31418CPH1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      63118 | PA      | $63639.94      | 0.00%             | 2047-08-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138Y9CQ9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      52175 | PA      | $50108.52      | 0.00%             | 2029-12-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 31287QAB7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |        199 | PA      | $208.07        | 0.00%             | 2032-03-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae II Pool                               | CUSIP: 36202EVQ9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       7101 | PA      | $7687.31       | 0.00%             | 2038-08-20      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140KTCT0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     719568 | PA      | $647420.71     | 0.00%             | 2035-12-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140FKGG9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     285204 | PA      | $268515.96     | 0.00%             | 2031-12-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31418ELN8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    2000000 | PA      | $1921632.02    | 0.01%             | 2037-12-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3132QMRL7<br>LEI: 254900HROIFWPRGM1V77 | Long             | ABS-MBS          | USGSE             | US        |    1544815 | PA      | $1412145.49    | 0.01%             | 2045-02-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31400JSC4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        317 | PA      | $326.03        | 0.00%             | 2033-02-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31410WR83<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |         52 | PA      | $55.97         | 0.00%             | 2037-09-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3128PMWW6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       1240 | PA      | $1226.29       | 0.00%             | 2024-04-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138ER2J8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     274537 | PA      | $257601.51     | 0.00%             | 2047-01-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 31334YVR5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     876176 | PA      | $793160.02     | 0.00%             | 2049-09-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 31293TGY7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |        346 | PA      | $356.11        | 0.00%             | 2029-07-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 31356FKC4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |         10 | PA      | $10.04         | 0.00%             | 2024-05-01      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3131XCUX3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    1357618 | PA      | $1331325.67    | 0.01%             | 2032-05-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 36225BUJ5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        360 | PA      | $371.86        | 0.00%             | 2032-08-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 36195ELB2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      16267 | PA      | $16124.87      | 0.00%             | 2046-08-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140H9RR6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1772960 | PA      | $1712542.24    | 0.01%             | 2049-03-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31418DKU5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      14956 | PA      | $13835.72      | 0.00%             | 2050-01-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140E8QT8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      55213 | PA      | $53558.37      | 0.00%             | 2045-12-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140M1P57<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1593612 | PA      | $1463040.05    | 0.01%             | 2051-09-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31414SLH4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       1432 | PA      | $1459.84       | 0.00%             | 2038-04-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 36294V6K1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       1252 | PA      | $1273.27       | 0.00%             | 2036-12-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140XCLX4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   22117948 | PA      | $18959400.61   | 0.08%             | 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        |    4316059 | PA      | $4049812.04    | 0.02%             | 2046-07-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31387PA28<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |         88 | PA      | $91.18         | 0.00%             | 2024-11-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140KLZQ8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    4718541 | PA      | $4086227.81    | 0.02%             | 2050-08-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31386LVK5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        427 | PA      | $442.99        | 0.00%             | 2031-05-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 3620APLZ6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      10406 | PA      | $10441.58      | 0.00%             | 2040-05-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae II Pool                               | CUSIP: 3617G1FY9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     651725 | PA      | $615643.08     | 0.00%             | 2048-01-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31404MCN6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        566 | PA      | $564.66        | 0.00%             | 2034-05-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 36295FHU1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       1011 | PA      | $1060.58       | 0.00%             | 2037-05-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 31335BT30<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    6501289 | PA      | $6136429.60    | 0.03%             | 2045-08-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3132WPZ67<br>LEI: 254900HROIFWPRGM1V77 | Long             | ABS-MBS          | USGSE             | US        |    1542794 | PA      | $1484957.18    | 0.01%             | 2047-08-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140M1GR9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1887759 | PA      | $1555062.73    | 0.01%             | 2051-11-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138A2MN6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     339308 | PA      | $330292.62     | 0.00%             | 2041-01-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae II Pool                               | CUSIP: 36179NNA2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    5510904 | PA      | $5237238.98    | 0.02%             | 2043-09-20      | 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        |    2708213 | PA      | $2783185.27    | 0.01%             | 2040-07-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 36211DKU3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        527 | PA      | $538.73        | 0.00%             | 2029-09-15      | Fixed         | 8.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140X8NK9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    5525113 | PA      | $5367744.74    | 0.02%             | 2044-05-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138WHT44<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1531010 | PA      | $1516368.09    | 0.01%             | 2046-08-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 36202VDP3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       3453 | PA      | $3512.63       | 0.00%             | 2033-08-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3133A95A9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   14766097 | PA      | $12745873.83   | 0.05%             | 2050-09-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140Q97M9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     386192 | PA      | $359905.88     | 0.00%             | 2048-05-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3133KPL63<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     895203 | PA      | $846124.92     | 0.00%             | 2052-06-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31371FW65<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        144 | PA      | $148.44        | 0.00%             | 2027-04-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 31297HW21<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       4203 | PA      | $4265.38       | 0.00%             | 2035-01-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 36196UZM6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      53297 | PA      | $52826.77      | 0.00%             | 2047-06-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3128MJ4P2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     355582 | PA      | $318582.07     | 0.00%             | 2048-07-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140FFEY3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     262143 | PA      | $252175.69     | 0.00%             | 2046-09-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31400QP98<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        468 | PA      | $481.51        | 0.00%             | 2033-04-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31417DBF9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    2141792 | PA      | $2055109.63    | 0.01%             | 2027-10-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3132M7MX3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      27323 | PA      | $26505.56      | 0.00%             | 2044-07-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31418BYN0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     571786 | PA      | $517084.37     | 0.00%             | 2046-01-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae II Pool                               | CUSIP: 36179TG41<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   10444887 | PA      | $9866614.47    | 0.04%             | 2047-09-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140H2PH5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     251148 | PA      | $235587.88     | 0.00%             | 2047-11-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140M9BY2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    4816616 | PA      | $3969236.48    | 0.02%             | 2051-12-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140XBNR7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    2104254 | PA      | $1946652.01    | 0.01%             | 2051-01-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31413HYP7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |         93 | PA      | $99.31         | 0.00%             | 2037-09-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140Q7TU1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     498949 | PA      | $503073.15     | 0.00%             | 2047-10-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138YTU77<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       4042 | PA      | $3829.80       | 0.00%             | 2030-06-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31419CVW0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       1195 | PA      | $1172.26       | 0.00%             | 2025-08-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 312927GU4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       8233 | PA      | $8565.78       | 0.00%             | 2038-08-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae II Pool                               | CUSIP: 36179TCY9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   34442987 | PA      | $33445806.33   | 0.14%             | 2047-07-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae II Pool                               | CUSIP: 36179U4C3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     907567 | PA      | $853069.73     | 0.00%             | 2049-10-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140X9Y90<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   21060705 | PA      | $17402135.38   | 0.07%             | 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        |   32812803 | PA      | $28070159.14   | 0.12%             | 2052-04-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 31307NBG8<br>LEI: 254900HROIFWPRGM1V77 | Long             | ABS-MBS          | USGSE             | US        |     716440 | PA      | $679563.66     | 0.00%             | 2030-05-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31402RUN7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      20853 | PA      | $21471.17      | 0.00%             | 2035-02-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138X5Z75<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       3683 | PA      | $3532.02       | 0.00%             | 2028-09-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 31334YPK7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   22761077 | PA      | $20584274.90   | 0.09%             | 2046-07-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140J5NV7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     347805 | PA      | $334580.73     | 0.00%             | 2047-04-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 31292GZZ2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |        168 | PA      | $173.97        | 0.00%             | 2029-05-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 36241KFJ2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      16202 | PA      | $16598.82      | 0.00%             | 2035-08-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 31294F3F1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       1823 | PA      | $1891.33       | 0.00%             | 2029-03-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138EDGW5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     340416 | PA      | $310912.31     | 0.00%             | 2042-12-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 3620AAX94<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       4009 | PA      | $4023.09       | 0.00%             | 2039-11-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 36225BNE4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |         51 | PA      | $55.70         | 0.00%             | 2031-04-15      | Fixed         | 8.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31413AKU6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       7065 | PA      | $7342.31       | 0.00%             | 2037-06-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31418CUE2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1870698 | PA      | $1799024.99    | 0.01%             | 2038-02-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31376KNN2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        817 | PA      | $847.75        | 0.00%             | 2035-06-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3128L3UQ7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       4344 | PA      | $4519.39       | 0.00%             | 2037-12-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31403DMM8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       1060 | PA      | $1135.91       | 0.00%             | 2036-07-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31365EA60<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |          9 | PA      | $9.05          | 0.00%             | 2023-09-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 31307MTD8<br>LEI: 254900HROIFWPRGM1V77 | Long             | ABS-MBS          | USGSE             | US        |     126001 | PA      | $119515.28     | 0.00%             | 2030-04-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3131XUK89<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     807619 | PA      | $729838.24     | 0.00%             | 2046-06-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 36206LCJ6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        437 | PA      | $439.05        | 0.00%             | 2025-09-15      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3128MJYB0<br>LEI: 254900HROIFWPRGM1V77 | Long             | ABS-MBS          | USGSE             | US        |     492289 | PA      | $445328.79     | 0.00%             | 2046-05-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 36201FPS0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |         82 | PA      | $83.06         | 0.00%             | 2032-05-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31375L6C4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        102 | PA      | $102.52        | 0.00%             | 2026-05-01      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3131XYDS5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     145911 | PA      | $132527.58     | 0.00%             | 2047-11-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140H42Q6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     474367 | PA      | $468768.13     | 0.00%             | 2048-05-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 31307TQ20<br>LEI: 254900HROIFWPRGM1V77 | Long             | ABS-MBS          | USGSE             | US        |     178142 | PA      | $173351.93     | 0.00%             | 2032-04-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae II Pool                               | CUSIP: 36179V7D6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   28029055 | PA      | $23924233.35   | 0.10%             | 2051-02-20      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31409JYH7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        439 | PA      | $470.69        | 0.00%             | 2036-06-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140QEUL4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1571277 | PA      | $1552729.11    | 0.01%             | 2035-08-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31416YXZ6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      18962 | PA      | $18956.76      | 0.00%             | 2041-08-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140LXDQ5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     531545 | PA      | $499610.77     | 0.00%             | 2037-06-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31410KQJ6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       2960 | PA      | $3004.74       | 0.00%             | 2038-02-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31418ABY3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      28362 | PA      | $27546.54      | 0.00%             | 2027-01-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31413BTV3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      13723 | PA      | $14260.85      | 0.00%             | 2037-06-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 31335GNG6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |         28 | PA      | $28.36         | 0.00%             | 2026-03-01      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 31292HJ70<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |        652 | PA      | $674.81        | 0.00%             | 2031-06-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 31335GBQ7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |         29 | PA      | $29.11         | 0.00%             | 2023-07-01      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3128MJW89<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     164396 | PA      | $148818.18     | 0.00%             | 2045-10-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140XDFV3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   13139250 | PA      | $10824312.82   | 0.05%             | 2051-10-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3132CWM68<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   10819517 | PA      | $10186632.38   | 0.04%             | 2032-07-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3132L9UG8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      55421 | PA      | $53331.26      | 0.00%             | 2048-04-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 36291LRN7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       7287 | PA      | $7568.68       | 0.00%             | 2034-06-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3128MCYM1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      42465 | PA      | $41426.64      | 0.00%             | 2026-04-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3128PSY50<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       2244 | PA      | $2191.54       | 0.00%             | 2025-11-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31417KXH5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       5139 | PA      | $5137.34       | 0.00%             | 2039-08-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 36225BUD8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       2940 | PA      | $3048.98       | 0.00%             | 2032-08-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138Y9MH8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     322012 | PA      | $312082.96     | 0.00%             | 2045-01-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140J9Q53<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    2532756 | PA      | $2454660.90    | 0.01%             | 2045-03-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 31287MA42<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |        798 | PA      | $825.50        | 0.00%             | 2031-12-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3128MFQB7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    5704403 | PA      | $5428909.10    | 0.02%             | 2033-05-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3132DWD59<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   49058356 | PA      | $41892825.25   | 0.18%             | 2052-07-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31407HZL3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        468 | PA      | $493.50        | 0.00%             | 2036-05-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae II Pool                               | CUSIP: 36179NBE7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      32247 | PA      | $33096.71      | 0.00%             | 2043-04-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae II Pool                               | CUSIP: 36197EFP6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    2087159 | PA      | $1971605.14    | 0.01%             | 2047-04-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3133BFN48<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    4473462 | PA      | $4230656.22    | 0.02%             | 2052-07-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140QMJZ8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1057879 | PA      | $871439.80     | 0.00%             | 2051-11-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3131WRJZ9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     206547 | PA      | $201060.63     | 0.00%             | 2041-02-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 31292GP42<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |         79 | PA      | $78.89         | 0.00%             | 2026-01-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138WH6K3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     154689 | PA      | $135222.54     | 0.00%             | 2046-10-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140QAUV0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     234711 | PA      | $231868.45     | 0.00%             | 2025-08-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 36200RDC3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        263 | PA      | $278.27        | 0.00%             | 2032-06-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae II Pool                               | CUSIP: 36179UV90<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     933715 | PA      | $900577.78     | 0.00%             | 2049-07-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3133ANJX3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    3344988 | PA      | $2868810.82    | 0.01%             | 2051-07-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31418D6C1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   20847386 | PA      | $17867056.30   | 0.08%             | 2051-11-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 31307L3Q9<br>LEI: 254900HROIFWPRGM1V77 | Long             | ABS-MBS          | USGSE             | US        |      97649 | PA      | $92943.77      | 0.00%             | 2030-02-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31373UET0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |         28 | PA      | $28.60         | 0.00%             | 2025-10-01      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3128M7YK6<br>LEI: 254900HROIFWPRGM1V77 | Long             | ABS-MBS          | USGSE             | US        |    1480019 | PA      | $1528041.53    | 0.01%             | 2039-01-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31404QY78<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       7014 | PA      | $6993.26       | 0.00%             | 2034-05-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31415LVZ7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |         21 | PA      | $21.21         | 0.00%             | 2023-06-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae II Pool                               | CUSIP: 3617J36X4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     786042 | PA      | $788952.30     | 0.00%             | 2048-12-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31374TNG0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        488 | PA      | $505.29        | 0.00%             | 2029-03-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 31296UZT1<br>LEI: 254900HROIFWPRGM1V77 | Long             | ABS-MBS          | USGSE             | US        |     157675 | PA      | $162791.43     | 0.00%             | 2034-03-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3133AHAA5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   53877746 | PA      | $45993722.98   | 0.20%             | 2051-03-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138EDHP9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      11079 | PA      | $10114.36      | 0.00%             | 2043-09-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140K1WE2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     549323 | PA      | $493964.62     | 0.00%             | 2036-02-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 3620AF4N4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      14925 | PA      | $14977.23      | 0.00%             | 2040-01-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140E0SM8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      11725 | PA      | $11639.12      | 0.00%             | 2045-10-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138WJES3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    5070635 | PA      | $4773930.62    | 0.02%             | 2031-11-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138YWNH6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     442018 | PA      | $418854.63     | 0.00%             | 2030-08-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140X6XR7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      23186 | PA      | $22509.70      | 0.00%             | 2035-03-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 36176XCU1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       8410 | PA      | $8223.31       | 0.00%             | 2042-02-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 36295PA69<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       2362 | PA      | $2430.46       | 0.00%             | 2038-08-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae II Pool                               | CUSIP: 36179QPF2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     666835 | PA      | $613663.32     | 0.00%             | 2044-09-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 36176PR65<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    1775624 | PA      | $1687545.51    | 0.01%             | 2041-12-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31417BAX5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     102190 | PA      | $96349.58      | 0.00%             | 2042-02-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140J56X2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    3267921 | PA      | $3169961.25    | 0.01%             | 2047-08-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140Q8CV5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     115935 | PA      | $114727.23     | 0.00%             | 2048-01-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae II Pool                               | CUSIP: 36202FV94<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      47926 | PA      | $48308.21      | 0.00%             | 2041-08-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140Q7RP4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1452533 | PA      | $1396740.45    | 0.01%             | 2047-10-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 31307UZZ4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    1103767 | PA      | $1051990.43    | 0.00%             | 2032-11-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3132A5HX6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   10431847 | PA      | $9421179.48    | 0.04%             | 2047-12-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138EN3M9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     397242 | PA      | $386931.95     | 0.00%             | 2028-07-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 36241KWK0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       4334 | PA      | $4533.94       | 0.00%             | 2038-11-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140Q9AY9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1151494 | PA      | $1117915.35    | 0.00%             | 2033-05-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140GRYT5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     895932 | PA      | $871052.93     | 0.00%             | 2032-07-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae II Pool                               | CUSIP: 36179UZS4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   22990828 | PA      | $20982736.48   | 0.09%             | 2049-09-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae II Pool                               | CUSIP: 36179T7H2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    2731076 | PA      | $2506395.04    | 0.01%             | 2048-08-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31403BHV8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       1474 | PA      | $1550.80       | 0.00%             | 2033-11-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 312935H85<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       6200 | PA      | $6203.52       | 0.00%             | 2039-09-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae II Pool                               | CUSIP: 36179RF95<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    2510122 | PA      | $2380141.43    | 0.01%             | 2045-06-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3128MMWY5<br>LEI: 254900HROIFWPRGM1V77 | Long             | ABS-MBS          | USGSE             | US        |     490697 | PA      | $461931.97     | 0.00%             | 2032-10-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 31307NJT2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     151973 | PA      | $148673.58     | 0.00%             | 2030-06-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3133KM3Z6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   31124611 | PA      | $25637526.36   | 0.11%             | 2051-11-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3133A6VH1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    2083684 | PA      | $1856634.65    | 0.01%             | 2050-06-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140FVUY0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     388084 | PA      | $373177.10     | 0.00%             | 2047-05-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31418BU79<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    5188612 | PA      | $5015401.46    | 0.02%             | 2045-09-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 3620ABW51<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       2239 | PA      | $2282.62       | 0.00%             | 2039-11-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31415QCB0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       1544 | PA      | $1628.49       | 0.00%             | 2038-09-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138WVDR9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      81191 | PA      | $74123.25      | 0.00%             | 2043-07-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138WG4K7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      17479 | PA      | $15279.85      | 0.00%             | 2046-05-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138YGAJ1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1286508 | PA      | $1281962.04    | 0.01%             | 2045-02-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140X53H4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    3170399 | PA      | $3076450.48    | 0.01%             | 2046-09-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae II Pool                               | CUSIP: 36179VN22<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   17233117 | PA      | $15190292.00   | 0.06%             | 2050-06-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3133AJM67<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    2462324 | PA      | $2113994.71    | 0.01%             | 2051-04-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31418NV98<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       3468 | PA      | $3426.48       | 0.00%             | 2025-02-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3128LXFP0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      23946 | PA      | $24336.46      | 0.00%             | 2035-12-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138AKXC8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      91425 | PA      | $93409.00      | 0.00%             | 2041-06-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 36296Q3K3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      16515 | PA      | $16572.75      | 0.00%             | 2039-07-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3133A0ZM9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    2403077 | PA      | $2371968.03    | 0.01%             | 2050-01-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 312942NL5<br>LEI: 254900HROIFWPRGM1V77 | Long             | ABS-MBS          | USGSE             | US        |    1207356 | PA      | $1208165.21    | 0.01%             | 2040-09-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 31307M5Q5<br>LEI: 254900HROIFWPRGM1V77 | Long             | ABS-MBS          | USGSE             | US        |      83633 | PA      | $79328.10      | 0.00%             | 2030-05-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3128MJZM5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   28822276 | PA      | $26072893.23   | 0.11%             | 2047-02-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3133G7PC1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     270550 | PA      | $262086.58     | 0.00%             | 2035-01-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31417EWG2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    3194433 | PA      | $2917719.51    | 0.01%             | 2043-02-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31371HNP9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        561 | PA      | $588.51        | 0.00%             | 2029-06-01      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140JJLL1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     406361 | PA      | $401564.75     | 0.00%             | 2048-09-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3133KMMG7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    1497346 | PA      | $1278237.07    | 0.01%             | 2051-09-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 36203N6K9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |          2 | PA      | $2.12          | 0.00%             | 2023-10-15      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3132A3X47<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     109313 | PA      | $111680.11     | 0.00%             | 2041-11-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 31292GY42<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       1443 | PA      | $1497.56       | 0.00%             | 2029-03-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 31335ANR5<br>LEI: 254900HROIFWPRGM1V77 | Long             | ABS-MBS          | USGSE             | US        |    1553372 | PA      | $1550277.40    | 0.01%             | 2045-01-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae II Pool                               | CUSIP: 36179NSM1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     154122 | PA      | $145760.98     | 0.00%             | 2028-11-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140KYG65<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   14563034 | PA      | $13102605.46   | 0.06%             | 2035-12-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 36241LE77<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     234119 | PA      | $249558.55     | 0.00%             | 2039-11-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3132AA4T8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      55589 | PA      | $54003.59      | 0.00%             | 2046-02-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138X2KA1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      78091 | PA      | $77995.93      | 0.00%             | 2043-09-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3128K7Y69<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       1675 | PA      | $1702.32       | 0.00%             | 2035-09-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 36241KF52<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      12111 | PA      | $12415.36      | 0.00%             | 2035-10-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31384WG87<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        922 | PA      | $954.66        | 0.00%             | 2031-04-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140J6EN3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    2595432 | PA      | $2443821.54    | 0.01%             | 2046-11-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31417QK52<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      22584 | PA      | $22574.87      | 0.00%             | 2039-10-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140FED92<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    2998270 | PA      | $2794678.88    | 0.01%             | 2046-10-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31417LW84<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       5104 | PA      | $5214.09       | 0.00%             | 2040-05-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138YMXS3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     273576 | PA      | $247403.32     | 0.00%             | 2045-05-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 36210LX32<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       1079 | PA      | $1103.94       | 0.00%             | 2028-12-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140Q9JK0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1930390 | PA      | $1946353.28    | 0.01%             | 2048-07-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3128Q1BX2<br>LEI: 254900HROIFWPRGM1V77 | Long             | ABS-MBS          | USGSE             | US        |     108379 | PA      | $105214.30     | 0.00%             | 2027-08-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae II Pool                               | CUSIP: 36179MK74<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     185049 | PA      | $175959.91     | 0.00%             | 2042-08-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31384WLN8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       2798 | PA      | $2897.69       | 0.00%             | 2031-05-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140F0GY4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1385457 | PA      | $1259014.44    | 0.01%             | 2046-10-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138XQDL2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    2414000 | PA      | $2356265.45    | 0.01%             | 2044-05-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140Q7UZ8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      15549 | PA      | $15360.06      | 0.00%             | 2032-10-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3132WH5N1<br>LEI: 254900HROIFWPRGM1V77 | Long             | ABS-MBS          | USGSE             | US        |    2996816 | PA      | $2710946.56    | 0.01%             | 2046-11-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140E0HF5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     296838 | PA      | $268439.55     | 0.00%             | 2045-09-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140K3CB6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1529244 | PA      | $1528085.77    | 0.01%             | 2035-01-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140GV2P9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    2213976 | PA      | $2082087.04    | 0.01%             | 2032-12-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140QBG51<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    2054062 | PA      | $1900219.28    | 0.01%             | 2049-07-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3132XV7H0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     428578 | PA      | $399804.61     | 0.00%             | 2048-01-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31412MYZ5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        723 | PA      | $751.25        | 0.00%             | 2038-06-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31406AJC7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       2707 | PA      | $2850.73       | 0.00%             | 2034-10-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138YJXY7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     331444 | PA      | $317303.13     | 0.00%             | 2030-04-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140KA3V6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     462576 | PA      | $415566.47     | 0.00%             | 2036-06-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31416KJB5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       1873 | PA      | $1912.51       | 0.00%             | 2039-03-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 31329NF78<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    2998354 | PA      | $2709586.06    | 0.01%             | 2046-08-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 3620A9TK7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      10345 | PA      | $10649.88      | 0.00%             | 2039-09-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140H8CP8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1062617 | PA      | $1001857.16    | 0.00%             | 2048-02-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae II Pool                               | CUSIP: 36179TV77<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    5905387 | PA      | $5854721.78    | 0.02%             | 2048-04-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3128M4WP4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      16134 | PA      | $16448.99      | 0.00%             | 2037-06-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 36176X2L2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      16346 | PA      | $15535.02      | 0.00%             | 2041-10-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31368HKK8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |         51 | PA      | $51.95         | 0.00%             | 2025-12-01      | Fixed         | 8.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31402CVZ2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      14937 | PA      | $15132.29      | 0.00%             | 2034-03-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 36178LZ97<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     295898 | PA      | $281282.82     | 0.00%             | 2042-09-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31417WT35<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      49278 | PA      | $50311.94      | 0.00%             | 2040-02-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31410GGA5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        247 | PA      | $270.06        | 0.00%             | 2037-06-01      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31403T4R2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       2393 | PA      | $2481.60       | 0.00%             | 2035-06-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 36200YLW5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       4865 | PA      | $5105.15       | 0.00%             | 2032-03-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140QDCT9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    2139485 | PA      | $2072465.48    | 0.01%             | 2035-03-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 36296Q6U8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      18675 | PA      | $18740.62      | 0.00%             | 2039-08-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae II Pool                               | CUSIP: 3617KFFA5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    1063376 | PA      | $1025637.32    | 0.00%             | 2049-06-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3132Y0CF5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       4744 | PA      | $4418.80       | 0.00%             | 2048-05-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140LVXL8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    7355092 | PA      | $6520730.74    | 0.03%             | 2051-08-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140X7YP8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     756277 | PA      | $675405.62     | 0.00%             | 2050-09-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 31283GYD3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |        203 | PA      | $210.60        | 0.00%             | 2027-05-01      | Fixed         | 8.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138WAYY7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       4611 | PA      | $4605.56       | 0.00%             | 2044-02-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140FNAD6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     739301 | PA      | $714032.23     | 0.00%             | 2047-06-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138Y8C57<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     583212 | PA      | $527416.80     | 0.00%             | 2045-02-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 31298EW50<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |         89 | PA      | $92.92         | 0.00%             | 2030-12-01      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3132XTPU6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     456816 | PA      | $439690.79     | 0.00%             | 2047-10-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140J8C27<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    9520102 | PA      | $8886795.75    | 0.04%             | 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        |   28631274 | PA      | $23611999.30   | 0.10%             | 2052-01-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140JXKQ0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     525041 | PA      | $486817.88     | 0.00%             | 2034-09-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31402RH28<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      12644 | PA      | $13220.75      | 0.00%             | 2032-12-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140KSUV7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    5720229 | PA      | $4707493.62    | 0.02%             | 2051-11-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140MGLY5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1709337 | PA      | $1459387.74    | 0.01%             | 2052-02-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3132GKZN9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      45344 | PA      | $42795.92      | 0.00%             | 2041-11-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 3617M5KT8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    3113177 | PA      | $2825602.40    | 0.01%             | 2050-02-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3128MJCD0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       1505 | PA      | $1529.68       | 0.00%             | 2035-07-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31418D3X8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   47250856 | PA      | $38938090.21   | 0.17%             | 2051-09-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140KNGY8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1141781 | PA      | $1063890.30    | 0.00%             | 2050-10-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138WJJZ2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    3264653 | PA      | $3181356.19    | 0.01%             | 2046-11-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 31292G2S4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        167 | PA      | $173.17        | 0.00%             | 2029-06-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 31335BLL8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    1559570 | PA      | $1471502.72    | 0.01%             | 2044-09-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140LQBY5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    8971644 | PA      | $7695321.54    | 0.03%             | 2051-07-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 31292GV52<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |        137 | PA      | $142.47        | 0.00%             | 2028-07-01      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140MJ5R2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   33199573 | PA      | $28352466.08   | 0.12%             | 2052-04-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31418WGZ7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       9506 | PA      | $9503.30       | 0.00%             | 2040-07-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31417L6F7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       5494 | PA      | $5411.07       | 0.00%             | 2024-10-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31417CHH1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     917666 | PA      | $889984.77     | 0.00%             | 2027-07-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138WECV9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     140169 | PA      | $135494.55     | 0.00%             | 2045-03-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae II Pool                               | CUSIP: 36179UWB4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    1312821 | PA      | $1327223.54    | 0.01%             | 2049-07-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 36206UPY9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        177 | PA      | $179.78        | 0.00%             | 2026-06-15      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 36241KUF3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      22698 | PA      | $23707.40      | 0.00%             | 2038-08-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3133KJFX5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    4468060 | PA      | $3849391.27    | 0.02%             | 2050-06-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140JVXD9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     874248 | PA      | $846862.49     | 0.00%             | 2034-07-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31417FX29<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1108831 | PA      | $1063476.70    | 0.00%             | 2028-03-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31417DQW6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     679486 | PA      | $620626.52     | 0.00%             | 2042-10-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140QC2B1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    5575668 | PA      | $5169753.27    | 0.02%             | 2035-02-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3132QMME8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     966646 | PA      | $916228.24     | 0.00%             | 2045-02-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138ER2U3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    2535979 | PA      | $2417268.61    | 0.01%             | 2032-01-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 36209WP89<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        712 | PA      | $718.13        | 0.00%             | 2028-12-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3133KGUV8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    2343448 | PA      | $2092848.89    | 0.01%             | 2049-10-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3132QQXD9<br>LEI: 254900HROIFWPRGM1V77 | Long             | ABS-MBS          | USGSE             | US        |     198464 | PA      | $197206.83     | 0.00%             | 2045-06-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31416JAQ4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      27323 | PA      | $27695.41      | 0.00%             | 2035-07-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138W1ZP5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     109800 | PA      | $100241.40     | 0.00%             | 2043-07-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3128LXBL3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       1690 | PA      | $1780.98       | 0.00%             | 2035-06-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 312936FP7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       3741 | PA      | $3743.22       | 0.00%             | 2039-10-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 36296URM4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       8033 | PA      | $8275.88       | 0.00%             | 2039-02-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140FLP36<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     832946 | PA      | $782926.82     | 0.00%             | 2046-10-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140KC3V2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1049820 | PA      | $1013761.20    | 0.00%             | 2035-04-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140QNB43<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     241823 | PA      | $214356.53     | 0.00%             | 2052-02-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138WHCC4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     110516 | PA      | $104049.70     | 0.00%             | 2031-06-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140QAFU9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    2234922 | PA      | $2169750.91    | 0.01%             | 2034-01-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 3620AT2M8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       3685 | PA      | $3698.21       | 0.00%             | 2040-02-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3131XALG4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      39407 | PA      | $37879.64      | 0.00%             | 2029-05-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae II Pool                               | CUSIP: 36179NTG3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      74109 | PA      | $76157.78      | 0.00%             | 2043-11-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3128PTKR5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |        966 | PA      | $942.76        | 0.00%             | 2025-12-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138MHT29<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     535096 | PA      | $513439.58     | 0.00%             | 2027-11-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138YUJY8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     273053 | PA      | $258744.50     | 0.00%             | 2030-06-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3128MJ2H2<br>LEI: 254900HROIFWPRGM1V77 | Long             | ABS-MBS          | USGSE             | US        |     787800 | PA      | $758266.62     | 0.00%             | 2047-08-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3133A6XC0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    1285339 | PA      | $1157005.96    | 0.00%             | 2050-06-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138WEUN7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    2177739 | PA      | $2063619.38    | 0.01%             | 2030-06-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138MGBP9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     752856 | PA      | $687607.02     | 0.00%             | 2042-11-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31375LJC0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        197 | PA      | $197.19        | 0.00%             | 2026-04-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae II Pool                               | CUSIP: 36179UPA4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    2403354 | PA      | $2330049.10    | 0.01%             | 2049-03-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 3620C0Y69<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      19757 | PA      | $19825.48      | 0.00%             | 2040-06-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140HEAR3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     446542 | PA      | $429263.69     | 0.00%             | 2048-07-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138YSSX5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       2952 | PA      | $2796.86       | 0.00%             | 2030-06-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31413CFK0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        929 | PA      | $965.67        | 0.00%             | 2037-07-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140Q85X9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     212272 | PA      | $197858.13     | 0.00%             | 2046-10-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 36209BUM8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        501 | PA      | $519.31        | 0.00%             | 2028-07-15      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138WGSM7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     248252 | PA      | $233343.98     | 0.00%             | 2046-03-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3132A5F59<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   12970446 | PA      | $11721277.71   | 0.05%             | 2046-11-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31418CFN9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      26418 | PA      | $26165.31      | 0.00%             | 2047-01-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae II Pool                               | CUSIP: 36179UQ62<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    2635013 | PA      | $2611382.97    | 0.01%             | 2049-04-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3128MCHV0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |        216 | PA      | $215.16        | 0.00%             | 2024-07-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3133L8DK8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     837193 | PA      | $804879.79     | 0.00%             | 2036-02-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3133G6BA2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     821449 | PA      | $811371.73     | 0.00%             | 2034-06-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140QFVL0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    5239236 | PA      | $4939972.01    | 0.02%             | 2048-03-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3128M6Y93<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       5389 | PA      | $5689.79       | 0.00%             | 2038-11-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138ETJB3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1652287 | PA      | $1554065.23    | 0.01%             | 2046-04-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31418BP83<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      97454 | PA      | $93295.68      | 0.00%             | 2030-04-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31402QYK1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       6458 | PA      | $6882.04       | 0.00%             | 2034-09-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140QAVS6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1642138 | PA      | $1519147.17    | 0.01%             | 2049-03-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae II Pool                               | CUSIP: 36179SW37<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      24948 | PA      | $25975.52      | 0.00%             | 2047-02-20      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140J7RU1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    4485918 | PA      | $4216534.17    | 0.02%             | 2047-11-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140XHNB9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     684285 | PA      | $648896.14     | 0.00%             | 2052-06-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3132AEAX4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      12383 | PA      | $12485.26      | 0.00%             | 2049-02-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140J9D32<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1076314 | PA      | $1014938.21    | 0.00%             | 2046-03-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140KRLJ6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    7291922 | PA      | $6046056.25    | 0.03%             | 2050-10-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140X5MC4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1747681 | PA      | $1714758.89    | 0.01%             | 2033-12-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31402C4D1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        268 | PA      | $279.02        | 0.00%             | 2034-03-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140K2F74<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     792126 | PA      | $707421.22     | 0.00%             | 2049-10-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138YXNS0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     257405 | PA      | $243915.91     | 0.00%             | 2030-09-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 36211N6Z6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |         94 | PA      | $95.52         | 0.00%             | 2029-09-15      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31417D4G5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     387808 | PA      | $357011.63     | 0.00%             | 2042-12-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31418DVC3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   19163506 | PA      | $16464329.36   | 0.07%             | 2050-12-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 31292GXF8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |        600 | PA      | $625.63        | 0.00%             | 2028-11-01      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140JAQH4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   21698657 | PA      | $21692161.69   | 0.09%             | 2046-03-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138EG5C4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     475941 | PA      | $466325.08     | 0.00%             | 2026-09-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 36292EVG2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       2598 | PA      | $2650.86       | 0.00%             | 2035-09-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 31293PGW9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |        156 | PA      | $162.38        | 0.00%             | 2029-04-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 31283HQB4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       1107 | PA      | $1137.53       | 0.00%             | 2031-12-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138ERYG9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     933520 | PA      | $905266.55     | 0.00%             | 2029-04-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 36201QTL7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       3190 | PA      | $3295.57       | 0.00%             | 2032-10-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3132ACST8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      61107 | PA      | $59214.77      | 0.00%             | 2047-01-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 31335GPU3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |        147 | PA      | $151.42        | 0.00%             | 2026-10-01      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae II Pool                               | CUSIP: 36179QL82<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      80116 | PA      | $82333.42      | 0.00%             | 2044-08-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140GQ3C8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     731290 | PA      | $681514.55     | 0.00%             | 2047-08-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140EVK30<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1186834 | PA      | $1146228.21    | 0.00%             | 2046-07-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31416XH60<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      18789 | PA      | $18314.23      | 0.00%             | 2026-01-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31371EXP5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |         26 | PA      | $26.58         | 0.00%             | 2024-07-01      | Fixed         | 8.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 31297VXR4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       2943 | PA      | $2991.44       | 0.00%             | 2035-11-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140H5TQ4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     676954 | PA      | $656616.99     | 0.00%             | 2048-06-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3128M4UV3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       4722 | PA      | $4985.38       | 0.00%             | 2037-05-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3128MDEX7<br>LEI: 254900HROIFWPRGM1V77 | Long             | ABS-MBS          | USGSE             | US        |     634208 | PA      | $618387.01     | 0.00%             | 2026-10-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140KVC57<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    3217329 | PA      | $2660905.68    | 0.01%             | 2050-12-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138XBWZ3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       2790 | PA      | $2786.96       | 0.00%             | 2043-12-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138W8CP5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      10583 | PA      | $9373.44       | 0.00%             | 2043-02-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae II Pool                               | CUSIP: 36180NCL7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      36733 | PA      | $34909.14      | 0.00%             | 2043-04-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 36295WLC9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        297 | PA      | $306.25        | 0.00%             | 2038-06-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140HF6T1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     973002 | PA      | $900395.56     | 0.00%             | 2050-06-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31414H2C0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       2788 | PA      | $2940.48       | 0.00%             | 2037-12-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31417GY26<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     111613 | PA      | $107047.97     | 0.00%             | 2028-06-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 36180BYS4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       2985 | PA      | $2741.49       | 0.00%             | 2043-06-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31416YRT7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       2451 | PA      | $2450.58       | 0.00%             | 2041-06-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 31329QYE5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     756572 | PA      | $746777.46     | 0.00%             | 2049-05-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3131XKC98<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     318070 | PA      | $290524.89     | 0.00%             | 2042-09-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138YTSC9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     279975 | PA      | $270628.63     | 0.00%             | 2045-07-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31415LGH4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       5145 | PA      | $5495.25       | 0.00%             | 2038-05-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140K5XY8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     822587 | PA      | $772657.16     | 0.00%             | 2050-01-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140J57G8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1336533 | PA      | $1290852.59    | 0.01%             | 2047-09-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140FR5T8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     131104 | PA      | $127463.59     | 0.00%             | 2032-05-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 36225A2B5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        302 | PA      | $308.32        | 0.00%             | 2028-04-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 36294QAN1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       3604 | PA      | $3814.02       | 0.00%             | 2036-08-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3133KGQK7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    1407454 | PA      | $1389233.51    | 0.01%             | 2049-09-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31385JGT9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        908 | PA      | $973.96        | 0.00%             | 2032-05-01      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3129386V0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       6421 | PA      | $6425.56       | 0.00%             | 2040-02-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31410VSV3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        113 | PA      | $117.15        | 0.00%             | 2036-11-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3133L7X36<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   30612153 | PA      | $27543804.83   | 0.12%             | 2035-10-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138WCVF7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     952217 | PA      | $970791.08     | 0.00%             | 2044-09-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140J56V6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    7702834 | PA      | $7278090.87    | 0.03%             | 2047-08-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 31297CBK5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       3046 | PA      | $3211.11       | 0.00%             | 2034-07-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 36204GSZ6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        210 | PA      | $209.98        | 0.00%             | 2025-02-15      | Fixed         | 9.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138W0LZ0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     702830 | PA      | $674384.95     | 0.00%             | 2028-01-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3133B7XZ6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    6559437 | PA      | $6019557.25    | 0.03%             | 2052-04-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140JQHG1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1025487 | PA      | $915828.08     | 0.00%             | 2050-01-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 36182G4P0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       4265 | PA      | $4054.30       | 0.00%             | 2044-06-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae II Pool                               | CUSIP: 36202E2B4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      43431 | PA      | $45219.11      | 0.00%             | 2039-02-20      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31416WUW0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     208211 | PA      | $203294.34     | 0.00%             | 2025-09-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3132A8P45<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     549898 | PA      | $524162.37     | 0.00%             | 2032-02-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138XGTV5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     363972 | PA      | $349558.53     | 0.00%             | 2029-02-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 36206DP84<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        177 | PA      | $177.00        | 0.00%             | 2026-03-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 312938Z48<br>LEI: 254900HROIFWPRGM1V77 | Long             | ABS-MBS          | USGSE             | US        |      29466 | PA      | $29482.57      | 0.00%             | 2040-01-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140XBYF1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    7359386 | PA      | $6525108.69    | 0.03%             | 2051-06-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140H1S68<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     382727 | PA      | $360758.90     | 0.00%             | 2046-12-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140X4MC7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     116127 | PA      | $117140.74     | 0.00%             | 2049-07-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31418ADH8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     139668 | PA      | $131703.85     | 0.00%             | 2042-03-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 31307PEX3<br>LEI: 254900HROIFWPRGM1V77 | Long             | ABS-MBS          | USGSE             | US        |     104000 | PA      | $98647.31      | 0.00%             | 2030-09-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140GQW28<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     963652 | PA      | $936494.46     | 0.00%             | 2047-05-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae II Pool                               | CUSIP: 36179SCB1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       9330 | PA      | $9589.78       | 0.00%             | 2046-05-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138X4EB2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    2395359 | PA      | $2417200.17    | 0.01%             | 2043-09-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31410LB84<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      15510 | PA      | $15212.83      | 0.00%             | 2025-11-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3132M75R5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       4729 | PA      | $4587.30       | 0.00%             | 2044-07-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138Y7A28<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      25511 | PA      | $24724.74      | 0.00%             | 2044-11-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 31292SB82<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      20552 | PA      | $19937.76      | 0.00%             | 2044-09-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140QHQP3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    3954453 | PA      | $3818626.50    | 0.02%             | 2036-02-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31405CJH3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       9005 | PA      | $9128.25       | 0.00%             | 2034-07-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140J7Q24<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1518914 | PA      | $1460333.78    | 0.01%             | 2032-06-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31404YBM3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       3735 | PA      | $3852.46       | 0.00%             | 2034-07-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 36225AN48<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |         39 | PA      | $39.37         | 0.00%             | 2024-10-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140JX5L8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     541546 | PA      | $509238.16     | 0.00%             | 2035-01-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140K3VP4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1032295 | PA      | $954979.88     | 0.00%             | 2050-01-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 36208G3F3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        241 | PA      | $249.12        | 0.00%             | 2028-06-15      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 36185C6U3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      34282 | PA      | $33339.90      | 0.00%             | 2045-05-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138WDJ28<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      32893 | PA      | $32795.57      | 0.00%             | 2044-11-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 31296X7E9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       3981 | PA      | $4040.01       | 0.00%             | 2034-05-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140QLL87<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   33725262 | PA      | $28899027.68   | 0.12%             | 2051-07-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3128MCRE7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       5148 | PA      | $5090.33       | 0.00%             | 2025-08-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae II Pool                               | CUSIP: 3617J5NY8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    1017062 | PA      | $1022224.87    | 0.00%             | 2048-11-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3131XXJ28<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    3625383 | PA      | $3486169.76    | 0.01%             | 2047-08-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140QM3Y8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    5222526 | PA      | $4294931.33    | 0.02%             | 2052-01-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 36200N4T5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      10163 | PA      | $10755.79      | 0.00%             | 2034-10-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140FKFD7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1338855 | PA      | $1287949.49    | 0.01%             | 2046-11-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140QNR61<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1120528 | PA      | $1034732.80    | 0.00%             | 2037-03-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3128K2B99<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |        965 | PA      | $980.69        | 0.00%             | 2036-01-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31418D2M3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   61910320 | PA      | $53098074.22   | 0.23%             | 2051-07-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 36206VKT3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        205 | PA      | $206.55        | 0.00%             | 2026-03-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3133KN2Y8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     675834 | PA      | $577330.93     | 0.00%             | 2052-03-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 36184XCW7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      11421 | PA      | $10786.45      | 0.00%             | 2045-04-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 31335GKR5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |         33 | PA      | $33.20         | 0.00%             | 2025-06-01      | Fixed         | 8.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae II Pool                               | CUSIP: 36179VHT0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    1046555 | PA      | $983429.82     | 0.00%             | 2050-03-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31416XYX2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      30171 | PA      | $28446.51      | 0.00%             | 2041-03-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140LSXQ4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    2111902 | PA      | $1809436.18    | 0.01%             | 2051-07-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31385JJD1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        274 | PA      | $285.10        | 0.00%             | 2032-07-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138A9WX8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      35225 | PA      | $35214.90      | 0.00%             | 2041-05-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3132A5GP4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    1765954 | PA      | $1595877.42    | 0.01%             | 2047-03-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140E7JG6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      15670 | PA      | $15001.61      | 0.00%             | 2030-11-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae II Pool                               | CUSIP: 36179VTX8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    2977466 | PA      | $2708676.28    | 0.01%             | 2050-09-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31418DC26<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1968005 | PA      | $1942547.21    | 0.01%             | 2049-06-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 31296NY76<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       2966 | PA      | $3008.35       | 0.00%             | 2033-10-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140XGPU7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     361850 | PA      | $298414.92     | 0.00%             | 2051-11-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140J6GM3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    5992324 | PA      | $5762155.29    | 0.02%             | 2047-10-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138Y5WF9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      11230 | PA      | $10883.54      | 0.00%             | 2044-12-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140XA6H0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     808964 | PA      | $727568.76     | 0.00%             | 2036-05-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140K75Q2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1796507 | PA      | $1661954.99    | 0.01%             | 2050-01-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 36213EPM2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        558 | PA      | $567.38        | 0.00%             | 2031-12-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140FVBY1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    2067389 | PA      | $2009979.09    | 0.01%             | 2032-05-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3133A4PE0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     850138 | PA      | $795044.58     | 0.00%             | 2050-05-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 31335BW93<br>LEI: 254900HROIFWPRGM1V77 | Long             | ABS-MBS          | USGSE             | US        |    2414619 | PA      | $2256140.21    | 0.01%             | 2046-01-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae II Pool                               | CUSIP: 36202FSU1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      25491 | PA      | $26540.19      | 0.00%             | 2041-04-20      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140HPS73<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1504189 | PA      | $1504758.34    | 0.01%             | 2048-11-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31412N4K9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        744 | PA      | $735.34        | 0.00%             | 2024-02-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3132GD6M9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      12742 | PA      | $12750.94      | 0.00%             | 2041-05-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3128MJMB3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      26610 | PA      | $26624.59      | 0.00%             | 2039-07-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3132GU4D3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     405146 | PA      | $395845.15     | 0.00%             | 2042-07-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140FVCT1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1137707 | PA      | $1067218.00    | 0.00%             | 2047-05-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 31287P6J7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       1086 | PA      | $1136.76       | 0.00%             | 2032-03-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31417VQU0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     304255 | PA      | $304131.87     | 0.00%             | 2040-01-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 36183X4F4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     135800 | PA      | $128252.70     | 0.00%             | 2045-04-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 36209EVC3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        170 | PA      | $170.71        | 0.00%             | 2028-10-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138EGXK5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     937294 | PA      | $957634.22     | 0.00%             | 2041-08-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140HAFL9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      33355 | PA      | $33038.83      | 0.00%             | 2048-02-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140MNP42<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   19742354 | PA      | $18072736.91   | 0.08%             | 2052-05-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31418CDL5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    3795027 | PA      | $3429518.91    | 0.01%             | 2046-11-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3132VNKQ5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     722117 | PA      | $728910.43     | 0.00%             | 2049-02-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3132QVDD0<br>LEI: 254900HROIFWPRGM1V77 | Long             | ABS-MBS          | USGSE             | US        |     696518 | PA      | $650803.79     | 0.00%             | 2046-01-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31416B6X1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       7944 | PA      | $7735.58       | 0.00%             | 2039-03-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31406XE32<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        195 | PA      | $194.18        | 0.00%             | 2035-05-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3128M7GG5<br>LEI: 254900HROIFWPRGM1V77 | Long             | ABS-MBS          | USGSE             | US        |      37792 | PA      | $37738.49      | 0.00%             | 2038-06-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31418ACH9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      29268 | PA      | $28434.45      | 0.00%             | 2042-02-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae II Pool                               | CUSIP: 3617BBR29<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     601955 | PA      | $596790.86     | 0.00%             | 2047-10-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3132DWFS7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    3000000 | PA      | $3035783.16    | 0.01%             | 2052-12-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140J82U6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    3235990 | PA      | $3103628.03    | 0.01%             | 2030-08-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31412TUZ4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        116 | PA      | $115.44        | 0.00%             | 2023-10-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 31296WGD3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       3381 | PA      | $3430.75       | 0.00%             | 2034-04-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 31297KLN0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |        447 | PA      | $461.84        | 0.00%             | 2034-12-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140LYG72<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1246768 | PA      | $1069062.34    | 0.00%             | 2051-08-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 31307UV70<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      11743 | PA      | $11054.60      | 0.00%             | 2032-11-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31417GL53<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      26408 | PA      | $24109.23      | 0.00%             | 2043-05-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140L4M48<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1038708 | PA      | $898143.59     | 0.00%             | 2051-06-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138ML5P5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    2695342 | PA      | $2461741.64    | 0.01%             | 2042-12-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140KLZ96<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    3434757 | PA      | $2974479.08    | 0.01%             | 2050-09-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 36178TRG3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       4571 | PA      | $4344.99       | 0.00%             | 2042-08-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 31293SLG2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |        905 | PA      | $933.08        | 0.00%             | 2029-07-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 31307M5U6<br>LEI: 254900HROIFWPRGM1V77 | Long             | ABS-MBS          | USGSE             | US        |     488471 | PA      | $463328.27     | 0.00%             | 2030-05-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140FLEB0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     310072 | PA      | $292974.10     | 0.00%             | 2046-11-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140JWC57<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     446279 | PA      | $403481.04     | 0.00%             | 2049-07-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140FPDW6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     566585 | PA      | $550851.29     | 0.00%             | 2032-06-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138WH4N9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1621660 | PA      | $1526769.87    | 0.01%             | 2031-09-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3133GBUG7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     359886 | PA      | $323806.88     | 0.00%             | 2036-01-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138A7GV4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     265464 | PA      | $257269.61     | 0.00%             | 2026-02-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140K1C87<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    4824207 | PA      | $4318326.28    | 0.02%             | 2049-11-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3132Y1NA2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     587851 | PA      | $571186.58     | 0.00%             | 2048-05-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140J8X57<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   14497706 | PA      | $13980023.13   | 0.06%             | 2030-03-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3128M6AX6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      15738 | PA      | $16373.83      | 0.00%             | 2038-04-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 31307HLK1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     943605 | PA      | $923568.80     | 0.00%             | 2029-06-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3132VMJ63<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     477200 | PA      | $459202.14     | 0.00%             | 2049-01-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31418RGR6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      39872 | PA      | $39859.85      | 0.00%             | 2040-04-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae II Pool                               | CUSIP: 36179QRX1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    3493111 | PA      | $3217548.09    | 0.01%             | 2044-10-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3132WD3Z5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     236923 | PA      | $224857.06     | 0.00%             | 2046-06-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 3620AF4W4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      10925 | PA      | $11267.93      | 0.00%             | 2040-02-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 36241KQW1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       5909 | PA      | $6184.11       | 0.00%             | 2038-02-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140J52B4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1835977 | PA      | $1748183.45    | 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        |     229158 | PA      | $222794.41     | 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        |    6038821 | PA      | $5628767.32    | 0.02%             | 2046-12-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 36297DNX1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       8423 | PA      | $8452.37       | 0.00%             | 2039-05-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31402JAG2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      19136 | PA      | $19703.65      | 0.00%             | 2033-07-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3132A5GR0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     386846 | PA      | $371991.33     | 0.00%             | 2047-03-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 36296UNP1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       1744 | PA      | $1738.58       | 0.00%             | 2024-01-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31416XLJ7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      16945 | PA      | $16522.20      | 0.00%             | 2026-01-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3128MJZC7<br>LEI: 254900HROIFWPRGM1V77 | Long             | ABS-MBS          | USGSE             | US        |    1171558 | PA      | $1093115.50    | 0.00%             | 2046-12-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3133G6MZ5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     753952 | PA      | $753381.23     | 0.00%             | 2034-08-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138Y1EG6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       4765 | PA      | $4659.90       | 0.00%             | 2029-09-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3128MCSM8<br>LEI: 254900HROIFWPRGM1V77 | Long             | ABS-MBS          | USGSE             | US        |     255973 | PA      | $251291.15     | 0.00%             | 2025-10-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3133A9SR7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    4061103 | PA      | $3597662.34    | 0.02%             | 2050-09-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140QAH29<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      72358 | PA      | $69558.08      | 0.00%             | 2048-09-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 3620AQYM9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     130613 | PA      | $135287.54     | 0.00%             | 2040-02-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 31307NC77<br>LEI: 254900HROIFWPRGM1V77 | Long             | ABS-MBS          | USGSE             | US        |      17991 | PA      | $17064.65      | 0.00%             | 2030-06-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31415YKQ1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       2395 | PA      | $2393.90       | 0.00%             | 2039-06-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3132XUEW1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      30992 | PA      | $28911.12      | 0.00%             | 2047-11-01      | 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        |   12800200 | PA      | $12685409.69   | 0.05%             | 2048-07-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 31293BF68<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |        304 | PA      | $306.09        | 0.00%             | 2028-10-01      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 312946LW4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      12383 | PA      | $12391.22      | 0.00%             | 2041-03-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140QBSY5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1080283 | PA      | $964764.58     | 0.00%             | 2049-09-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138WTPW0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       9977 | PA      | $9568.83       | 0.00%             | 2028-05-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140KQUB5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     637636 | PA      | $554260.86     | 0.00%             | 2050-10-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3128MJ5H9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     246295 | PA      | $237006.07     | 0.00%             | 2048-11-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 36230RLL8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      12016 | PA      | $11802.74      | 0.00%             | 2040-12-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae II Pool                               | CUSIP: 36179UZT2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   11637572 | PA      | $10938759.19   | 0.05%             | 2049-09-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3128M8NX8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      52544 | PA      | $52579.11      | 0.00%             | 2041-02-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138YPMU3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      90461 | PA      | $81806.38      | 0.00%             | 2045-04-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31371LPJ2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      13009 | PA      | $13417.00      | 0.00%             | 2034-06-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31411VHL6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       1517 | PA      | $1600.07       | 0.00%             | 2037-06-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3133G8XY2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     662916 | PA      | $627201.80     | 0.00%             | 2035-06-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31419EBD0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       2499 | PA      | $2497.85       | 0.00%             | 2040-09-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138WG4S0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     543294 | PA      | $495592.33     | 0.00%             | 2046-05-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3128PQ2D2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       3051 | PA      | $2999.03       | 0.00%             | 2025-02-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae II Pool                               | CUSIP: 36179TR64<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     335977 | PA      | $298015.49     | 0.00%             | 2048-02-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31416BL71<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      10823 | PA      | $11413.31      | 0.00%             | 2037-09-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 312941WN3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     290789 | PA      | $297414.96     | 0.00%             | 2040-08-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138YTXW9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      36989 | PA      | $35050.94      | 0.00%             | 2030-06-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31418CV27<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    3194503 | PA      | $2972243.29    | 0.01%             | 2048-04-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140KMR28<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    2969875 | PA      | $2748686.62    | 0.01%             | 2035-08-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 31292GU38<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |         47 | PA      | $48.42         | 0.00%             | 2028-02-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140FGPR4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     357534 | PA      | $336648.56     | 0.00%             | 2047-01-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140GXC66<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     337616 | PA      | $336150.84     | 0.00%             | 2047-09-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 36292F2T3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       3161 | PA      | $3298.56       | 0.00%             | 2035-09-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 31298ACY7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       1189 | PA      | $1232.14       | 0.00%             | 2030-09-01      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140KSZW0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1340014 | PA      | $1102356.05    | 0.00%             | 2052-01-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138Y9V54<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      84061 | PA      | $80731.85      | 0.00%             | 2029-11-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 36208FAH3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |         98 | PA      | $99.80         | 0.00%             | 2028-01-15      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 31296JML7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       1002 | PA      | $1016.64       | 0.00%             | 2033-06-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae II Pool                               | CUSIP: 36202FDW3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     441159 | PA      | $444416.10     | 0.00%             | 2040-01-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140X5V83<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1642286 | PA      | $1533035.87    | 0.01%             | 2047-05-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31418CJJ4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      11576 | PA      | $11022.38      | 0.00%             | 2032-04-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3132Y3RJ5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     752620 | PA      | $762130.68     | 0.00%             | 2048-11-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3132GDJZ6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      15986 | PA      | $15545.37      | 0.00%             | 2041-04-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138YNL39<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     322891 | PA      | $309115.18     | 0.00%             | 2030-08-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3133AUUF3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    5654876 | PA      | $4665506.26    | 0.02%             | 2051-10-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138WRYT1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     274573 | PA      | $250669.68     | 0.00%             | 2043-07-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3133G7RL9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     658337 | PA      | $623194.98     | 0.00%             | 2035-01-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3132L5AB9<br>LEI: 254900HROIFWPRGM1V77 | Long             | ABS-MBS          | USGSE             | US        |     334500 | PA      | $296645.31     | 0.00%             | 2043-04-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 36295M5X3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       2414 | PA      | $2559.89       | 0.00%             | 2038-01-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140H5EQ0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      17270 | PA      | $16241.36      | 0.00%             | 2032-12-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31418R6T3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      15078 | PA      | $15073.81      | 0.00%             | 2040-04-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3132Y0GA2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     344008 | PA      | $350393.48     | 0.00%             | 2048-06-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3133G8UY5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     795823 | PA      | $737491.93     | 0.00%             | 2035-06-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140QMUY8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    5027332 | PA      | $4305310.44    | 0.02%             | 2051-12-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140HBJ25<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1160079 | PA      | $1115519.53    | 0.00%             | 2048-02-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138YPAY8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      54049 | PA      | $48878.42      | 0.00%             | 2045-05-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae II Pool                               | CUSIP: 36178DD32<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     895538 | PA      | $851550.94     | 0.00%             | 2042-08-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3128PQVK4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       1782 | PA      | $1753.18       | 0.00%             | 2025-01-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138EGBC7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     190809 | PA      | $187830.63     | 0.00%             | 2038-12-01      | Floating      | 2.57%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140E0E76<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      12784 | PA      | $12690.53      | 0.00%             | 2045-11-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31389NRY3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        353 | PA      | $368.19        | 0.00%             | 2032-05-01      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138XGAC7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      20415 | PA      | $20540.46      | 0.00%             | 2044-01-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31416M4S0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       8038 | PA      | $7829.28       | 0.00%             | 2039-03-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 313615TC0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |         41 | PA      | $41.49         | 0.00%             | 2023-12-01      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae II Pool                               | CUSIP: 3617A0J49<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    1895543 | PA      | $1739891.02    | 0.01%             | 2045-08-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138WJXN3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1194369 | PA      | $1079336.63    | 0.00%             | 2047-02-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138LTJZ2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      49973 | PA      | $47122.98      | 0.00%             | 2042-05-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138EHMJ8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |         66 | PA      | $65.69         | 0.00%             | 2025-01-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140X5UA9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      99517 | PA      | $98233.83      | 0.00%             | 2049-07-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3128LCBQ8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      14834 | PA      | $15434.57      | 0.00%             | 2038-06-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae II Pool                               | CUSIP: 36179RD63<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    8862672 | PA      | $8134916.21    | 0.03%             | 2045-05-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 31297AQR8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      18932 | PA      | $19211.56      | 0.00%             | 2034-06-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3128L8Y33<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      31923 | PA      | $32590.18      | 0.00%             | 2038-04-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 36176XCL1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     131516 | PA      | $124991.89     | 0.00%             | 2042-02-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31418VUJ9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       5993 | PA      | $6123.05       | 0.00%             | 2040-07-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 31292LE43<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       6578 | PA      | $6409.18       | 0.00%             | 2042-03-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae II Pool                               | CUSIP: 36179XFD3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    6868918 | PA      | $6034387.73    | 0.03%             | 2052-09-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31410KEX8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      20317 | PA      | $21430.50      | 0.00%             | 2038-03-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138WCG56<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      60333 | PA      | $61509.44      | 0.00%             | 2044-07-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138WJ6R4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     773320 | PA      | $765995.00     | 0.00%             | 2047-03-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140FBDW7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     773152 | PA      | $726966.09     | 0.00%             | 2046-08-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae II Pool                               | CUSIP: 36202EEG0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     664673 | PA      | $681505.52     | 0.00%             | 2035-07-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138X2W83<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       6979 | PA      | $6598.18       | 0.00%             | 2028-08-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138XR5W5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1377507 | PA      | $1318735.39    | 0.01%             | 2030-04-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 36241KCX4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       3897 | PA      | $4054.95       | 0.00%             | 2035-03-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140KGBD4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     566732 | PA      | $532945.75     | 0.00%             | 2035-07-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140Q73S4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1224571 | PA      | $1177534.77    | 0.01%             | 2047-11-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 36205BLD2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |         32 | PA      | $32.55         | 0.00%             | 2024-05-15      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138WH4Y5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    2086079 | PA      | $1964013.28    | 0.01%             | 2031-10-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3133G7UW1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     398831 | PA      | $375050.82     | 0.00%             | 2035-02-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138WGDN1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1079551 | PA      | $1007736.11    | 0.00%             | 2046-01-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 36225BAM0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        697 | PA      | $716.88        | 0.00%             | 2028-11-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31418DZZ8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1533929 | PA      | $1342140.00    | 0.01%             | 2036-06-01      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 36241LWN2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      10412 | PA      | $10739.54      | 0.00%             | 2041-04-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31419KK79<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      16599 | PA      | $16209.67      | 0.00%             | 2025-11-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31410LN57<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     630048 | PA      | $605098.53     | 0.00%             | 2029-07-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138ER6D7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      19509 | PA      | $18595.65      | 0.00%             | 2032-02-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3128M8CY8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       8070 | PA      | $8238.68       | 0.00%             | 2040-09-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3133GDCJ7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    1022052 | PA      | $918156.64     | 0.00%             | 2036-06-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3128K4L45<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |        458 | PA      | $491.44        | 0.00%             | 2036-02-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140QBGN2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    6570407 | PA      | $5741741.82    | 0.02%             | 2049-07-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138Y1QG3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       5457 | PA      | $5288.41       | 0.00%             | 2044-08-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31386FBK0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       1003 | PA      | $1071.88       | 0.00%             | 2030-12-01      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 36241LYE0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       2837 | PA      | $2781.03       | 0.00%             | 2041-09-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31371FB50<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |         95 | PA      | $96.12         | 0.00%             | 2025-10-01      | Fixed         | 8.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138EPK52<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     196380 | PA      | $191377.96     | 0.00%             | 2027-07-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 36203N4B1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |         18 | PA      | $17.75         | 0.00%             | 2023-07-15      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3128K8YN0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      21632 | PA      | $22460.77      | 0.00%             | 2035-12-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138WDN64<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     813685 | PA      | $763047.40     | 0.00%             | 2044-12-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138YLEM9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      16954 | PA      | $16065.35      | 0.00%             | 2030-04-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31417YRW9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      37856 | PA      | $38675.77      | 0.00%             | 2040-08-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31415W7K3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        869 | PA      | $862.81        | 0.00%             | 2023-12-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 36178DF97<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     367752 | PA      | $337727.51     | 0.00%             | 2042-08-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 36292DDD1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       3147 | PA      | $3276.29       | 0.00%             | 2035-10-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138EKBJ3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       7753 | PA      | $7471.64       | 0.00%             | 2027-07-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31416CL79<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        533 | PA      | $543.44        | 0.00%             | 2039-03-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae II Pool                               | CUSIP: 36179TJX4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    8136482 | PA      | $7686011.74    | 0.03%             | 2047-10-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31375ALV9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |         49 | PA      | $49.39         | 0.00%             | 2025-12-01      | Fixed         | 8.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140J7XG5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1645656 | PA      | $1509009.75    | 0.01%             | 2045-07-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140H72P1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     625427 | PA      | $592728.06     | 0.00%             | 2048-01-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138WDYF2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      10092 | PA      | $9542.62       | 0.00%             | 2030-01-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 31294MBP5<br>LEI: 254900HROIFWPRGM1V77 | Long             | ABS-MBS          | USGSE             | US        |     602243 | PA      | $588020.97     | 0.00%             | 2025-11-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 36295QXT2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       1311 | PA      | $1398.55       | 0.00%             | 2037-12-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3132GMFY3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       4336 | PA      | $4216.32       | 0.00%             | 2042-01-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140J5NM7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    2589484 | PA      | $2562516.91    | 0.01%             | 2047-06-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140FFDE8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     848321 | PA      | $808610.78     | 0.00%             | 2031-09-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae II Pool                               | CUSIP: 36179MQN3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    5667533 | PA      | $5220315.30    | 0.02%             | 2042-10-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140KNKN7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1995854 | PA      | $1649165.93    | 0.01%             | 2050-10-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138YCB26<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      30012 | PA      | $29348.69      | 0.00%             | 2029-12-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140J96V8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1305448 | PA      | $1236151.88    | 0.01%             | 2047-03-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae II Pool                               | CUSIP: 36179MC24<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       6366 | PA      | $6256.51       | 0.00%             | 2042-05-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138MFNQ6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      24164 | PA      | $24152.65      | 0.00%             | 2042-09-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140MGK34<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  136685581 | PA      | $112320463.37  | 0.48%             | 2052-02-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138W9GE4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      13391 | PA      | $12985.43      | 0.00%             | 2028-08-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140GW6Z1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     116961 | PA      | $116453.00     | 0.00%             | 2047-09-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 36295QCN8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      19292 | PA      | $19862.87      | 0.00%             | 2038-05-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 3620ARQD6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      15694 | PA      | $16362.55      | 0.00%             | 2040-11-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140X7VQ9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   23241653 | PA      | $20155940.63   | 0.09%             | 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        |   12894895 | PA      | $12019294.15   | 0.05%             | 2048-07-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31418APA0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     882105 | PA      | $781434.63     | 0.00%             | 2043-01-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138EHFE7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1068402 | PA      | $1144339.42    | 0.00%             | 2039-10-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 31307KA91<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     118296 | PA      | $113718.19     | 0.00%             | 2029-11-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31414SX81<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        992 | PA      | $1030.66       | 0.00%             | 2038-06-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138WJUZ9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      84762 | PA      | $81538.91      | 0.00%             | 2047-01-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3128M7PU4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      85576 | PA      | $85624.60      | 0.00%             | 2039-07-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140FRH65<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     318405 | PA      | $296784.44     | 0.00%             | 2047-01-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140QAR36<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1900449 | PA      | $1827913.80    | 0.01%             | 2049-03-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31374T2L2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |         51 | PA      | $52.83         | 0.00%             | 2029-04-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 36177MZZ8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      34710 | PA      | $32995.31      | 0.00%             | 2042-04-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138XJ7L5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      42629 | PA      | $43554.83      | 0.00%             | 2043-11-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae II Pool                               | CUSIP: 36179NBA5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    4396518 | PA      | $4049687.38    | 0.02%             | 2043-04-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3128LXBE9<br>LEI: 254900HROIFWPRGM1V77 | Long             | ABS-MBS          | USGSE             | US        |    1455976 | PA      | $1479741.60    | 0.01%             | 2035-07-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 36290SR94<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      11421 | PA      | $11903.31      | 0.00%             | 2034-01-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138WHP30<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1428435 | PA      | $1344851.49    | 0.01%             | 2031-08-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3128KRLD4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       4753 | PA      | $5017.27       | 0.00%             | 2036-12-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3128MJXJ4<br>LEI: 254900HROIFWPRGM1V77 | Long             | ABS-MBS          | USGSE             | US        |    5445188 | PA      | $4929212.01    | 0.02%             | 2045-12-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 31307MF76<br>LEI: 254900HROIFWPRGM1V77 | Long             | ABS-MBS          | USGSE             | US        |     254109 | PA      | $243498.40     | 0.00%             | 2030-03-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138Y6YN8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       2654 | PA      | $2645.98       | 0.00%             | 2044-10-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140J5ZY8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1888851 | PA      | $1774869.19    | 0.01%             | 2047-08-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3131XCFK8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    1149259 | PA      | $1095472.33    | 0.00%             | 2031-09-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae II Pool                               | CUSIP: 36179SUW5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    6176974 | PA      | $6005824.54    | 0.03%             | 2047-01-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3132M96D1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    1897291 | PA      | $1780910.05    | 0.01%             | 2044-10-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140X9Y74<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    4184974 | PA      | $3871533.70    | 0.02%             | 2050-08-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 36201SSU4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        408 | PA      | $423.22        | 0.00%             | 2033-03-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140EULL1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     306301 | PA      | $276997.46     | 0.00%             | 2045-12-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 312939JJ1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      14813 | PA      | $15150.79      | 0.00%             | 2040-02-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138MLSJ4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    2726808 | PA      | $2490480.35    | 0.01%             | 2042-12-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 3620AQYB3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     120484 | PA      | $124661.58     | 0.00%             | 2040-02-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3132XYUX3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       3317 | PA      | $3191.88       | 0.00%             | 2048-05-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae II Pool                               | CUSIP: 3620AM2B7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    2345654 | PA      | $2364367.66    | 0.01%             | 2041-04-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140JGNX9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     614228 | PA      | $606978.44     | 0.00%             | 2048-09-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 3617AAC51<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      41665 | PA      | $40520.17      | 0.00%             | 2045-11-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 36295L2U4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        557 | PA      | $585.67        | 0.00%             | 2038-05-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140FEEF7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1368766 | PA      | $1282911.66    | 0.01%             | 2046-10-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3132M7QW1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      42293 | PA      | $42208.77      | 0.00%             | 2044-07-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 36208FKC3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        258 | PA      | $259.72        | 0.00%             | 2027-12-15      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31416BLD8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     630266 | PA      | $653718.91     | 0.00%             | 2037-08-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3128KXSN2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |        398 | PA      | $420.23        | 0.00%             | 2037-10-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3132Y3H72<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    5025552 | PA      | $4859189.32    | 0.02%             | 2048-10-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138WE5U9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    2279804 | PA      | $2182535.77    | 0.01%             | 2030-07-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae II Pool                               | CUSIP: 36179WJS8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    1630669 | PA      | $1477097.12    | 0.01%             | 2051-07-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 312939CK5<br>LEI: 254900HROIFWPRGM1V77 | Long             | ABS-MBS          | USGSE             | US        |       1715 | PA      | $1716.41       | 0.00%             | 2040-02-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 36241LGU4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     155840 | PA      | $163337.42     | 0.00%             | 2039-12-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3133A6NF4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     902344 | PA      | $808729.15     | 0.00%             | 2050-06-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31401HUE0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        292 | PA      | $297.93        | 0.00%             | 2033-06-01      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31418CS96<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    3191570 | PA      | $3069290.63    | 0.01%             | 2038-01-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138EQRJ3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      57174 | PA      | $55909.07      | 0.00%             | 2030-11-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 31334WSQ5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    7945015 | PA      | $7350029.74    | 0.03%             | 2049-06-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31371GMS6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        581 | PA      | $602.40        | 0.00%             | 2028-03-01      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31415PZY7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        498 | PA      | $517.66        | 0.00%             | 2038-06-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3132VL5K9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     732750 | PA      | $711446.71     | 0.00%             | 2049-01-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3128MMK77<br>LEI: 254900HROIFWPRGM1V77 | Long             | ABS-MBS          | USGSE             | US        |      18919 | PA      | $18730.45      | 0.00%             | 2024-07-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 31329P6E8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     191772 | PA      | $189508.75     | 0.00%             | 2049-01-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140K5LF2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      26862 | PA      | $26821.89      | 0.00%             | 2050-03-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140J96D8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    3793488 | PA      | $3486687.72    | 0.01%             | 2047-03-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138YTWC4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1369176 | PA      | $1297427.06    | 0.01%             | 2030-06-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31418ABZ0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     129189 | PA      | $121805.42     | 0.00%             | 2042-01-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 36201SNX3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       4078 | PA      | $4203.77       | 0.00%             | 2032-12-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140Q8HL2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     709291 | PA      | $661013.28     | 0.00%             | 2048-01-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31383LHX6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        107 | PA      | $108.14        | 0.00%             | 2029-08-01      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3132WH6X8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       7234 | PA      | $6543.95       | 0.00%             | 2046-11-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31418UEL4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     114205 | PA      | $116679.27     | 0.00%             | 2040-06-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31412MPB8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       1424 | PA      | $1480.24       | 0.00%             | 2038-03-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31391VVG5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       9895 | PA      | $10345.73      | 0.00%             | 2032-12-01      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31417GSA5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     188036 | PA      | $177242.55     | 0.00%             | 2043-05-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3133L8QH1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    3182572 | PA      | $2942242.31    | 0.01%             | 2036-08-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3132XYAB3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    1859064 | PA      | $1876554.38    | 0.01%             | 2048-04-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138WFSQ0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       9610 | PA      | $9106.11       | 0.00%             | 2030-10-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3128KEH48<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      17197 | PA      | $18154.16      | 0.00%             | 2036-09-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 36211SD20<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       4868 | PA      | $5058.71       | 0.00%             | 2035-05-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138EGAN4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       5711 | PA      | $6023.34       | 0.00%             | 2039-10-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138YRGQ5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       3938 | PA      | $3731.79       | 0.00%             | 2030-07-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae II Pool                               | CUSIP: 36179TUC7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    2449933 | PA      | $2428913.42    | 0.01%             | 2048-03-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31371GEF3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |         62 | PA      | $64.52         | 0.00%             | 2027-11-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140J8DJ9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    7376645 | PA      | $6734470.63    | 0.03%             | 2043-09-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 36292ENA4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       2371 | PA      | $2473.93       | 0.00%             | 2039-01-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 31292HD68<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |         45 | PA      | $48.70         | 0.00%             | 2030-07-01      | Fixed         | 8.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138WE5R6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      52787 | PA      | $50020.57      | 0.00%             | 2030-07-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 36194GQD9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      57049 | PA      | $55462.36      | 0.00%             | 2046-08-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31407XY39<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      18198 | PA      | $18474.32      | 0.00%             | 2035-11-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 31292GUW4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |        709 | PA      | $740.81        | 0.00%             | 2028-03-01      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 31307LJU3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     180282 | PA      | $173305.67     | 0.00%             | 2030-01-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31416WL91<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       5740 | PA      | $5863.94       | 0.00%             | 2040-07-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138Y8SK7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     198232 | PA      | $189773.98     | 0.00%             | 2030-03-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31415SXW7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        216 | PA      | $215.11        | 0.00%             | 2023-11-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae II Pool                               | CUSIP: 36179SNX1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    1474382 | PA      | $1478533.70    | 0.01%             | 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        |   20482994 | PA      | $18401403.50   | 0.08%             | 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        |   34429728 | PA      | $32353019.37   | 0.14%             | 2050-01-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae II Pool                               | CUSIP: 36241LW51<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       3495 | PA      | $3522.61       | 0.00%             | 2041-07-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31368HM42<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     147462 | PA      | $153243.41     | 0.00%             | 2037-05-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140KVRM4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    9414572 | PA      | $8075177.18    | 0.03%             | 2050-11-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138ERHL7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     587373 | PA      | $554984.44     | 0.00%             | 2046-10-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3129393F6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       8449 | PA      | $8454.50       | 0.00%             | 2040-03-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 31335GP66<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |        136 | PA      | $141.29        | 0.00%             | 2026-11-01      | Fixed         | 8.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3133ADKE5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    1155481 | PA      | $1038101.54    | 0.00%             | 2050-12-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 31307MNM4<br>LEI: 254900HROIFWPRGM1V77 | Long             | ABS-MBS          | USGSE             | US        |     187885 | PA      | $178213.87     | 0.00%             | 2030-04-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31374FZ69<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |         12 | PA      | $12.42         | 0.00%             | 2024-10-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 31292H4J0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |        571 | PA      | $588.66        | 0.00%             | 2033-12-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 36176XP37<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       8099 | PA      | $7699.38       | 0.00%             | 2042-05-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140HPNF0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     510820 | PA      | $504461.64     | 0.00%             | 2033-08-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3128MEBV2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     988085 | PA      | $949847.45     | 0.00%             | 2029-12-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140HPPM3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     424127 | PA      | $418847.06     | 0.00%             | 2033-10-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 36213FPB3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       2222 | PA      | $2284.54       | 0.00%             | 2033-03-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 31335AUE6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    5329844 | PA      | $4972980.47    | 0.02%             | 2046-05-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138WE6B0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1205462 | PA      | $1133802.24    | 0.00%             | 2045-07-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140GWND1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      16219 | PA      | $16049.83      | 0.00%             | 2047-08-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138E1X28<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       4597 | PA      | $4466.10       | 0.00%             | 2042-01-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3128M8W67<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      17605 | PA      | $18871.85      | 0.00%             | 2039-09-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3132L87H4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     872642 | PA      | $839927.87     | 0.00%             | 2047-11-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3132WER53<br>LEI: 254900HROIFWPRGM1V77 | Long             | ABS-MBS          | USGSE             | US        |      56861 | PA      | $53053.77      | 0.00%             | 2046-07-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138X9AT6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      19588 | PA      | $19563.93      | 0.00%             | 2043-09-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31416KY85<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       2219 | PA      | $2265.13       | 0.00%             | 2039-03-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140XHTD9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   11512375 | PA      | $10795928.79   | 0.05%             | 2049-07-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31418DUE0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1767362 | PA      | $1635733.73    | 0.01%             | 2035-11-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3132WFUT4<br>LEI: 254900HROIFWPRGM1V77 | Long             | ABS-MBS          | USGSE             | US        |     430461 | PA      | $401639.39     | 0.00%             | 2046-08-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31375LN68<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |         16 | PA      | $16.19         | 0.00%             | 2026-03-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31404BVL3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       1907 | PA      | $1963.35       | 0.00%             | 2034-01-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31412WZK5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        666 | PA      | $712.95        | 0.00%             | 2037-06-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 31329NJE9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     329974 | PA      | $299860.67     | 0.00%             | 2046-12-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae II Pool                               | CUSIP: 36179SQX8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    3646277 | PA      | $3545246.74    | 0.02%             | 2046-11-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3133G6GV1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     529932 | PA      | $523430.82     | 0.00%             | 2034-07-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140QAW97<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1009243 | PA      | $945449.98     | 0.00%             | 2049-04-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3128M9KW1<br>LEI: 254900HROIFWPRGM1V77 | Long             | ABS-MBS          | USGSE             | US        |     136195 | PA      | $136272.50     | 0.00%             | 2041-10-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 31307VEY8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     286380 | PA      | $272946.48     | 0.00%             | 2033-01-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140EY3U3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     236477 | PA      | $227285.98     | 0.00%             | 2031-03-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae II Pool                               | CUSIP: 36202E3E7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      33520 | PA      | $33767.73      | 0.00%             | 2039-03-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138XJ2V8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     113887 | PA      | $110375.47     | 0.00%             | 2044-03-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3132A9TA5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    1234424 | PA      | $1162216.90    | 0.00%             | 2032-03-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140K5CC9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1088332 | PA      | $1017069.92    | 0.00%             | 2049-12-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae II Pool                               | CUSIP: 36179U4A7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    2174193 | PA      | $1907878.28    | 0.01%             | 2049-10-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140X4HG4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    9011270 | PA      | $8226792.57    | 0.04%             | 2044-10-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 31283HT21<br>LEI: 254900HROIFWPRGM1V77 | Long             | ABS-MBS          | USGSE             | US        |       1281 | PA      | $1319.72       | 0.00%             | 2032-12-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 36296A6Q2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       2107 | PA      | $2162.04       | 0.00%             | 2038-05-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140FEZ23<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       3661 | PA      | $3520.07       | 0.00%             | 2047-03-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3128K0A94<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |        243 | PA      | $246.75        | 0.00%             | 2035-09-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3128MJCY4<br>LEI: 254900HROIFWPRGM1V77 | Long             | ABS-MBS          | USGSE             | US        |      63910 | PA      | $66358.26      | 0.00%             | 2035-10-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3131Y9M59<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     893612 | PA      | $882043.49     | 0.00%             | 2049-02-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3132AEC87<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     161761 | PA      | $153125.96     | 0.00%             | 2034-05-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 31283HZ65<br>LEI: 254900HROIFWPRGM1V77 | Long             | ABS-MBS          | USGSE             | US        |      69228 | PA      | $71357.59      | 0.00%             | 2034-03-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31417VYG2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      11797 | PA      | $11490.13      | 0.00%             | 2040-02-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae II Pool                               | CUSIP: 36202ET33<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      13211 | PA      | $14021.96      | 0.00%             | 2038-06-20      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31405QUU0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       3182 | PA      | $3172.29       | 0.00%             | 2034-12-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3128LC4U7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       4423 | PA      | $4592.26       | 0.00%             | 2036-05-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 36292MFU1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        693 | PA      | $715.34        | 0.00%             | 2036-04-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31402EX37<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       1939 | PA      | $1964.39       | 0.00%             | 2033-08-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3128M8HQ0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     134447 | PA      | $131001.02     | 0.00%             | 2041-02-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 31292GPL4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |         14 | PA      | $13.93         | 0.00%             | 2025-10-01      | Fixed         | 8.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3128MJVB3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    7256324 | PA      | $6811215.45    | 0.03%             | 2044-10-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae II Pool                               | CUSIP: 36202FZD1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       1821 | PA      | $1936.10       | 0.00%             | 2041-11-20      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3132M7D21<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     897657 | PA      | $870813.97     | 0.00%             | 2044-06-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae II Pool                               | CUSIP: 36179VQV5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     384997 | PA      | $373253.77     | 0.00%             | 2050-07-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31412QHF9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       1147 | PA      | $1192.48       | 0.00%             | 2039-08-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3131WRAN5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      87374 | PA      | $85364.08      | 0.00%             | 2040-12-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 3620ARSE2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       4070 | PA      | $3969.59       | 0.00%             | 2025-12-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 36296MFV5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      15965 | PA      | $16021.47      | 0.00%             | 2039-03-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140LS3S3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1305882 | PA      | $1144114.08    | 0.00%             | 2036-09-01      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31419DEJ6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      34354 | PA      | $33529.41      | 0.00%             | 2025-10-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31405WR64<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       1280 | PA      | $1318.54       | 0.00%             | 2032-06-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140Q72C0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      63241 | PA      | $58936.22      | 0.00%             | 2047-11-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31419ANM5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      29634 | PA      | $29625.33      | 0.00%             | 2040-10-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3128PQ2T7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |        323 | PA      | $322.21        | 0.00%             | 2025-02-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31418CQG2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1743386 | PA      | $1639530.93    | 0.01%             | 2032-10-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140HGTS6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     206843 | PA      | $192451.31     | 0.00%             | 2048-03-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31412NA89<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        178 | PA      | $184.60        | 0.00%             | 2038-08-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3131X7TT5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     156175 | PA      | $151476.18     | 0.00%             | 2027-05-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31411WVA2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      39074 | PA      | $40605.58      | 0.00%             | 2037-05-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138Y9C30<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     419450 | PA      | $406516.91     | 0.00%             | 2044-12-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 3620AV7L0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      30959 | PA      | $30344.76      | 0.00%             | 2041-08-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 31307UNA2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    1330039 | PA      | $1267648.83    | 0.01%             | 2032-09-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31389SFJ8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       1318 | PA      | $1377.57       | 0.00%             | 2032-03-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 36178NFW4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      16931 | PA      | $16094.99      | 0.00%             | 2042-09-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140QKLK2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    3748812 | PA      | $3375197.25    | 0.01%             | 2036-04-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 312939M65<br>LEI: 254900HROIFWPRGM1V77 | Long             | ABS-MBS          | USGSE             | US        |     642880 | PA      | $657529.98     | 0.00%             | 2040-03-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae II Pool                               | CUSIP: 36202DBX8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        269 | PA      | $278.41        | 0.00%             | 2029-05-20      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140GV2D6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      30656 | PA      | $30336.76      | 0.00%             | 2047-12-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138MCXP4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    3768669 | PA      | $3442044.81    | 0.01%             | 2042-11-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140FKT59<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     384334 | PA      | $372856.53     | 0.00%             | 2046-10-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140HGZZ3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     503942 | PA      | $509727.96     | 0.00%             | 2048-04-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140XHNN3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    4109932 | PA      | $3522378.20    | 0.02%             | 2052-05-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3132WKUK2<br>LEI: 254900HROIFWPRGM1V77 | Long             | ABS-MBS          | USGSE             | US        |     706705 | PA      | $701048.98     | 0.00%             | 2047-02-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138WENH8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    2030097 | PA      | $1923713.86    | 0.01%             | 2030-05-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140K5LL9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      28643 | PA      | $27311.99      | 0.00%             | 2050-03-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31413FGG1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       3661 | PA      | $3804.38       | 0.00%             | 2037-08-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31410LSR4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     940947 | PA      | $945956.17     | 0.00%             | 2045-01-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140QG3B1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   10749355 | PA      | $8877144.02    | 0.04%             | 2051-02-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138AVWF8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      20947 | PA      | $20350.49      | 0.00%             | 2041-11-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 312928VW1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       2131 | PA      | $2216.99       | 0.00%             | 2038-10-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 36291AD30<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       5156 | PA      | $5257.14       | 0.00%             | 2033-10-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138YSUA2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      34824 | PA      | $32998.91      | 0.00%             | 2030-08-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 36210RHY9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       1104 | PA      | $1138.36       | 0.00%             | 2032-06-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae II Pool                               | CUSIP: 3622A23R1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    5487254 | PA      | $5210085.35    | 0.02%             | 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        |      76209 | PA      | $71021.80      | 0.00%             | 2049-06-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3128MMW33<br>LEI: 254900HROIFWPRGM1V77 | Long             | ABS-MBS          | USGSE             | US        |   12013614 | PA      | $11309364.42   | 0.05%             | 2032-11-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 31287V2P4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |        487 | PA      | $507.14        | 0.00%             | 2032-08-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae II Pool                               | CUSIP: 3617JGUK6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      93311 | PA      | $91688.51      | 0.00%             | 2049-02-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31406QJL2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       8809 | PA      | $9136.31       | 0.00%             | 2035-04-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3129314M7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       1955 | PA      | $1905.95       | 0.00%             | 2039-04-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140JL5X8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     434806 | PA      | $429674.51     | 0.00%             | 2049-01-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140JM4A7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1492556 | PA      | $1394466.42    | 0.01%             | 2049-03-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3128MJRE2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      20266 | PA      | $18528.20      | 0.00%             | 2042-03-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31416LYE0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      10377 | PA      | $10372.51      | 0.00%             | 2039-03-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3132QWFD6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      29395 | PA      | $27426.91      | 0.00%             | 2046-03-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31417FMN5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1439478 | PA      | $1275198.07    | 0.01%             | 2043-02-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 31287QXR7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |        517 | PA      | $541.07        | 0.00%             | 2032-04-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31417JRZ5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     326259 | PA      | $333104.67     | 0.00%             | 2039-10-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31419EDF3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     384144 | PA      | $392466.56     | 0.00%             | 2035-11-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3129395D9<br>LEI: 254900HROIFWPRGM1V77 | Long             | ABS-MBS          | USGSE             | US        |     116924 | PA      | $119588.73     | 0.00%             | 2040-04-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 31297SBJ3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      32583 | PA      | $32537.61      | 0.00%             | 2035-08-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 36206UYH6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       1476 | PA      | $1477.87       | 0.00%             | 2026-05-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 31307SV26<br>LEI: 254900HROIFWPRGM1V77 | Long             | ABS-MBS          | USGSE             | US        |    1102002 | PA      | $1078074.32    | 0.00%             | 2031-05-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 31293CQX5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |        368 | PA      | $382.22        | 0.00%             | 2028-10-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140QFA58<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   23342458 | PA      | $20232134.96   | 0.09%             | 2050-10-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138W7F66<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     979475 | PA      | $867538.65     | 0.00%             | 2043-03-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3132CWCE2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     660296 | PA      | $625049.05     | 0.00%             | 2034-09-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 36208UHZ3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |         50 | PA      | $51.07         | 0.00%             | 2027-12-15      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 3617GSX87<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      44104 | PA      | $42724.58      | 0.00%             | 2048-05-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138WUA29<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       6125 | PA      | $5874.08       | 0.00%             | 2028-06-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138YPU34<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     573280 | PA      | $543238.61     | 0.00%             | 2030-06-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140Q9F65<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      16744 | PA      | $16546.59      | 0.00%             | 2048-07-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae II Pool                               | CUSIP: 36179MXB1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     193791 | PA      | $186996.46     | 0.00%             | 2028-01-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138XDTM2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      11164 | PA      | $10523.33      | 0.00%             | 2044-01-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3132L7FD6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     595501 | PA      | $543364.81     | 0.00%             | 2045-11-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31417EMR9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     305483 | PA      | $279021.33     | 0.00%             | 2043-01-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31412VC89<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      11096 | PA      | $10959.15      | 0.00%             | 2024-12-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae II Pool                               | CUSIP: 36196KHP1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     278028 | PA      | $263026.10     | 0.00%             | 2046-11-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 36295PXF4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       2681 | PA      | $2852.20       | 0.00%             | 2038-01-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 36176USX4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      27186 | PA      | $26583.66      | 0.00%             | 2042-04-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 36195FHU2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     833390 | PA      | $782931.26     | 0.00%             | 2046-08-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31388PL25<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       1391 | PA      | $1440.86       | 0.00%             | 2031-10-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 312928C69<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       1639 | PA      | $1726.14       | 0.00%             | 2038-09-01      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 36210AT23<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       1294 | PA      | $1324.84       | 0.00%             | 2035-01-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3128KT4S6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       1186 | PA      | $1234.01       | 0.00%             | 2037-07-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31417VGS6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       8341 | PA      | $8516.45       | 0.00%             | 2039-12-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140QCNT9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1099674 | PA      | $1065226.19    | 0.00%             | 2034-12-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140F8RX7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     680544 | PA      | $614999.11     | 0.00%             | 2046-08-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31402RAC3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       8368 | PA      | $8482.20       | 0.00%             | 2035-04-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138WHT51<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       6460 | PA      | $6398.01       | 0.00%             | 2046-08-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140JGRG2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     810256 | PA      | $824335.72     | 0.00%             | 2048-09-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138YPU42<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     744968 | PA      | $705929.98     | 0.00%             | 2030-05-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3133A13X8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     306338 | PA      | $273579.34     | 0.00%             | 2050-02-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31409AHN2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        920 | PA      | $985.17        | 0.00%             | 2036-02-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31417GLT1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      99656 | PA      | $90980.72      | 0.00%             | 2043-05-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 36241KL55<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      15683 | PA      | $16631.31      | 0.00%             | 2037-04-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 36295N4K0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        565 | PA      | $578.10        | 0.00%             | 2038-04-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3132A5EP6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       5945 | PA      | $5549.25       | 0.00%             | 2045-12-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140F4UV6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    3876474 | PA      | $3729084.40    | 0.02%             | 2046-05-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138E0RK7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     185240 | PA      | $179963.77     | 0.00%             | 2041-12-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31380KVP2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        144 | PA      | $148.90        | 0.00%             | 2028-11-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140JX4U9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1341484 | PA      | $1252366.46    | 0.01%             | 2049-12-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31418CLE2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     108530 | PA      | $100164.12     | 0.00%             | 2032-04-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140XBGH7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    4924908 | PA      | $4226957.99    | 0.02%             | 2051-04-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 3617BVM87<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     343138 | PA      | $322005.49     | 0.00%             | 2048-04-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31415CMY0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |         26 | PA      | $25.89         | 0.00%             | 2023-05-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31385XD46<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      22698 | PA      | $23299.81      | 0.00%             | 2033-06-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31410G3J0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       3626 | PA      | $3617.77       | 0.00%             | 2037-07-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae II Pool                               | CUSIP: 36179MSX9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   14190041 | PA      | $13493048.23   | 0.06%             | 2042-11-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138EM6F3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       2813 | PA      | $2804.18       | 0.00%             | 2044-05-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 312939GJ4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       8976 | PA      | $8750.94       | 0.00%             | 2040-02-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140K1YJ9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1020523 | PA      | $946227.48     | 0.00%             | 2034-11-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138EQ6P2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     673328 | PA      | $658436.34     | 0.00%             | 2029-12-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 31292GQ82<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |         41 | PA      | $41.77         | 0.00%             | 2026-10-01      | Fixed         | 8.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae II Pool                               | CUSIP: 36179UV82<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      49322 | PA      | $46379.97      | 0.00%             | 2049-07-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138MGFS9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     186927 | PA      | $182458.37     | 0.00%             | 2042-12-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31389DHK6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       5984 | PA      | $6219.87       | 0.00%             | 2032-05-01      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 36290N4D1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       2718 | PA      | $2760.21       | 0.00%             | 2033-07-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 31334YW29<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    1099058 | PA      | $1108136.15    | 0.00%             | 2049-08-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3128MERD5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     188516 | PA      | $181887.91     | 0.00%             | 2025-12-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31408EVC3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        484 | PA      | $491.86        | 0.00%             | 2035-11-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31410KJR6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      79086 | PA      | $82187.01      | 0.00%             | 2038-06-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140K3XK3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1234398 | PA      | $1103248.91    | 0.00%             | 2050-05-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3131YAEY2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     302915 | PA      | $293439.08     | 0.00%             | 2034-03-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140QQSP1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    4992845 | PA      | $5115780.83    | 0.02%             | 2052-11-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140Q8G58<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     870759 | PA      | $840997.40     | 0.00%             | 2048-02-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31415A4Q1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        937 | PA      | $936.13        | 0.00%             | 2038-05-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138AVRP2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      73488 | PA      | $71429.41      | 0.00%             | 2026-10-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31409V2B8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       1928 | PA      | $2031.46       | 0.00%             | 2036-02-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31371LEX3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        593 | PA      | $610.28        | 0.00%             | 2033-11-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31418B6G6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    2520540 | PA      | $2277780.94    | 0.01%             | 2046-07-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140GV4L6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     347121 | PA      | $337481.28     | 0.00%             | 2032-07-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138WEMQ9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     913992 | PA      | $866096.53     | 0.00%             | 2030-05-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3131XVXG5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     268295 | PA      | $258100.09     | 0.00%             | 2047-01-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 36225BGD4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       2208 | PA      | $2275.68       | 0.00%             | 2028-12-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 3617A36D7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      28641 | PA      | $27853.88      | 0.00%             | 2045-08-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 31329PHQ9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    3572892 | PA      | $3602440.45    | 0.02%             | 2048-08-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31412RD79<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     221984 | PA      | $226793.43     | 0.00%             | 2040-03-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31406EJR6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       1089 | PA      | $1103.96       | 0.00%             | 2034-12-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 31297CDQ0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |        474 | PA      | $472.71        | 0.00%             | 2034-06-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3132VMZF5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     436554 | PA      | $435952.04     | 0.00%             | 2049-02-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 36207XBK7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        483 | PA      | $489.71        | 0.00%             | 2027-02-15      | Fixed         | 8.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140J5QK8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     152588 | PA      | $152543.31     | 0.00%             | 2043-01-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 36213FME0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        900 | PA      | $923.70        | 0.00%             | 2033-02-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3128MBZD2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |        135 | PA      | $134.50        | 0.00%             | 2023-08-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 31292HR71<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       3286 | PA      | $3439.36       | 0.00%             | 2032-10-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140K34D1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1746956 | PA      | $1448478.71    | 0.01%             | 2050-11-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3128MJ2N9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     104348 | PA      | $100436.63     | 0.00%             | 2047-09-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140JMMB5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     354474 | PA      | $343369.67     | 0.00%             | 2034-03-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 31298P6P0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       1209 | PA      | $1227.11       | 0.00%             | 2031-06-01      | Fixed         | 8.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140J74A0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     125094 | PA      | $121531.50     | 0.00%             | 2043-10-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3132WKWG9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    1089378 | PA      | $1033899.19    | 0.00%             | 2047-02-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 31307LSN9<br>LEI: 254900HROIFWPRGM1V77 | Long             | ABS-MBS          | USGSE             | US        |     378376 | PA      | $360142.82     | 0.00%             | 2030-01-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140J94U2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     284183 | PA      | $266203.63     | 0.00%             | 2049-01-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 31335AZR2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     365253 | PA      | $367247.42     | 0.00%             | 2046-03-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3128M6DY1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      10115 | PA      | $10524.73      | 0.00%             | 2038-04-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140KPW58<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1587769 | PA      | $1420887.85    | 0.01%             | 2050-09-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3133G9F38<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    1628754 | PA      | $1541006.09    | 0.01%             | 2035-07-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 36207FX55<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        227 | PA      | $228.30        | 0.00%             | 2026-07-15      | Fixed         | 8.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3128P8GG0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    6094080 | PA      | $5868732.26    | 0.03%             | 2038-06-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138YWR58<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      58882 | PA      | $53248.71      | 0.00%             | 2046-01-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140JUNV2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     967090 | PA      | $936795.83     | 0.00%             | 2034-06-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31408JEA5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        102 | PA      | $107.86        | 0.00%             | 2036-05-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 31298QSB5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |         87 | PA      | $90.42         | 0.00%             | 2031-07-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae II Pool                               | CUSIP: 36202FSF4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       1127 | PA      | $1158.39       | 0.00%             | 2041-04-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31385J4E5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       1188 | PA      | $1189.20       | 0.00%             | 2027-03-01      | Fixed         | 8.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31414QPG6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        891 | PA      | $908.19        | 0.00%             | 2038-03-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31409UB20<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        577 | PA      | $599.03        | 0.00%             | 2036-03-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3132DVLU7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    1218007 | PA      | $1009333.44    | 0.00%             | 2051-04-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3128PRAZ2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       2650 | PA      | $2606.99       | 0.00%             | 2025-03-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3128MEE49<br>LEI: 254900HROIFWPRGM1V77 | Long             | ABS-MBS          | USGSE             | US        |     202545 | PA      | $192119.69     | 0.00%             | 2030-04-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3128LXEC0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       1474 | PA      | $1530.37       | 0.00%             | 2035-10-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3132Y0FN5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     141910 | PA      | $140817.23     | 0.00%             | 2048-06-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 36208V6R1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        388 | PA      | $400.82        | 0.00%             | 2028-04-15      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140J76D2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1987834 | PA      | $1923196.90    | 0.01%             | 2047-09-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31416M5Y6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      13899 | PA      | $13538.34      | 0.00%             | 2039-04-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138AVQB4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      11377 | PA      | $11052.98      | 0.00%             | 2041-10-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140GWT60<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     236687 | PA      | $220576.53     | 0.00%             | 2047-08-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138XTEF8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     130771 | PA      | $130383.76     | 0.00%             | 2044-05-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140QBH68<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    5040792 | PA      | $5082352.60    | 0.02%             | 2049-07-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae II Pool                               | CUSIP: 36179VBF6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   36612572 | PA      | $33417099.87   | 0.14%             | 2049-12-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140XB5Q9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     630648 | PA      | $561830.04     | 0.00%             | 2050-09-01      | 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        |    1905762 | PA      | $1800251.44    | 0.01%             | 2047-05-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3128MCJ30<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       9348 | PA      | $9249.25       | 0.00%             | 2024-11-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31379AM36<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        122 | PA      | $124.12        | 0.00%             | 2028-01-01      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 36225B2X5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       2799 | PA      | $2935.56       | 0.00%             | 2033-12-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3132WEUR1<br>LEI: 254900HROIFWPRGM1V77 | Long             | ABS-MBS          | USGSE             | US        |     339196 | PA      | $316484.77     | 0.00%             | 2046-07-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 31335AEV6<br>LEI: 254900HROIFWPRGM1V77 | Long             | ABS-MBS          | USGSE             | US        |     425150 | PA      | $424302.54     | 0.00%             | 2045-07-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140QARE2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    6342463 | PA      | $6107780.95    | 0.03%             | 2049-03-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138EKGK5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       5415 | PA      | $5254.53       | 0.00%             | 2042-09-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae II Pool                               | CUSIP: 36179VMG2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    2854190 | PA      | $2828593.97    | 0.01%             | 2050-05-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140FM3F1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      11228 | PA      | $10559.48      | 0.00%             | 2032-11-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3128MJMW7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      17579 | PA      | $17588.46      | 0.00%             | 2039-11-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140XDGG5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   32739840 | PA      | $28115625.85   | 0.12%             | 2051-11-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31371MEQ6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       1997 | PA      | $2071.47       | 0.00%             | 2035-09-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31408GJ57<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       1006 | PA      | $1021.78       | 0.00%             | 2035-12-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140QGKL0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    2211088 | PA      | $2135142.50    | 0.01%             | 2035-12-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 36295NJ24<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       4599 | PA      | $4818.89       | 0.00%             | 2038-05-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31417VN66<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      18571 | PA      | $18563.28      | 0.00%             | 2039-12-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140QHBC8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   93877560 | PA      | $77526943.22   | 0.33%             | 2051-02-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31417GHT6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     786521 | PA      | $718050.48     | 0.00%             | 2043-05-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138ACBG1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      27134 | PA      | $27722.86      | 0.00%             | 2041-05-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3128MFRU4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    1588659 | PA      | $1514137.10    | 0.01%             | 2033-07-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31407W4Z3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       1093 | PA      | $1133.61       | 0.00%             | 2035-10-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 31307VDZ6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     146191 | PA      | $137635.22     | 0.00%             | 2032-12-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31418CUA0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    7591310 | PA      | $7074607.24    | 0.03%             | 2048-02-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140F2AR1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       5652 | PA      | $5437.01       | 0.00%             | 2046-04-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 36210LYK3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        179 | PA      | $180.22        | 0.00%             | 2029-01-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140H3JD9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     404985 | PA      | $393738.81     | 0.00%             | 2032-11-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138A9YZ1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      32539 | PA      | $31657.96      | 0.00%             | 2026-08-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3132M3DE4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      16916 | PA      | $16912.08      | 0.00%             | 2043-11-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140JM4V1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   10520693 | PA      | $10096684.31   | 0.04%             | 2049-03-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3132GDHM7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      71119 | PA      | $72743.16      | 0.00%             | 2041-04-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3132DV6F7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     467643 | PA      | $445914.30     | 0.00%             | 2050-06-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae II Pool                               | CUSIP: 36179QBG5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     363760 | PA      | $354790.39     | 0.00%             | 2044-04-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138X75C3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     409044 | PA      | $399258.45     | 0.00%             | 2043-09-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 36291QZK3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       7991 | PA      | $8239.35       | 0.00%             | 2035-03-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3128MJVW7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      85904 | PA      | $83335.57      | 0.00%             | 2045-02-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31417BFK8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     269979 | PA      | $259052.85     | 0.00%             | 2027-03-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140GUL88<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     553932 | PA      | $516228.66     | 0.00%             | 2047-11-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3128Q0VV6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     253572 | PA      | $243541.83     | 0.00%             | 2027-07-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140F0D68<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     546442 | PA      | $549956.51     | 0.00%             | 2046-04-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3128K7J90<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |        686 | PA      | $723.08        | 0.00%             | 2034-08-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 36292CH31<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       1518 | PA      | $1553.97       | 0.00%             | 2035-05-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 31287QUF6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       1480 | PA      | $1542.24       | 0.00%             | 2032-03-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140KBV76<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    3274040 | PA      | $2795305.42    | 0.01%             | 2050-06-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31374CQD1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     962818 | PA      | $961641.35     | 0.00%             | 2044-02-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3132Y3MS0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     641407 | PA      | $643849.55     | 0.00%             | 2048-11-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3132DPBF4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   48019821 | PA      | $41169041.48   | 0.18%             | 2051-12-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 31292HWM2<br>LEI: 254900HROIFWPRGM1V77 | Long             | ABS-MBS          | USGSE             | US        |       6206 | PA      | $6397.18       | 0.00%             | 2033-05-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| UMBS, TBA                                      | Uniform Mortgage-Backed Security, TBA            | CUSIP: 01F0324C5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   36900000 | PA      | $35449945.13   | 0.15%             | 2037-12-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31408AD98<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       4164 | PA      | $4319.44       | 0.00%             | 2035-12-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 36297GZV5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       7270 | PA      | $7629.15       | 0.00%             | 2039-04-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140X9YH2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    4090903 | PA      | $3517738.51    | 0.01%             | 2051-01-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3132DWFH1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    4477244 | PA      | $4530647.17    | 0.02%             | 2052-11-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31375QJJ4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        180 | PA      | $181.05        | 0.00%             | 2026-05-01      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3132QRQ29<br>LEI: 254900HROIFWPRGM1V77 | Long             | ABS-MBS          | USGSE             | US        |     669613 | PA      | $665372.03     | 0.00%             | 2045-07-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3131Y03E0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     183955 | PA      | $176838.27     | 0.00%             | 2048-04-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31410GCE1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      36159 | PA      | $38736.01      | 0.00%             | 2037-07-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140KVEE6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     917490 | PA      | $824247.55     | 0.00%             | 2035-12-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 31298EV69<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |        364 | PA      | $376.99        | 0.00%             | 2030-12-01      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140H4KC7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     230905 | PA      | $217150.19     | 0.00%             | 2033-01-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 31307TDP3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     432416 | PA      | $412131.60     | 0.00%             | 2032-02-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138WA7G6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       1935 | PA      | $1932.97       | 0.00%             | 2044-02-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140QGXT9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   36949042 | PA      | $33243672.34   | 0.14%             | 2036-02-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138YNTK3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     120270 | PA      | $113967.39     | 0.00%             | 2030-08-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3132L5TH6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      16457 | PA      | $16035.56      | 0.00%             | 2041-02-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31413R2L9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       2344 | PA      | $2472.42       | 0.00%             | 2037-11-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140QB5M6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1015227 | PA      | $965316.74     | 0.00%             | 2031-02-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31418BZD1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       8927 | PA      | $8629.31       | 0.00%             | 2046-02-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 312933W59<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      24043 | PA      | $24057.02      | 0.00%             | 2039-06-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138ERYX2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     580572 | PA      | $550459.04     | 0.00%             | 2047-01-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31418EJG6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     871907 | PA      | $882587.73     | 0.00%             | 2052-09-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae II Pool                               | CUSIP: 36202D2B6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       2344 | PA      | $2360.72       | 0.00%             | 2033-11-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138XCGD8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       4509 | PA      | $4503.02       | 0.00%             | 2043-09-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138Y8TR1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   14719832 | PA      | $13803777.87   | 0.06%             | 2044-11-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31418RT35<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       7434 | PA      | $7595.27       | 0.00%             | 2040-05-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140FNME1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1176290 | PA      | $1145296.58    | 0.00%             | 2047-01-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 36177PDC6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       7969 | PA      | $7318.72       | 0.00%             | 2042-04-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3132L6FE6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      20937 | PA      | $20895.36      | 0.00%             | 2044-03-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3133WJRY7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    2834356 | PA      | $2615436.56    | 0.01%             | 2037-07-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae II Pool                               | CUSIP: 36179R4F3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    8208828 | PA      | $7994803.79    | 0.03%             | 2046-03-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138LYF36<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1509902 | PA      | $1423800.90    | 0.01%             | 2042-09-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3132Y1Z27<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    1398669 | PA      | $1383515.48    | 0.01%             | 2048-08-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140LTQD9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    6075251 | PA      | $5386310.73    | 0.02%             | 2051-07-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138XYCB8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     710507 | PA      | $690270.02     | 0.00%             | 2042-01-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140FKCB4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     375968 | PA      | $350438.54     | 0.00%             | 2046-11-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 36225A7K0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        225 | PA      | $233.37        | 0.00%             | 2028-11-15      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31408JDT5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      15284 | PA      | $15852.47      | 0.00%             | 2036-01-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 31297LDT4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |        658 | PA      | $679.24        | 0.00%             | 2035-01-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 36290RQZ9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       1250 | PA      | $1227.66       | 0.00%             | 2033-07-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 36205XY65<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |         76 | PA      | $76.58         | 0.00%             | 2025-01-15      | Fixed         | 9.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138EKTL9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     570732 | PA      | $555017.16     | 0.00%             | 2027-04-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3128LXR44<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      18573 | PA      | $18876.51      | 0.00%             | 2036-08-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31373CQ75<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        364 | PA      | $363.78        | 0.00%             | 2024-07-01      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae II Pool                               | CUSIP: 3617J5N36<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     270464 | PA      | $271449.70     | 0.00%             | 2048-11-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 36213USA9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       2199 | PA      | $2270.55       | 0.00%             | 2031-10-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138AF2L3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       5011 | PA      | $4909.26       | 0.00%             | 2026-05-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3128M6SL3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     573816 | PA      | $585035.27     | 0.00%             | 2038-03-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140KRSH3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1149747 | PA      | $1006548.36    | 0.00%             | 2035-11-01      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140FPVS5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    2111180 | PA      | $1967824.95    | 0.01%             | 2046-12-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3132M7GA0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      81725 | PA      | $79280.73      | 0.00%             | 2044-06-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31402DU73<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      16926 | PA      | $17428.35      | 0.00%             | 2033-07-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138AMXU4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       2485 | PA      | $2414.51       | 0.00%             | 2026-07-01      | 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        |    1477437 | PA      | $1493645.44    | 0.01%             | 2048-05-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140XAJW3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    6643954 | PA      | $5481282.21    | 0.02%             | 2051-03-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31418BYG5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      10142 | PA      | $9610.87       | 0.00%             | 2031-01-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31418AWW4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     539039 | PA      | $492112.94     | 0.00%             | 2043-09-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 31307AB27<br>LEI: 254900HROIFWPRGM1V77 | Long             | ABS-MBS          | USGSE             | US        |      48946 | PA      | $47517.08      | 0.00%             | 2028-01-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3132HMU66<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     457641 | PA      | $432413.00     | 0.00%             | 2042-10-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae II Pool                               | CUSIP: 36179RLS6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      13499 | PA      | $13872.39      | 0.00%             | 2045-08-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3132M5AZ5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      14516 | PA      | $14082.23      | 0.00%             | 2044-02-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140Q74Y0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     595777 | PA      | $555225.32     | 0.00%             | 2047-11-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140F23F5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      78953 | PA      | $74333.21      | 0.00%             | 2031-05-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 36180DVH7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      18481 | PA      | $17575.31      | 0.00%             | 2043-05-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 31307VG42<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     650752 | PA      | $633255.12     | 0.00%             | 2033-01-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3128M7Y59<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |        584 | PA      | $597.29        | 0.00%             | 2040-03-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 31283HTE5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       3244 | PA      | $3448.39       | 0.00%             | 2032-07-01      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140JWEK2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     523777 | PA      | $507370.01     | 0.00%             | 2034-09-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 31307TT27<br>LEI: 254900HROIFWPRGM1V77 | Long             | ABS-MBS          | USGSE             | US        |     526676 | PA      | $512514.81     | 0.00%             | 2032-04-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31412UQ45<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       9652 | PA      | $9647.89       | 0.00%             | 2039-06-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31417K3E5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       1015 | PA      | $1004.00       | 0.00%             | 2024-08-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31418DFQ0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1473757 | PA      | $1316163.90    | 0.01%             | 2049-09-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140H72B2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      75414 | PA      | $72516.92      | 0.00%             | 2048-01-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae II Pool                               | CUSIP: 36241KU30<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       6612 | PA      | $6884.38       | 0.00%             | 2038-09-20      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31418CB52<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     113351 | PA      | $106909.91     | 0.00%             | 2046-09-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31407EPG2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        887 | PA      | $900.97        | 0.00%             | 2035-07-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31416PEF0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       1123 | PA      | $1109.28       | 0.00%             | 2024-04-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3132QLTA1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       3685 | PA      | $3574.76       | 0.00%             | 2045-01-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31387WHB6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |         83 | PA      | $83.53         | 0.00%             | 2026-11-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140GRA46<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     138928 | PA      | $140243.31     | 0.00%             | 2047-05-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3133B3L54<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   47107571 | PA      | $38779707.96   | 0.17%             | 2052-02-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31418C7M0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      38842 | PA      | $39841.74      | 0.00%             | 2049-02-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 3622A2ES7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      28847 | PA      | $27422.45      | 0.00%             | 2043-03-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 36290N3S9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      12256 | PA      | $12510.49      | 0.00%             | 2033-07-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 3620AMCR1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       5815 | PA      | $6019.67       | 0.00%             | 2040-05-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31406VPB6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        734 | PA      | $761.55        | 0.00%             | 2035-05-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3128MMWV1<br>LEI: 254900HROIFWPRGM1V77 | Long             | ABS-MBS          | USGSE             | US        |    1200017 | PA      | $1143725.78    | 0.00%             | 2032-09-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3128PP4R1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       1041 | PA      | $1029.73       | 0.00%             | 2024-09-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3128KLMJ3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       3734 | PA      | $3883.99       | 0.00%             | 2037-02-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140QGZ83<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   17362977 | PA      | $14909831.10   | 0.06%             | 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        |    1335472 | PA      | $1298772.71    | 0.01%             | 2046-12-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138W9U40<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      30907 | PA      | $29642.86      | 0.00%             | 2028-09-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138W9HL7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      19631 | PA      | $19035.29      | 0.00%             | 2043-08-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31418CG73<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1028282 | PA      | $967025.89     | 0.00%             | 2032-03-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3132XWNX5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     309933 | PA      | $298314.62     | 0.00%             | 2048-02-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31416BSB5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     669295 | PA      | $695693.13     | 0.00%             | 2038-11-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140HEPF3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     532526 | PA      | $540717.15     | 0.00%             | 2048-08-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138ASL75<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      40380 | PA      | $40434.30      | 0.00%             | 2041-09-01      | Floating      | 4.07%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138WVRA1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1326427 | PA      | $1250291.56    | 0.01%             | 2043-06-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 31292G6Q4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |         58 | PA      | $61.98         | 0.00%             | 2029-10-01      | Fixed         | 8.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3133B3WB9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    1402065 | PA      | $1155635.67    | 0.00%             | 2052-01-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140KR2Y4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   10902467 | PA      | $9377910.18    | 0.04%             | 2050-11-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140J7V85<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1470430 | PA      | $1469713.75    | 0.01%             | 2046-02-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 36213E5J1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      54386 | PA      | $53307.22      | 0.00%             | 2041-12-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3128M5PW4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       3380 | PA      | $3624.55       | 0.00%             | 2037-11-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138WE3S6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     764133 | PA      | $731531.14     | 0.00%             | 2030-07-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae II Pool                               | CUSIP: 36179TLS2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   19070606 | PA      | $18014777.34   | 0.08%             | 2047-11-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140FMFS0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      18513 | PA      | $16730.03      | 0.00%             | 2047-01-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138XDTR1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      25726 | PA      | $24945.21      | 0.00%             | 2044-01-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31375KGX9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |          9 | PA      | $8.72          | 0.00%             | 2026-02-01      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140QCWN2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    7659558 | PA      | $6840497.53    | 0.03%             | 2050-02-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140HANK2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     575551 | PA      | $544810.50     | 0.00%             | 2034-07-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 36194GQS6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    1502542 | PA      | $1411568.39    | 0.01%             | 2046-07-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138ER6H8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1307953 | PA      | $1246727.43    | 0.01%             | 2032-02-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138YK4E0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     468025 | PA      | $443498.83     | 0.00%             | 2030-06-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae II Pool                               | CUSIP: 36202F3N4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      94496 | PA      | $92962.58      | 0.00%             | 2042-02-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Non Gold Pool                        | CUSIP: 31300LSW6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     259574 | PA      | $258755.84     | 0.00%             | 2041-11-01      | Floating      | 4.06%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3128K36Q5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       1527 | PA      | $1588.16       | 0.00%             | 2036-03-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3133ACQW1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    6186856 | PA      | $5355958.79    | 0.02%             | 2050-11-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138WHLQ3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     916520 | PA      | $834461.51     | 0.00%             | 2046-07-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 36177KPD2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     369674 | PA      | $361488.38     | 0.00%             | 2042-02-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae II Pool                               | CUSIP: 3617GSWR6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    1435295 | PA      | $1391517.47    | 0.01%             | 2048-05-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3132ACHP8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     568902 | PA      | $555813.40     | 0.00%             | 2044-04-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140X7VU0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   67154885 | PA      | $57819531.93   | 0.25%             | 2050-09-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3128M4UM3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       1242 | PA      | $1311.44       | 0.00%             | 2037-05-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140KBAZ7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     598750 | PA      | $554070.25     | 0.00%             | 2050-06-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31405QP93<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       1685 | PA      | $1707.71       | 0.00%             | 2034-10-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140MVUM8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    4271549 | PA      | $4157653.66    | 0.02%             | 2052-08-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31374TV48<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        799 | PA      | $828.31        | 0.00%             | 2029-05-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31401K2Y0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       5637 | PA      | $5972.58       | 0.00%             | 2033-06-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138WFGE0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     283998 | PA      | $265105.36     | 0.00%             | 2045-08-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31385XJW8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      35709 | PA      | $36768.06      | 0.00%             | 2033-07-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3128PRHS1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       3680 | PA      | $3634.23       | 0.00%             | 2025-04-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140X4GD2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1089445 | PA      | $1148834.31    | 0.00%             | 2049-02-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31418B5A0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      13089 | PA      | $11442.21      | 0.00%             | 2046-05-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31403DJZ3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       1373 | PA      | $1393.85       | 0.00%             | 2036-06-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140JAFC7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    5312718 | PA      | $5151385.08    | 0.02%             | 2045-06-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31371HHQ4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        690 | PA      | $710.19        | 0.00%             | 2029-03-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 36296Q6W4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       3194 | PA      | $3288.45       | 0.00%             | 2039-08-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 3620ARYK1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      83978 | PA      | $82326.25      | 0.00%             | 2041-01-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3131YAW71<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     655423 | PA      | $638570.59     | 0.00%             | 2049-03-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31414BX54<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       4969 | PA      | $5067.56       | 0.00%             | 2038-02-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3129424F9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      23258 | PA      | $22662.29      | 0.00%             | 2040-10-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31418MH47<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       7180 | PA      | $7388.28       | 0.00%             | 2035-04-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae II Pool                               | CUSIP: 36179SB71<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   14398949 | PA      | $13212052.25   | 0.06%             | 2046-05-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31416PFD4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        328 | PA      | $323.24        | 0.00%             | 2024-06-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138X6JX4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      14735 | PA      | $14288.65      | 0.00%             | 2028-12-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138WDB34<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      13001 | PA      | $12962.97      | 0.00%             | 2044-10-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140JXDC9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     830625 | PA      | $804605.33     | 0.00%             | 2034-07-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3128M5GA2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       6334 | PA      | $6686.89       | 0.00%             | 2037-10-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3128MJAC4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       7115 | PA      | $7345.58       | 0.00%             | 2034-07-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140GVT54<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     236119 | PA      | $235093.99     | 0.00%             | 2047-09-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 31296QHQ6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       6469 | PA      | $6668.34       | 0.00%             | 2033-11-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 36213XCL6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       1580 | PA      | $1644.52       | 0.00%             | 2031-09-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 36198KYQ8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      16178 | PA      | $15890.40      | 0.00%             | 2044-03-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140H4K60<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     519280 | PA      | $504645.36     | 0.00%             | 2047-11-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31418XDU9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     309328 | PA      | $316029.53     | 0.00%             | 2040-07-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138XDSJ0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       6934 | PA      | $6723.72       | 0.00%             | 2028-12-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31387NHP5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |         92 | PA      | $94.87         | 0.00%             | 2031-06-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138AMGW9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      17247 | PA      | $16687.36      | 0.00%             | 2026-09-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31414CJS8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      16439 | PA      | $17087.72      | 0.00%             | 2038-03-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31411DKB4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        890 | PA      | $939.09        | 0.00%             | 2037-07-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae II Pool                               | CUSIP: 36179UH47<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    4147688 | PA      | $4021179.05    | 0.02%             | 2048-12-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3132L7MX4<br>LEI: 254900HROIFWPRGM1V77 | Long             | ABS-MBS          | USGSE             | US        |     780660 | PA      | $729422.60     | 0.00%             | 2046-01-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 31335BR65<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     763364 | PA      | $715780.09     | 0.00%             | 2048-05-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3131YCSF4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    1343420 | PA      | $1213031.66    | 0.01%             | 2049-05-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3132GEVB3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       5916 | PA      | $5920.14       | 0.00%             | 2041-06-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 31283HUK9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |        721 | PA      | $750.86        | 0.00%             | 2032-11-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 36209NER9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       1590 | PA      | $1606.00       | 0.00%             | 2028-06-15      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140GRZL1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     773732 | PA      | $751926.00     | 0.00%             | 2047-08-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138WJTK4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    2229690 | PA      | $2114041.05    | 0.01%             | 2047-01-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31414PZJ1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        714 | PA      | $727.95        | 0.00%             | 2038-03-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 3622A25U2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    2587046 | PA      | $2364273.70    | 0.01%             | 2046-12-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140H2C63<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      72125 | PA      | $67216.03      | 0.00%             | 2047-12-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31417JMC1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       1881 | PA      | $1920.37       | 0.00%             | 2039-09-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae II Pool                               | CUSIP: 36179WR75<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    2203024 | PA      | $2242564.05    | 0.01%             | 2051-11-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3132M4UG8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     129456 | PA      | $129422.93     | 0.00%             | 2044-01-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3128MDMZ3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       7690 | PA      | $7599.96       | 0.00%             | 2026-09-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 31294B6N0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |         15 | PA      | $15.60         | 0.00%             | 2030-01-01      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31418EHP8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     583631 | PA      | $580616.41     | 0.00%             | 2052-08-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3128MJY87<br>LEI: 254900HROIFWPRGM1V77 | Long             | ABS-MBS          | USGSE             | US        |   16641886 | PA      | $16024283.15   | 0.07%             | 2046-11-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138ELUR2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     306991 | PA      | $306199.75     | 0.00%             | 2028-01-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140KMC73<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1444058 | PA      | $1248640.40    | 0.01%             | 2050-09-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31407AC41<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       3435 | PA      | $3487.20       | 0.00%             | 2035-05-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31417D2G7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     767245 | PA      | $700749.57     | 0.00%             | 2042-11-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 36204DHK8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |          6 | PA      | $5.79          | 0.00%             | 2023-11-15      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140J7Z32<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     190145 | PA      | $182841.46     | 0.00%             | 2048-01-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31418XZJ0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     100815 | PA      | $98352.30      | 0.00%             | 2025-12-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 312931DB1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       2740 | PA      | $2740.03       | 0.00%             | 2039-02-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 36241KCS5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        562 | PA      | $573.76        | 0.00%             | 2035-03-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 36225AEA4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        112 | PA      | $112.19        | 0.00%             | 2024-11-15      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3132ADT73<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     302783 | PA      | $285511.97     | 0.00%             | 2044-01-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3128FCMJ9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |        138 | PA      | $141.04        | 0.00%             | 2026-05-01      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3132M82T2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      30928 | PA      | $30866.51      | 0.00%             | 2044-09-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140J5XT1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    2618301 | PA      | $2720950.13    | 0.01%             | 2041-09-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31406YTU4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       2875 | PA      | $2982.30       | 0.00%             | 2035-04-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31417GNV4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     805949 | PA      | $764431.13     | 0.00%             | 2033-05-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 31292H5P5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      32521 | PA      | $33521.28      | 0.00%             | 2034-01-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 31335BKG0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     117850 | PA      | $111235.78     | 0.00%             | 2044-08-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae II Pool                               | CUSIP: 36202FNA0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       6852 | PA      | $7134.67       | 0.00%             | 2040-12-20      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3128M43K7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       7853 | PA      | $8170.52       | 0.00%             | 2037-09-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 31292HSZ8<br>LEI: 254900HROIFWPRGM1V77 | Long             | ABS-MBS          | USGSE             | US        |       7761 | PA      | $7993.95       | 0.00%             | 2032-12-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3132A3NK2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     136061 | PA      | $132447.29     | 0.00%             | 2040-12-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae II Pool                               | CUSIP: 36179UUJ9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     863976 | PA      | $812560.87     | 0.00%             | 2049-06-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3133GCPM8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    1226033 | PA      | $1101420.44    | 0.00%             | 2036-04-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31419ASG3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      20810 | PA      | $20311.25      | 0.00%             | 2025-11-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138WFZN9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      90942 | PA      | $86175.91      | 0.00%             | 2030-11-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3128MFQV3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     456741 | PA      | $429966.16     | 0.00%             | 2033-04-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31417GAS5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     411916 | PA      | $376969.84     | 0.00%             | 2043-04-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140XD5G7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   26856469 | PA      | $23012917.85   | 0.10%             | 2051-12-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138XBV27<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     404863 | PA      | $392609.25     | 0.00%             | 2028-11-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31404QH77<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       2239 | PA      | $2357.41       | 0.00%             | 2034-05-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140X7DD8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   18772416 | PA      | $18046031.24   | 0.08%             | 2049-12-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140N1AE3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    9619421 | PA      | $9352499.99    | 0.04%             | 2052-09-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3128M7FG6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       1909 | PA      | $1985.81       | 0.00%             | 2038-12-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138X9QH5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     257002 | PA      | $259345.47     | 0.00%             | 2043-12-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140KL5A6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    2119145 | PA      | $1887489.02    | 0.01%             | 2050-08-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 31335BC38<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    1291329 | PA      | $1168148.31    | 0.00%             | 2047-04-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3132DWEF6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |  106119674 | PA      | $90603207.21   | 0.39%             | 2052-08-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3128L3PU4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       3332 | PA      | $3517.51       | 0.00%             | 2037-09-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3132J62B9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     156600 | PA      | $143170.77     | 0.00%             | 2043-02-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140JPL29<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    5839907 | PA      | $5266376.73    | 0.02%             | 2049-05-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138WAAK3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       3502 | PA      | $3498.18       | 0.00%             | 2043-11-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 3620A7ZL2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     819698 | PA      | $822534.38     | 0.00%             | 2040-08-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138M5FB0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     646882 | PA      | $650561.81     | 0.00%             | 2042-08-01      | Floating      | 3.95%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 36204RN87<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        189 | PA      | $191.03        | 0.00%             | 2025-09-15      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3128MJWU0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     196012 | PA      | $177438.53     | 0.00%             | 2045-08-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31419DCB5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       2464 | PA      | $2399.51       | 0.00%             | 2026-08-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31417KGA9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      26006 | PA      | $25995.27      | 0.00%             | 2039-07-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae II Pool                               | CUSIP: 36202F4Y9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      30879 | PA      | $29796.55      | 0.00%             | 2027-03-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 31329NTJ7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     603576 | PA      | $580398.95     | 0.00%             | 2047-10-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140LXX34<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    3613479 | PA      | $3121869.31    | 0.01%             | 2051-10-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3131XXVH1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     227451 | PA      | $225083.07     | 0.00%             | 2047-09-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138Y3MN8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       9997 | PA      | $9688.43       | 0.00%             | 2044-11-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae II Pool                               | CUSIP: 36179NX45<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    2976974 | PA      | $2742127.41    | 0.01%             | 2044-01-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140KMXD7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1913668 | PA      | $1664661.64    | 0.01%             | 2050-09-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 31329JRB5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     121473 | PA      | $117727.69     | 0.00%             | 2044-12-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3133AAZE5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    1264155 | PA      | $1131867.73    | 0.00%             | 2050-10-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 36200RLE0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       2665 | PA      | $2708.34       | 0.00%             | 2031-12-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 36295NM95<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       4692 | PA      | $4899.05       | 0.00%             | 2038-06-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138YGAP7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      85526 | PA      | $82670.55      | 0.00%             | 2045-02-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 36210BNN1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      22664 | PA      | $23404.63      | 0.00%             | 2029-02-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140JHSF1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     909151 | PA      | $873972.18     | 0.00%             | 2048-09-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138YNZF7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      22727 | PA      | $21968.40      | 0.00%             | 2045-07-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3132D6B33<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   52060369 | PA      | $46720559.38   | 0.20%             | 2037-06-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138Y6VF8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      18395 | PA      | $17666.71      | 0.00%             | 2029-11-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138MQCX9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1354235 | PA      | $1299426.23    | 0.01%             | 2028-01-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138E1DX2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      24554 | PA      | $23846.02      | 0.00%             | 2027-01-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3133KM2V6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   24228244 | PA      | $19957521.92   | 0.09%             | 2051-11-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 36241LKA3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    2102659 | PA      | $2109936.03    | 0.01%             | 2040-06-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3132Y0W22<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     480419 | PA      | $462299.85     | 0.00%             | 2048-06-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae II Pool                               | CUSIP: 36179W7H5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    9827744 | PA      | $8336359.23    | 0.04%             | 2052-06-20      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae II Pool                               | CUSIP: 36179TT96<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    3148970 | PA      | $2889909.07    | 0.01%             | 2048-03-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138W2YL3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       6202 | PA      | $5864.12       | 0.00%             | 2029-01-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3132ADU30<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     578334 | PA      | $544363.10     | 0.00%             | 2048-11-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3128M66J2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       3881 | PA      | $4038.34       | 0.00%             | 2039-01-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 31297UYE4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       9332 | PA      | $9844.86       | 0.00%             | 2035-05-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3128K35Q6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       1376 | PA      | $1400.62       | 0.00%             | 2036-03-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31371NGG4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       2246 | PA      | $2333.66       | 0.00%             | 2037-07-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138WVPG0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     657998 | PA      | $600716.27     | 0.00%             | 2043-06-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 31293QU35<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |        445 | PA      | $462.09        | 0.00%             | 2029-05-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3131YCQ66<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     457487 | PA      | $423227.10     | 0.00%             | 2049-05-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31418AM39<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       3033 | PA      | $2910.60       | 0.00%             | 2027-12-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae II Pool                               | CUSIP: 36179UCB6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    8844706 | PA      | $8574933.65    | 0.04%             | 2048-09-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 36209UAV8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       6315 | PA      | $6532.25       | 0.00%             | 2029-08-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138ALNP8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      15652 | PA      | $15107.05      | 0.00%             | 2026-09-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31416XLG3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     204078 | PA      | $197768.49     | 0.00%             | 2026-01-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 36295NGQ4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        581 | PA      | $597.71        | 0.00%             | 2038-04-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 36291FVS4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       4588 | PA      | $4779.25       | 0.00%             | 2034-03-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31371FGU0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        294 | PA      | $295.57        | 0.00%             | 2026-03-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3133ACRX8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    4361481 | PA      | $3878115.76    | 0.02%             | 2050-12-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3128PYWJ9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     216788 | PA      | $210457.58     | 0.00%             | 2027-04-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3132WFK57<br>LEI: 254900HROIFWPRGM1V77 | Long             | ABS-MBS          | USGSE             | US        |     335673 | PA      | $313197.44     | 0.00%             | 2046-06-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 31297FYG2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       2458 | PA      | $2538.21       | 0.00%             | 2034-10-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31412S5S0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       1099 | PA      | $1159.07       | 0.00%             | 2038-05-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae II Pool                               | CUSIP: 36179RQZ5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    3109934 | PA      | $2854562.52    | 0.01%             | 2045-10-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 3617A3Z52<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      20606 | PA      | $18831.47      | 0.00%             | 2045-07-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31371KKK6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       2493 | PA      | $2576.43       | 0.00%             | 2032-02-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31391VLS0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       1522 | PA      | $1591.60       | 0.00%             | 2033-01-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140H63G2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1122577 | PA      | $1079457.98    | 0.00%             | 2048-02-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 312931YW2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |        981 | PA      | $981.84        | 0.00%             | 2039-03-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138YGXL1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1165371 | PA      | $1064383.90    | 0.00%             | 2045-04-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3128MES77<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     140327 | PA      | $136228.66     | 0.00%             | 2028-10-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140EVAF4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      27126 | PA      | $26866.23      | 0.00%             | 2046-05-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3128MJNK2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     143666 | PA      | $146939.72     | 0.00%             | 2040-03-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140QCVU7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    2909108 | PA      | $2598028.19    | 0.01%             | 2050-02-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3133L8A39<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    4593105 | PA      | $4132637.31    | 0.02%             | 2036-02-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3132A4Q92<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     505618 | PA      | $465460.14     | 0.00%             | 2043-06-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31404RU39<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       1566 | PA      | $1561.69       | 0.00%             | 2034-04-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31412LQ45<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       1040 | PA      | $1080.74       | 0.00%             | 2037-06-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31413ESY2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       1305 | PA      | $1356.48       | 0.00%             | 2037-08-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae II Pool                               | CUSIP: 36179RXC8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     663299 | PA      | $608832.44     | 0.00%             | 2046-01-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae II Pool                               | CUSIP: 36179VN30<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     417676 | PA      | $380099.28     | 0.00%             | 2050-06-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138ERNB2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    3768215 | PA      | $3430835.83    | 0.01%             | 2046-11-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31414UZ43<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       6619 | PA      | $6865.21       | 0.00%             | 2038-02-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3128MJQG8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      21817 | PA      | $21832.15      | 0.00%             | 2041-07-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| UMBS, TBA                                      | Uniform Mortgage-Backed Security, TBA            | CUSIP: 01F0224C6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   50966000 | PA      | $47087586.27   | 0.20%             | 2037-12-15      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31371PCG3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        380 | PA      | $379.57        | 0.00%             | 2039-02-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140JABV9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1716472 | PA      | $1731457.98    | 0.01%             | 2049-02-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138WDL41<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     194806 | PA      | $189163.96     | 0.00%             | 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        |    3643206 | PA      | $3433362.25    | 0.01%             | 2031-10-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 36202VYH8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      14587 | PA      | $14836.95      | 0.00%             | 2034-07-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae II Pool                               | CUSIP: 36179QJV4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     179256 | PA      | $184246.03     | 0.00%             | 2044-07-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 31292HRP1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       2423 | PA      | $2609.53       | 0.00%             | 2032-08-01      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 36209E3B6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |         97 | PA      | $98.27         | 0.00%             | 2028-12-15      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 36295PWZ1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        977 | PA      | $1014.54       | 0.00%             | 2038-01-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140H6CT4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    3030741 | PA      | $2824453.30    | 0.01%             | 2048-02-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31403DJU4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       2650 | PA      | $2836.67       | 0.00%             | 2036-02-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140GUYY7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     378237 | PA      | $379315.63     | 0.00%             | 2047-08-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140FEX25<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     214274 | PA      | $193637.13     | 0.00%             | 2046-10-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140JAM39<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1439180 | PA      | $1451046.02    | 0.01%             | 2049-04-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 36203DQU7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |          5 | PA      | $4.87          | 0.00%             | 2023-05-15      | Fixed         | 8.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 36290SK26<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        684 | PA      | $695.32        | 0.00%             | 2033-10-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae II Pool                               | CUSIP: 36179UMM1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     737089 | PA      | $730478.46     | 0.00%             | 2049-02-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 36178C3R2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     132709 | PA      | $126153.96     | 0.00%             | 2042-05-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140F0N91<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      30840 | PA      | $30544.73      | 0.00%             | 2046-03-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140H1QG8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     328028 | PA      | $316816.24     | 0.00%             | 2047-11-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 36206FX98<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        119 | PA      | $119.63        | 0.00%             | 2025-12-15      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 31283HK53<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |        781 | PA      | $808.51        | 0.00%             | 2031-03-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140J5U98<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     815739 | PA      | $782724.31     | 0.00%             | 2029-12-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31385JJF6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       2496 | PA      | $2597.83       | 0.00%             | 2032-07-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138WLA52<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     591600 | PA      | $585996.51     | 0.00%             | 2047-07-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3128PJGV3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |          5 | PA      | $4.76          | 0.00%             | 2022-12-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 36241KLU0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    1296034 | PA      | $1372346.39    | 0.01%             | 2037-03-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3131XD3E3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     293337 | PA      | $284783.70     | 0.00%             | 2033-09-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140QDST2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    2115872 | PA      | $2043197.10    | 0.01%             | 2035-05-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3131XYX95<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    1943388 | PA      | $1811093.46    | 0.01%             | 2047-12-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae II Pool                               | CUSIP: 36179N2H0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     979382 | PA      | $902120.45     | 0.00%             | 2044-02-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae II Pool                               | CUSIP: 36202DDC2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |         95 | PA      | $97.63         | 0.00%             | 2029-08-20      | Fixed         | 8.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3128M6LV8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      11636 | PA      | $12286.18      | 0.00%             | 2038-08-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 36201CPN8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        970 | PA      | $988.64        | 0.00%             | 2032-01-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Non Gold Pool                        | CUSIP: 31349SG23<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      44885 | PA      | $45171.19      | 0.00%             | 2033-12-01      | Floating      | 2.38%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138LURR8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      34277 | PA      | $32322.55      | 0.00%             | 2042-05-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31406EUC6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        836 | PA      | $833.68        | 0.00%             | 2035-01-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31413EZA6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        550 | PA      | $571.65        | 0.00%             | 2037-10-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 3617AAVL5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     114865 | PA      | $111708.26     | 0.00%             | 2045-09-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3132ACDL1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     196802 | PA      | $187354.14     | 0.00%             | 2043-12-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae II Pool                               | CUSIP: 36179MA42<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       3541 | PA      | $3764.25       | 0.00%             | 2042-04-20      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140JKRE8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     573433 | PA      | $546012.45     | 0.00%             | 2033-06-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31416JFN6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       7535 | PA      | $7831.92       | 0.00%             | 2038-12-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 36200NYR6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        740 | PA      | $776.95        | 0.00%             | 2034-07-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 36182LDF1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      72284 | PA      | $70297.93      | 0.00%             | 2044-05-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140J8A52<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     421266 | PA      | $384592.71     | 0.00%             | 2046-11-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3131XRKR4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     204137 | PA      | $186047.64     | 0.00%             | 2045-03-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31418XZR2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      13920 | PA      | $13567.20      | 0.00%             | 2025-12-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140F9WA9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     962194 | PA      | $896858.28     | 0.00%             | 2047-01-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 31307VAL0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    1958392 | PA      | $1843782.30    | 0.01%             | 2032-12-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31402DJF8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       7525 | PA      | $7916.60       | 0.00%             | 2034-08-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31418DSA1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      43981 | PA      | $41612.47      | 0.00%             | 2035-08-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138WGY65<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    4400770 | PA      | $4420558.67    | 0.02%             | 2046-04-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140FE3H5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     290008 | PA      | $267779.24     | 0.00%             | 2032-03-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3132QQJR4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     812361 | PA      | $735382.72     | 0.00%             | 2045-06-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae II Pool                               | CUSIP: 36202FPG5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     153945 | PA      | $155175.29     | 0.00%             | 2041-01-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 31307BSW1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      14575 | PA      | $13991.77      | 0.00%             | 2028-04-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 31292GTG1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |        123 | PA      | $129.43        | 0.00%             | 2027-09-01      | Fixed         | 8.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3128MJZN3<br>LEI: 254900HROIFWPRGM1V77 | Long             | ABS-MBS          | USGSE             | US        |    5102141 | PA      | $4760523.25    | 0.02%             | 2047-02-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3128MJCX6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |        406 | PA      | $412.78        | 0.00%             | 2035-10-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140GS2W1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    2478192 | PA      | $2383967.39    | 0.01%             | 2046-11-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 312932ZG4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       2732 | PA      | $2792.48       | 0.00%             | 2039-05-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 36290N4T6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       2594 | PA      | $2630.11       | 0.00%             | 2033-08-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae II Pool                               | CUSIP: 3617HNWF2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     661490 | PA      | $623200.65     | 0.00%             | 2048-09-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3131WQ5C7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     526731 | PA      | $512741.02     | 0.00%             | 2040-12-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140H9RP0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    2016673 | PA      | $2017435.94    | 0.01%             | 2049-02-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 31283HJM8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |        699 | PA      | $732.52        | 0.00%             | 2031-01-01      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140KPWD1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1418429 | PA      | $1176145.33    | 0.01%             | 2050-11-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31407A2K6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      14789 | PA      | $15013.53      | 0.00%             | 2035-07-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae II Pool                               | CUSIP: 36179XFF8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   15427361 | PA      | $14291623.52   | 0.06%             | 2052-09-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 36204WPA9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |         75 | PA      | $75.01         | 0.00%             | 2024-02-15      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31377D5U1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        222 | PA      | $229.23        | 0.00%             | 2027-03-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3133AYLJ7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   27439025 | PA      | $22602337.43   | 0.10%             | 2051-11-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140QCSH0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1831659 | PA      | $1635794.09    | 0.01%             | 2050-01-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3131YBSL3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    1051736 | PA      | $949657.62     | 0.00%             | 2049-04-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31403CXY2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       3859 | PA      | $4002.16       | 0.00%             | 2035-12-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140X5VE0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      28343 | PA      | $27455.47      | 0.00%             | 2035-01-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140JRRB9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     632216 | PA      | $612411.64     | 0.00%             | 2034-05-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31391VVE0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        533 | PA      | $557.49        | 0.00%             | 2032-12-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31419ANK9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       2336 | PA      | $2427.09       | 0.00%             | 2039-10-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae II Pool                               | CUSIP: 36179WVW5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   10756860 | PA      | $10026162.16   | 0.04%             | 2052-01-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3133G6RK3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    1079418 | PA      | $1021798.21    | 0.00%             | 2034-09-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae II Pool                               | CUSIP: 3622A2R87<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    3773303 | PA      | $3463459.01    | 0.01%             | 2046-01-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3131XH3W4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      22312 | PA      | $21675.93      | 0.00%             | 2042-01-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31368HMY6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       3451 | PA      | $3585.49       | 0.00%             | 2036-11-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 36207LFU7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        273 | PA      | $287.82        | 0.00%             | 2030-12-15      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 31294MFF3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       4376 | PA      | $4292.08       | 0.00%             | 2026-04-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 312936MH7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      32692 | PA      | $31873.08      | 0.00%             | 2039-10-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3128MC5T8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       3650 | PA      | $3559.58       | 0.00%             | 2026-06-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3132GGBP9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |        811 | PA      | $811.95        | 0.00%             | 2041-08-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140EBRU7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      21235 | PA      | $20526.12      | 0.00%             | 2046-01-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140HLE69<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1691069 | PA      | $1671110.29    | 0.01%             | 2048-07-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 31292HK45<br>LEI: 254900HROIFWPRGM1V77 | Long             | ABS-MBS          | USGSE             | US        |        151 | PA      | $155.56        | 0.00%             | 2031-07-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 36241LEG7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       3697 | PA      | $3938.82       | 0.00%             | 2039-12-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31418DKL5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      24997 | PA      | $24213.64      | 0.00%             | 2035-01-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140XDE44<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1147333 | PA      | $945306.69     | 0.00%             | 2051-10-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3128MFYU6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      20567 | PA      | $20236.82      | 0.00%             | 2033-11-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae II Pool                               | CUSIP: 36179RZV4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     709267 | PA      | $710539.41     | 0.00%             | 2046-02-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140FCTD0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    3861377 | PA      | $3489479.27    | 0.01%             | 2047-02-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3133KHA71<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     355164 | PA      | $350566.17     | 0.00%             | 2049-09-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 31292HPS7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |        694 | PA      | $712.91        | 0.00%             | 2032-02-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3133KKD48<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   12982120 | PA      | $10729050.16   | 0.05%             | 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        |     225785 | PA      | $224047.08     | 0.00%             | 2048-07-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31416RTG8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       1325 | PA      | $1307.27       | 0.00%             | 2024-06-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140QC7A8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    3490037 | PA      | $3444889.50    | 0.01%             | 2050-03-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 31288BLY7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       1452 | PA      | $1519.49       | 0.00%             | 2032-11-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 31306XCH4<br>LEI: 254900HROIFWPRGM1V77 | Long             | ABS-MBS          | USGSE             | US        |     265525 | PA      | $255021.64     | 0.00%             | 2027-08-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140XJNY5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    7676000 | PA      | $7691528.76    | 0.03%             | 2052-10-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138WCPC1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      23193 | PA      | $22274.57      | 0.00%             | 2029-08-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138A2R43<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      21741 | PA      | $21163.45      | 0.00%             | 2041-01-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138WHSQ6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     828686 | PA      | $757361.36     | 0.00%             | 2046-08-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3128K6VS6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       3821 | PA      | $3883.01       | 0.00%             | 2035-07-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae II Pool                               | CUSIP: 36179SEH6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   44118399 | PA      | $41737819.55   | 0.18%             | 2046-06-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3132DNRC9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   11869278 | PA      | $9777075.81    | 0.04%             | 2052-02-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3132DMCM5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    1912747 | PA      | $1728532.43    | 0.01%             | 2048-09-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31418DYB2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   36377864 | PA      | $30006201.17   | 0.13%             | 2051-04-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140H1V31<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     425329 | PA      | $425489.75     | 0.00%             | 2048-03-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31417BKV8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      16947 | PA      | $15980.27      | 0.00%             | 2042-04-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3128MJSH4<br>LEI: 254900HROIFWPRGM1V77 | Long             | ABS-MBS          | USGSE             | US        |      80798 | PA      | $71646.06      | 0.00%             | 2043-02-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31388UF21<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        188 | PA      | $195.16        | 0.00%             | 2031-12-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138EGHW7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       8724 | PA      | $8912.79       | 0.00%             | 2041-04-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3133G7ZS5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    1268983 | PA      | $1229287.20    | 0.01%             | 2035-02-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 36290SYP0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        556 | PA      | $578.55        | 0.00%             | 2034-05-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 31297FDM2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       2553 | PA      | $2690.92       | 0.00%             | 2034-10-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31402RJP5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       5210 | PA      | $5364.86       | 0.00%             | 2035-03-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 31297AT95<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       6067 | PA      | $6155.94       | 0.00%             | 2034-03-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3133A1XP2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     191598 | PA      | $188096.60     | 0.00%             | 2050-02-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3128PUND0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      15927 | PA      | $15523.99      | 0.00%             | 2026-04-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138EPJE5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     720581 | PA      | $698825.50     | 0.00%             | 2035-02-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138WD6X4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      52596 | PA      | $50010.63      | 0.00%             | 2030-02-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138YTM43<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     406370 | PA      | $389032.64     | 0.00%             | 2030-07-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31412HYY9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       5295 | PA      | $5655.02       | 0.00%             | 2039-01-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3128L1KZ2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |        202 | PA      | $216.98        | 0.00%             | 2037-12-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140K24K7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1347377 | PA      | $1305170.12    | 0.01%             | 2034-11-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31413DBU0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       2973 | PA      | $3089.10       | 0.00%             | 2037-07-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140QNTM4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1907720 | PA      | $1755415.62    | 0.01%             | 2052-04-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140GNKS1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     286487 | PA      | $283503.88     | 0.00%             | 2047-04-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31419GCH5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     200460 | PA      | $200400.34     | 0.00%             | 2040-10-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140J9QD6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    3610086 | PA      | $3586182.34    | 0.02%             | 2048-09-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Non Gold Pool                        | CUSIP: 3128UGB63<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       7558 | PA      | $7438.06       | 0.00%             | 2040-11-01      | Floating      | 2.03%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140J7RM9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1563713 | PA      | $1503649.91    | 0.01%             | 2047-11-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 36296P7G0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       1495 | PA      | $1563.40       | 0.00%             | 2038-11-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138XJ3N5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     251858 | PA      | $244563.80     | 0.00%             | 2044-03-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140KNZV3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     765258 | PA      | $708263.46     | 0.00%             | 2035-09-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 36200JJE1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       9411 | PA      | $9624.50       | 0.00%             | 2035-12-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140X4HW9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      27373 | PA      | $26091.79      | 0.00%             | 2033-07-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3132WMSH8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     179391 | PA      | $173182.20     | 0.00%             | 2047-04-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140JKC53<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1159338 | PA      | $1124508.79    | 0.00%             | 2048-11-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140KLZ39<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    2296205 | PA      | $1998134.78    | 0.01%             | 2050-08-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 313615SA5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |         12 | PA      | $12.32         | 0.00%             | 2023-10-01      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 31307LEQ7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    1050290 | PA      | $999679.39     | 0.00%             | 2029-12-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 36180CYW3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     243678 | PA      | $231642.68     | 0.00%             | 2043-01-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31418TSV0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       3323 | PA      | $3329.03       | 0.00%             | 2040-06-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae II Pool                               | CUSIP: 36179MC32<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      17912 | PA      | $18055.08      | 0.00%             | 2042-05-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31400EMP2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       5967 | PA      | $6239.42       | 0.00%             | 2033-02-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3128M6ZQ4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      10138 | PA      | $10336.55      | 0.00%             | 2038-11-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 36291D3L5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       5193 | PA      | $5210.85       | 0.00%             | 2039-03-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140JQHC0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1005235 | PA      | $901035.76     | 0.00%             | 2049-11-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140XFMA6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1718306 | PA      | $1416880.58    | 0.01%             | 2052-01-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 312940K40<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       5038 | PA      | $5041.73       | 0.00%             | 2040-05-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31371MLB1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      18268 | PA      | $18947.50      | 0.00%             | 2035-12-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3132WPDB0<br>LEI: 254900HROIFWPRGM1V77 | Long             | ABS-MBS          | USGSE             | US        |    1159428 | PA      | $1148478.14    | 0.00%             | 2047-06-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140QMTY0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   54285482 | PA      | $44709845.30   | 0.19%             | 2051-12-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31416QRP2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       4582 | PA      | $4580.32       | 0.00%             | 2039-09-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138EJBU1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1638986 | PA      | $1702689.30    | 0.01%             | 2040-07-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31417VPC1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     316391 | PA      | $323030.29     | 0.00%             | 2039-12-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3131XVF75<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     601766 | PA      | $543810.66     | 0.00%             | 2046-11-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 31306XQW6<br>LEI: 254900HROIFWPRGM1V77 | Long             | ABS-MBS          | USGSE             | US        |    1257030 | PA      | $1220321.84    | 0.01%             | 2027-09-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 31292H2E3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      19576 | PA      | $19853.78      | 0.00%             | 2033-11-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 31307EM27<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      30824 | PA      | $29171.79      | 0.00%             | 2028-09-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 3620A7JM8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       2438 | PA      | $2390.12       | 0.00%             | 2040-09-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31378DVG2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        185 | PA      | $188.47        | 0.00%             | 2027-11-01      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31410LQ21<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1111070 | PA      | $1004060.34    | 0.00%             | 2047-08-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31418AGV4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       3616 | PA      | $3614.41       | 0.00%             | 2042-07-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138ERNZ9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      29131 | PA      | $29122.24      | 0.00%             | 2042-09-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138XQCX7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      25157 | PA      | $24381.16      | 0.00%             | 2044-05-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140JM4K5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    2894464 | PA      | $2918328.83    | 0.01%             | 2049-03-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 36195FHD0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     972914 | PA      | $914007.46     | 0.00%             | 2046-09-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140X4JF4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    3644577 | PA      | $3431317.72    | 0.01%             | 2033-01-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3128MJVT4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     110263 | PA      | $110043.58     | 0.00%             | 2045-01-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31371KKJ9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       1833 | PA      | $1882.07       | 0.00%             | 2032-02-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140FBVY3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    3577128 | PA      | $3232606.58    | 0.01%             | 2046-11-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138WJ5K0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     112443 | PA      | $104807.46     | 0.00%             | 2047-03-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 31307MJF4<br>LEI: 254900HROIFWPRGM1V77 | Long             | ABS-MBS          | USGSE             | US        |      11113 | PA      | $10648.79      | 0.00%             | 2030-03-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138AW4V2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      90823 | PA      | $87661.01      | 0.00%             | 2026-11-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138WJUS5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   12195893 | PA      | $11367756.58   | 0.05%             | 2047-01-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3128PRTQ2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       6226 | PA      | $6121.99       | 0.00%             | 2025-06-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3128KJEL2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |        165 | PA      | $171.75        | 0.00%             | 2036-12-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31416VXQ2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      14897 | PA      | $14489.34      | 0.00%             | 2036-01-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 36182GUF3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      15662 | PA      | $14985.64      | 0.00%             | 2044-04-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 31288EJY4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |        130 | PA      | $134.15        | 0.00%             | 2033-01-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae II Pool                               | CUSIP: 36179XDA1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   26555642 | PA      | $23329299.45   | 0.10%             | 2052-08-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31412SZB4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        245 | PA      | $245.29        | 0.00%             | 2038-04-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31413F4Z2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        216 | PA      | $231.16        | 0.00%             | 2037-07-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 36192UEL5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       4831 | PA      | $4696.70       | 0.00%             | 2046-05-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 36295SS80<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       1458 | PA      | $1536.91       | 0.00%             | 2037-12-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 36297GCV0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      29940 | PA      | $30874.85      | 0.00%             | 2040-02-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 36297FT44<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       1894 | PA      | $1954.17       | 0.00%             | 2039-08-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae II Pool                               | CUSIP: 36179T7K5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   14702222 | PA      | $14253790.11   | 0.06%             | 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        |     502675 | PA      | $471666.13     | 0.00%             | 2046-08-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae II Pool                               | CUSIP: 36179RNW5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     507754 | PA      | $481460.82     | 0.00%             | 2045-09-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31411GGS5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       7843 | PA      | $8148.06       | 0.00%             | 2036-12-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 31292LA54<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      70719 | PA      | $72330.93      | 0.00%             | 2040-11-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3132DNU27<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   10461945 | PA      | $9894101.61    | 0.04%             | 2052-08-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31418DAR3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    2131340 | PA      | $2045442.14    | 0.01%             | 2049-03-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138X6EL5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       3029 | PA      | $3025.19       | 0.00%             | 2043-11-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 36178VC41<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     231279 | PA      | $212388.06     | 0.00%             | 2043-03-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 31307UX86<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     609287 | PA      | $580705.89     | 0.00%             | 2032-11-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae II Pool                               | CUSIP: 36202FLP9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    1996752 | PA      | $2012704.69    | 0.01%             | 2040-10-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 31292JBR0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       1953 | PA      | $2058.69       | 0.00%             | 2034-06-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3133GA2W5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     790294 | PA      | $691880.64     | 0.00%             | 2035-12-01      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 312935M97<br>LEI: 254900HROIFWPRGM1V77 | Long             | ABS-MBS          | USGSE             | US        |     424915 | PA      | $442239.31     | 0.00%             | 2039-09-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae II Pool                               | CUSIP: 36202FVG8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    5281578 | PA      | $5323715.84    | 0.02%             | 2041-07-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3128MFE46<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    1074529 | PA      | $1011539.10    | 0.00%             | 2032-07-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138WHCX8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     218334 | PA      | $212662.97     | 0.00%             | 2031-05-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31415ALT6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       4668 | PA      | $4851.97       | 0.00%             | 2038-04-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31415VNL5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       1610 | PA      | $1719.86       | 0.00%             | 2038-09-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140JXCV8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     337027 | PA      | $340922.23     | 0.00%             | 2049-09-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 36176XCT4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      42668 | PA      | $40560.42      | 0.00%             | 2042-02-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3133A4DS2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     936670 | PA      | $834967.38     | 0.00%             | 2050-04-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140J8SW4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     363255 | PA      | $352662.02     | 0.00%             | 2033-05-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31418CRH9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1703031 | PA      | $1601579.68    | 0.01%             | 2032-11-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3132A9SZ1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     406719 | PA      | $382927.72     | 0.00%             | 2032-01-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31415YLK3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        280 | PA      | $275.86        | 0.00%             | 2024-07-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138WHBP6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     377665 | PA      | $352020.65     | 0.00%             | 2046-05-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140X7BS7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   12916883 | PA      | $11954866.81   | 0.05%             | 2035-07-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140F8CU9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    2218750 | PA      | $2160289.48    | 0.01%             | 2046-05-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140FBKZ2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     132710 | PA      | $127664.49     | 0.00%             | 2046-08-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138W9BH2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      30885 | PA      | $28196.37      | 0.00%             | 2043-07-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 31307VH33<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     766120 | PA      | $730182.73     | 0.00%             | 2033-01-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3131XVTS4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    1248065 | PA      | $1183349.65    | 0.01%             | 2047-01-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138WJM88<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1210738 | PA      | $1094129.08    | 0.00%             | 2046-12-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae II Pool                               | CUSIP: 36179W7L6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    1769209 | PA      | $1638962.75    | 0.01%             | 2052-06-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140JPEL5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1241285 | PA      | $1251518.93    | 0.01%             | 2049-03-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Non Gold Pool                        | CUSIP: 3128S5GP3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     286912 | PA      | $283869.61     | 0.00%             | 2038-12-01      | Floating      | 2.89%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 31292GT22<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |         53 | PA      | $54.30         | 0.00%             | 2027-11-01      | Fixed         | 8.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138WAUB1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1593618 | PA      | $1628236.77    | 0.01%             | 2044-01-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140Q7RH2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     361353 | PA      | $336757.55     | 0.00%             | 2047-10-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138AMHP3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       3764 | PA      | $3762.93       | 0.00%             | 2041-07-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138YVV55<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      37360 | PA      | $35402.52      | 0.00%             | 2030-06-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 36292ETP5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       3980 | PA      | $3909.97       | 0.00%             | 2035-08-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138EBP33<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    5937041 | PA      | $5761108.43    | 0.02%             | 2042-03-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3132A9NM5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     432416 | PA      | $419353.69     | 0.00%             | 2028-08-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3128Q0J32<br>LEI: 254900HROIFWPRGM1V77 | Long             | ABS-MBS          | USGSE             | US        |     122777 | PA      | $119191.22     | 0.00%             | 2027-06-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31402RL31<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      29999 | PA      | $31613.39      | 0.00%             | 2035-07-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140X6WA5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    3276593 | PA      | $3185604.47    | 0.01%             | 2035-05-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 36208YJB6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        150 | PA      | $153.95        | 0.00%             | 2028-08-15      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3131XRLZ5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     617613 | PA      | $596990.82     | 0.00%             | 2045-04-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31385U5N9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        633 | PA      | $646.16        | 0.00%             | 2030-09-01      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140HNVD1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     283935 | PA      | $272947.95     | 0.00%             | 2048-06-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31378FCJ2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        628 | PA      | $644.00        | 0.00%             | 2027-09-01      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 36210AN94<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |         72 | PA      | $74.60         | 0.00%             | 2028-09-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 36200MWH2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      25002 | PA      | $26271.42      | 0.00%             | 2033-09-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3133A4RJ7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    2066296 | PA      | $1795742.76    | 0.01%             | 2050-05-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 31307U5N4<br>LEI: 254900HROIFWPRGM1V77 | Long             | ABS-MBS          | USGSE             | US        |     554171 | PA      | $528175.67     | 0.00%             | 2032-12-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138WFS80<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     119857 | PA      | $115856.30     | 0.00%             | 2045-10-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140E0AU9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       1217 | PA      | $1176.44       | 0.00%             | 2045-08-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138WJXB9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    6001086 | PA      | $5610908.58    | 0.02%             | 2037-02-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 36213JJC0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       6511 | PA      | $6640.68       | 0.00%             | 2031-12-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3128M7NY8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       1186 | PA      | $1211.11       | 0.00%             | 2039-02-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 36241LA63<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       4632 | PA      | $4943.78       | 0.00%             | 2039-06-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3133KKZQ5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   22809662 | PA      | $19508660.81   | 0.08%             | 2051-01-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140J8F32<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     416438 | PA      | $393896.95     | 0.00%             | 2043-07-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140J95A5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     261514 | PA      | $253887.92     | 0.00%             | 2034-02-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138Y9DH8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      12947 | PA      | $12547.45      | 0.00%             | 2044-12-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 36290SCY5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       9957 | PA      | $10302.28      | 0.00%             | 2033-09-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140LTFY5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1496945 | PA      | $1292104.47    | 0.01%             | 2051-08-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 312942UW3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       6363 | PA      | $6199.65       | 0.00%             | 2040-10-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31415RGM0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       5307 | PA      | $5515.96       | 0.00%             | 2038-07-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae II Pool                               | CUSIP: 36179NLF3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       9436 | PA      | $9504.63       | 0.00%             | 2043-08-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 31298NMX0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |         89 | PA      | $91.98         | 0.00%             | 2031-05-01      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138MFM79<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     279503 | PA      | $271072.09     | 0.00%             | 2027-10-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae II Pool                               | CUSIP: 36202DS28<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        263 | PA      | $271.69        | 0.00%             | 2032-05-20      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140J9SE2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    4223428 | PA      | $4043234.98    | 0.02%             | 2031-01-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138YJAU0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     309173 | PA      | $295981.96     | 0.00%             | 2030-04-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 36202WW96<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       2902 | PA      | $2989.38       | 0.00%             | 2033-05-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31405U3M9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        876 | PA      | $922.45        | 0.00%             | 2034-12-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae II Pool                               | CUSIP: 36179SQV2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   15365825 | PA      | $14099229.26   | 0.06%             | 2046-11-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31384CVV3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     196070 | PA      | $195923.50     | 0.00%             | 2028-03-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140F5MJ9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1739783 | PA      | $1572220.91    | 0.01%             | 2046-05-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140X9V93<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      99307 | PA      | $91869.03      | 0.00%             | 2050-06-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae II Pool                               | CUSIP: 36179UMN9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     912386 | PA      | $922249.05     | 0.00%             | 2049-02-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae II Pool                               | CUSIP: 36192VPR8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     300626 | PA      | $285058.74     | 0.00%             | 2046-01-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae II Pool                               | CUSIP: 36179MG61<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     162337 | PA      | $159556.32     | 0.00%             | 2042-07-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31382L2W5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        171 | PA      | $176.05        | 0.00%             | 2029-02-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 36225A7H7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        226 | PA      | $233.64        | 0.00%             | 2028-11-15      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31385XF93<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       1065 | PA      | $1096.17       | 0.00%             | 2033-07-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31382KPK8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       1252 | PA      | $1289.78       | 0.00%             | 2029-03-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138EJ3R7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       2869 | PA      | $2784.35       | 0.00%             | 2042-07-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31418CRD8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     185380 | PA      | $178259.87     | 0.00%             | 2047-11-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138AJH21<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      57023 | PA      | $55859.75      | 0.00%             | 2026-07-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3132GJLT4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       8493 | PA      | $8259.32       | 0.00%             | 2041-09-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140FAGM8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      10337 | PA      | $10237.84      | 0.00%             | 2046-07-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140EBDV0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     197504 | PA      | $178608.63     | 0.00%             | 2046-01-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3132DNUM3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   10484291 | PA      | $9919060.77    | 0.04%             | 2052-08-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3128K1NS6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       4192 | PA      | $4186.12       | 0.00%             | 2036-01-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae II Pool                               | CUSIP: 36179TCZ6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    1795344 | PA      | $1782514.35    | 0.01%             | 2047-07-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 31307BU40<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      12231 | PA      | $11741.94      | 0.00%             | 2028-04-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3128L6Z44<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      15062 | PA      | $16150.34      | 0.00%             | 2037-12-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 312935BP3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      13332 | PA      | $13339.08      | 0.00%             | 2039-09-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 312931VP0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |        434 | PA      | $433.97        | 0.00%             | 2039-03-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138NYWH4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     292956 | PA      | $276542.18     | 0.00%             | 2043-01-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140E9LD6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       7082 | PA      | $6404.41       | 0.00%             | 2045-12-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138AW4W0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     173983 | PA      | $167914.72     | 0.00%             | 2026-11-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31416A4W7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       2776 | PA      | $2886.00       | 0.00%             | 2038-11-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31411NUW5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        572 | PA      | $603.16        | 0.00%             | 2037-02-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 3620A5B73<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      10923 | PA      | $11273.70      | 0.00%             | 2040-08-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 36208QZX7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       1423 | PA      | $1460.26       | 0.00%             | 2029-03-15      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138W9KB5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       4335 | PA      | $4157.29       | 0.00%             | 2028-08-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140QMCD4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    5887406 | PA      | $5046659.05    | 0.02%             | 2051-10-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3132A25E8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     578090 | PA      | $585640.21     | 0.00%             | 2034-05-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 31283HWZ4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |        752 | PA      | $786.58        | 0.00%             | 2033-04-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31368HZG1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        133 | PA      | $132.82        | 0.00%             | 2024-04-01      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140F03U6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1437917 | PA      | $1370607.83    | 0.01%             | 2031-03-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3133G7D83<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     989440 | PA      | $958488.89     | 0.00%             | 2034-11-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3131XCWW3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     890655 | PA      | $865937.64     | 0.00%             | 2032-06-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3132VQGS9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    1100124 | PA      | $1028732.46    | 0.00%             | 2049-05-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 36212GBQ4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        247 | PA      | $254.96        | 0.00%             | 2030-06-15      | Fixed         | 8.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 31283GX44<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |         30 | PA      | $31.18         | 0.00%             | 2027-04-01      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31419LFV0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       8200 | PA      | $7982.55       | 0.00%             | 2040-11-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140QCTU0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     401093 | PA      | $371893.27     | 0.00%             | 2035-01-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3129285R1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      21559 | PA      | $22431.31      | 0.00%             | 2038-10-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae II Pool                               | CUSIP: 3617NX3P3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   10115598 | PA      | $8916488.42    | 0.04%             | 2050-08-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138ECGA5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     319882 | PA      | $319057.45     | 0.00%             | 2027-03-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 31296RND6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       1469 | PA      | $1546.98       | 0.00%             | 2033-11-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 36180MXE2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     636374 | PA      | $565697.14     | 0.00%             | 2043-03-15      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140XAH88<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   76931372 | PA      | $63543560.36   | 0.27%             | 2051-03-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140KXS49<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1453408 | PA      | $1262013.66    | 0.01%             | 2050-12-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138WHEC2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     624446 | PA      | $567456.72     | 0.00%             | 2046-06-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31419FD60<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       7954 | PA      | $7742.53       | 0.00%             | 2040-10-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3131XBTQ2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    1246587 | PA      | $1181281.27    | 0.01%             | 2030-10-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31416QWM3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      13938 | PA      | $13932.65      | 0.00%             | 2039-05-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138WKQQ1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     681763 | PA      | $642821.32     | 0.00%             | 2047-04-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31415Y4Y2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      18523 | PA      | $19537.89      | 0.00%             | 2038-09-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31408FXB0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       1553 | PA      | $1636.61       | 0.00%             | 2035-12-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31391HM92<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       1896 | PA      | $1951.05       | 0.00%             | 2032-11-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31418DAT9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     313028 | PA      | $315616.89     | 0.00%             | 2049-03-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31407G6W3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       1509 | PA      | $1531.68       | 0.00%             | 2035-09-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3132GUKK9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      61685 | PA      | $58223.16      | 0.00%             | 2042-06-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140X5D26<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    8447108 | PA      | $7607775.20    | 0.03%             | 2049-11-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3132L6JN2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      45881 | PA      | $41858.82      | 0.00%             | 2044-04-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138WW3W7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     280591 | PA      | $256163.78     | 0.00%             | 2043-07-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 31307RU86<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    1238005 | PA      | $1166697.06    | 0.00%             | 2031-08-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 31283HQ32<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       2804 | PA      | $3006.00       | 0.00%             | 2032-03-01      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140FG4L0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    3105112 | PA      | $2827273.54    | 0.01%             | 2046-10-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138ETEP7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     103965 | PA      | $100829.31     | 0.00%             | 2029-11-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138EN4L0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      34417 | PA      | $32724.65      | 0.00%             | 2030-01-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140QBPJ1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      41209 | PA      | $38122.74      | 0.00%             | 2049-08-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3132WDHH0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     277685 | PA      | $259092.26     | 0.00%             | 2046-04-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31419KU78<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      12677 | PA      | $12308.69      | 0.00%             | 2025-11-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31411W4M6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       1430 | PA      | $1485.89       | 0.00%             | 2037-06-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 36212EDQ7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |         81 | PA      | $81.21         | 0.00%             | 2030-06-15      | Fixed         | 8.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31400NBM1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       2423 | PA      | $2454.65       | 0.00%             | 2033-03-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| UMBS, TBA                                      | Uniform Mortgage-Backed Security, TBA            | CUSIP: 01F0206C8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   24069808 | PA      | $19824683.60   | 0.08%             | 2052-12-15      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 31287XMW3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       1195 | PA      | $1245.18       | 0.00%             | 2032-09-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3132Y2WL6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      14235 | PA      | $13698.34      | 0.00%             | 2048-09-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31418M7C0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |         19 | PA      | $18.49         | 0.00%             | 2024-05-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae II Pool                               | CUSIP: 36179R7J2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   10660197 | PA      | $10084984.79   | 0.04%             | 2046-04-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31412MBW7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        335 | PA      | $361.52        | 0.00%             | 2037-12-01      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 36213AB60<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        790 | PA      | $815.06        | 0.00%             | 2031-12-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3132DWCB7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    1011280 | PA      | $833335.49     | 0.00%             | 2051-09-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 36178UBR3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      97474 | PA      | $92659.70      | 0.00%             | 2042-10-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31371NZP3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        391 | PA      | $412.56        | 0.00%             | 2038-09-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138WDQ38<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1111441 | PA      | $1077170.57    | 0.00%             | 2044-12-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3131XWXR9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    1727596 | PA      | $1709608.82    | 0.01%             | 2047-06-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3128Q0J81<br>LEI: 254900HROIFWPRGM1V77 | Long             | ABS-MBS          | USGSE             | US        |      79761 | PA      | $77431.33      | 0.00%             | 2027-06-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 31293WST8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       2037 | PA      | $2113.91       | 0.00%             | 2029-09-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31373TYU8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        169 | PA      | $169.03        | 0.00%             | 2024-11-01      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae II Pool                               | CUSIP: 36202F4L7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      12220 | PA      | $11754.38      | 0.00%             | 2027-03-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 312942NM3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      18466 | PA      | $18477.96      | 0.00%             | 2040-09-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 36208FUF5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |         90 | PA      | $90.11         | 0.00%             | 2027-12-15      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31418CM35<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      57917 | PA      | $58396.01      | 0.00%             | 2047-07-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31418TCP0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      37680 | PA      | $38496.87      | 0.00%             | 2040-05-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3128M5H37<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       6199 | PA      | $6544.49       | 0.00%             | 2037-11-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138EKTF2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   11163950 | PA      | $10527332.01   | 0.04%             | 2042-10-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31418BXT8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      85630 | PA      | $81143.01      | 0.00%             | 2030-12-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3131XVKA2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    2333282 | PA      | $2108566.74    | 0.01%             | 2046-11-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3133ARAD7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    1697629 | PA      | $1454878.72    | 0.01%             | 2051-09-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 36210B5G6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       3244 | PA      | $3341.43       | 0.00%             | 2039-04-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31407CD53<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       2487 | PA      | $2525.23       | 0.00%             | 2035-08-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140K4VV9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     663566 | PA      | $615257.49     | 0.00%             | 2034-11-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31418MUP5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     864617 | PA      | $882759.25     | 0.00%             | 2039-12-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31416VB37<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      19870 | PA      | $20263.32      | 0.00%             | 2039-04-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3131XVWY7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     473836 | PA      | $455830.36     | 0.00%             | 2047-01-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140QMKC7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1136354 | PA      | $973901.15     | 0.00%             | 2051-11-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140FGGC7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     177340 | PA      | $160260.22     | 0.00%             | 2046-11-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 36296GTF8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       1290 | PA      | $1329.45       | 0.00%             | 2038-06-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae II Pool                               | CUSIP: 36179TSG1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   10148659 | PA      | $9586786.93    | 0.04%             | 2048-02-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140KG2M4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1768250 | PA      | $1523400.72    | 0.01%             | 2050-06-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138A4WK7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       9462 | PA      | $9667.05       | 0.00%             | 2041-01-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140EYY88<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     129227 | PA      | $116781.13     | 0.00%             | 2046-03-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae II Pool                               | CUSIP: 36179VFS4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    9599210 | PA      | $9513125.73    | 0.04%             | 2050-02-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae II Pool                               | CUSIP: 36179W5D6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     465128 | PA      | $430885.89     | 0.00%             | 2052-05-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 36297AKW2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       4410 | PA      | $4630.40       | 0.00%             | 2039-01-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 36241LTU0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      66498 | PA      | $68350.08      | 0.00%             | 2040-12-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138WJRT7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    5270599 | PA      | $4962193.76    | 0.02%             | 2032-01-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31371FLW0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |         93 | PA      | $95.62         | 0.00%             | 2026-08-01      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 31307U5T1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     741727 | PA      | $706933.77     | 0.00%             | 2032-11-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3128M9PY2<br>LEI: 254900HROIFWPRGM1V77 | Long             | ABS-MBS          | USGSE             | US        |      33647 | PA      | $29839.50      | 0.00%             | 2043-04-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3128KALZ2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       1068 | PA      | $1127.64       | 0.00%             | 2036-06-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3132D6A91<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    1412676 | PA      | $1269071.78    | 0.01%             | 2036-12-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138WGA61<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     125093 | PA      | $116771.00     | 0.00%             | 2045-12-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140JMCR1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     529310 | PA      | $533785.48     | 0.00%             | 2049-07-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 36213DYR3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |         97 | PA      | $99.72         | 0.00%             | 2031-08-15      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 36241KK31<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      16982 | PA      | $17448.73      | 0.00%             | 2036-09-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140K0T81<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     626773 | PA      | $593296.86     | 0.00%             | 2034-09-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3128PU3P5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      15854 | PA      | $15419.31      | 0.00%             | 2026-05-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140QKTA6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1136717 | PA      | $1045815.81    | 0.00%             | 2051-05-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3128MJ2D1<br>LEI: 254900HROIFWPRGM1V77 | Long             | ABS-MBS          | USGSE             | US        |     510944 | PA      | $491790.00     | 0.00%             | 2047-07-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 31329PS53<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     251473 | PA      | $248504.91     | 0.00%             | 2048-11-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 31334YQP5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     255340 | PA      | $238240.40     | 0.00%             | 2049-09-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3128MMQY2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       4830 | PA      | $4636.98       | 0.00%             | 2028-06-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138YKBM4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    7145272 | PA      | $6862320.54    | 0.03%             | 2030-03-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3128MDTT0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |        448 | PA      | $444.38        | 0.00%             | 2023-08-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 36296QVY2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      17627 | PA      | $17689.19      | 0.00%             | 2039-06-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140X8CV7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   41871464 | PA      | $34710993.05   | 0.15%             | 2050-10-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 31293N4W7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       1684 | PA      | $1747.82       | 0.00%             | 2029-04-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3128M75T9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      70809 | PA      | $72422.35      | 0.00%             | 2040-08-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 36225AZF0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        190 | PA      | $190.51        | 0.00%             | 2024-09-15      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae II Pool                               | CUSIP: 36179SLS4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    5266446 | PA      | $4982274.20    | 0.02%             | 2046-09-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140EULA5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     450026 | PA      | $438337.57     | 0.00%             | 2031-03-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140J9BB6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     118128 | PA      | $115970.09     | 0.00%             | 2027-08-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31415VZY4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       2616 | PA      | $2602.82       | 0.00%             | 2023-09-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31371FDT6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        628 | PA      | $635.65        | 0.00%             | 2025-12-01      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140FLT65<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       6469 | PA      | $5845.94       | 0.00%             | 2046-12-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae II Pool                               | CUSIP: 36179UUH3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    3465271 | PA      | $3180188.08    | 0.01%             | 2049-06-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae II Pool                               | CUSIP: 36179QPJ4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     122309 | PA      | $122528.10     | 0.00%             | 2044-09-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140JJUV9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     643064 | PA      | $622586.35     | 0.00%             | 2049-02-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140KNNN4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    6766075 | PA      | $5861477.72    | 0.02%             | 2050-10-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140QAXL9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    4618560 | PA      | $4656639.98    | 0.02%             | 2049-04-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 31307AXS6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      44233 | PA      | $42464.11      | 0.00%             | 2028-02-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 36292KPM2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        682 | PA      | $710.49        | 0.00%             | 2036-01-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3128M6XE3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |        730 | PA      | $770.30        | 0.00%             | 2038-10-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138MCF66<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    2201554 | PA      | $2010749.14    | 0.01%             | 2042-09-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3128MCGG4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |        450 | PA      | $443.95        | 0.00%             | 2024-06-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140JVXE7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     552764 | PA      | $535448.84     | 0.00%             | 2034-07-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140JHQY2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     559979 | PA      | $568592.41     | 0.00%             | 2048-10-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 31283HFT7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       2553 | PA      | $2649.05       | 0.00%             | 2029-09-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138EPS54<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     398427 | PA      | $407073.20     | 0.00%             | 2042-04-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3133AULX4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    1640287 | PA      | $1353124.00    | 0.01%             | 2051-10-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| UMBS, TBA                                      | Uniform Mortgage-Backed Security, TBA            | CUSIP: 01F0404C8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   19000000 | PA      | $18572500.00   | 0.08%             | 2037-12-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 36241K4Q8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      10988 | PA      | $11026.34      | 0.00%             | 2039-04-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140F14D1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     551139 | PA      | $518889.46     | 0.00%             | 2031-04-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae II Pool                               | CUSIP: 3622A26Q0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    1409652 | PA      | $1328055.48    | 0.01%             | 2048-04-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140X5LN1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1081631 | PA      | $965968.54     | 0.00%             | 2050-01-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138YXLZ6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    3875441 | PA      | $3746067.81    | 0.02%             | 2045-09-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138WF3G9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     895495 | PA      | $835924.05     | 0.00%             | 2045-11-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 31292GZF6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |        338 | PA      | $350.85        | 0.00%             | 2029-04-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3132XX2W8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    1394940 | PA      | $1310110.25    | 0.01%             | 2048-04-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31371NV28<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |         57 | PA      | $56.84         | 0.00%             | 2023-06-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31418BLJ3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     189291 | PA      | $179984.76     | 0.00%             | 2029-12-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138WAXP7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     128094 | PA      | $127937.61     | 0.00%             | 2044-01-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31368H3E1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        100 | PA      | $100.00        | 0.00%             | 2024-05-01      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 31307MFD3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      12659 | PA      | $12130.83      | 0.00%             | 2030-03-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31410KHE7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     319584 | PA      | $337091.74     | 0.00%             | 2038-03-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138MMDN9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       1800 | PA      | $1698.82       | 0.00%             | 2042-10-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31418VVZ2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      13100 | PA      | $13620.22      | 0.00%             | 2040-06-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138YWCS4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      42908 | PA      | $37500.99      | 0.00%             | 2045-07-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 312936CD7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       2905 | PA      | $2906.75       | 0.00%             | 2039-09-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138E9AZ3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     187026 | PA      | $181484.21     | 0.00%             | 2042-03-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138AHX68<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    2040982 | PA      | $2040385.14    | 0.01%             | 2041-06-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 31292LHG3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      20925 | PA      | $20939.31      | 0.00%             | 2042-03-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31371KSD4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        137 | PA      | $148.42        | 0.00%             | 2032-07-01      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 36176HTR5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     496435 | PA      | $485442.38     | 0.00%             | 2042-05-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 36211JPL5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        440 | PA      | $448.71        | 0.00%             | 2029-08-15      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138A2BQ1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     180783 | PA      | $175979.76     | 0.00%             | 2040-12-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140X4EZ5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    7267287 | PA      | $7181514.58    | 0.03%             | 2049-05-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 31297FYR8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |        701 | PA      | $723.53        | 0.00%             | 2034-10-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138ER5J5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    4570839 | PA      | $4130611.26    | 0.02%             | 2047-03-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138YSM94<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      62580 | PA      | $59300.27      | 0.00%             | 2030-08-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 3620A2TX4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       2813 | PA      | $2823.09       | 0.00%             | 2039-05-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140GY3A5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     490292 | PA      | $488164.16     | 0.00%             | 2048-01-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138ETAM8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      22972 | PA      | $21443.81      | 0.00%             | 2041-06-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138WQMQ2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      32705 | PA      | $30828.00      | 0.00%             | 2043-04-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3128FYYG4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |        624 | PA      | $643.72        | 0.00%             | 2028-04-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140HJJL6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   11829593 | PA      | $11700164.59   | 0.05%             | 2048-08-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140KBNY6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1433596 | PA      | $1341630.47    | 0.01%             | 2050-03-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae II Pool                               | CUSIP: 36179NAH1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     108187 | PA      | $103857.91     | 0.00%             | 2028-04-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 36230PCB4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     401771 | PA      | $393802.11     | 0.00%             | 2042-02-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31416M2B9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       4128 | PA      | $4126.41       | 0.00%             | 2039-05-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31416TEM7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      13975 | PA      | $13969.56      | 0.00%             | 2039-08-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3128M82Y9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      46824 | PA      | $45532.76      | 0.00%             | 2041-10-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138YB3V3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     149042 | PA      | $142682.99     | 0.00%             | 2030-03-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae                                       | CUSIP: 21H0226C0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   42042000 | PA      | $36944407.92   | 0.16%             | 2052-12-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3128MJZF0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    9723017 | PA      | $8795529.36    | 0.04%             | 2047-01-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140JXGP7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     637668 | PA      | $603610.26     | 0.00%             | 2034-07-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 36210BYT6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       6118 | PA      | $6291.12       | 0.00%             | 2039-03-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 36178NGA1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     285109 | PA      | $261832.21     | 0.00%             | 2042-09-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3131XVS48<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    4138496 | PA      | $3857565.85    | 0.02%             | 2047-01-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 31307G3N7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    2351619 | PA      | $2260614.75    | 0.01%             | 2029-04-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3131XU6Q5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     342569 | PA      | $309576.35     | 0.00%             | 2046-09-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3133A8GB7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    1373754 | PA      | $1231432.73    | 0.01%             | 2050-08-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 36183HRE7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     476234 | PA      | $436666.71     | 0.00%             | 2044-10-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31410Q6S5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       1922 | PA      | $1996.95       | 0.00%             | 2036-11-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 31283GHZ3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |         42 | PA      | $42.45         | 0.00%             | 2024-07-01      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31371FKX9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |         12 | PA      | $12.35         | 0.00%             | 2026-07-01      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138MLUW2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    2388203 | PA      | $2316164.55    | 0.01%             | 2027-11-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140QADK3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    4863672 | PA      | $4806268.24    | 0.02%             | 2048-12-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138WJGK8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    2168454 | PA      | $1974306.61    | 0.01%             | 2046-11-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 312930WU0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |        770 | PA      | $801.11        | 0.00%             | 2039-01-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3128MJ3A6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      69408 | PA      | $64748.15      | 0.00%             | 2047-12-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140HL3T1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      51247 | PA      | $49263.87      | 0.00%             | 2048-07-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31415YQA0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      12266 | PA      | $11946.98      | 0.00%             | 2039-05-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31410UYY2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       4144 | PA      | $4439.62       | 0.00%             | 2036-09-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 36241KVH8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     537712 | PA      | $563494.27     | 0.00%             | 2038-10-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3133G9LL1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     874038 | PA      | $821892.51     | 0.00%             | 2035-08-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138WEXW4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     249317 | PA      | $233801.57     | 0.00%             | 2045-02-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 312946EF9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       2027 | PA      | $2073.40       | 0.00%             | 2041-03-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140EVUP0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1992745 | PA      | $1817779.68    | 0.01%             | 2046-08-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140JVC91<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     650904 | PA      | $642483.60     | 0.00%             | 2049-07-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 31292HN91<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      13120 | PA      | $13732.33      | 0.00%             | 2032-03-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31403TBE3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       9944 | PA      | $10256.12      | 0.00%             | 2034-05-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31418CS47<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   27415640 | PA      | $25549593.15   | 0.11%             | 2048-01-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138MHLF8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     492283 | PA      | $449617.86     | 0.00%             | 2042-11-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31415LMC8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |         83 | PA      | $82.18         | 0.00%             | 2023-08-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 36201FNZ6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       2458 | PA      | $2567.36       | 0.00%             | 2032-04-15      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138WEM22<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     570521 | PA      | $546179.51     | 0.00%             | 2030-04-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae II Pool                               | CUSIP: 36179WT24<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     946198 | PA      | $881923.94     | 0.00%             | 2051-12-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31384LWE0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        183 | PA      | $189.62        | 0.00%             | 2029-11-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31383P4W3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        126 | PA      | $126.93        | 0.00%             | 2029-10-01      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3128PTZR9<br>LEI: 254900HROIFWPRGM1V77 | Long             | ABS-MBS          | USGSE             | US        |     288479 | PA      | $283059.77     | 0.00%             | 2026-02-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3132GLBE3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      57418 | PA      | $55834.90      | 0.00%             | 2041-11-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 31307D7M2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    1663426 | PA      | $1614628.60    | 0.01%             | 2028-09-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140HLVW3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     587412 | PA      | $586032.29     | 0.00%             | 2048-11-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3133GADC7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    2520035 | PA      | $2332422.26    | 0.01%             | 2035-10-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140KLXZ0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    3825418 | PA      | $3537219.57    | 0.02%             | 2035-09-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31407MZH1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       3274 | PA      | $3323.36       | 0.00%             | 2035-10-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138XWXD5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       3179 | PA      | $3053.56       | 0.00%             | 2029-07-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3128M7KL9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      19762 | PA      | $20042.85      | 0.00%             | 2034-05-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31417YQZ3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      16918 | PA      | $17589.59      | 0.00%             | 2040-07-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140KXSG2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     906886 | PA      | $752321.75     | 0.00%             | 2050-12-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31368HNV1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      42217 | PA      | $42204.84      | 0.00%             | 2040-05-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138ENFL8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      97818 | PA      | $97527.75      | 0.00%             | 2044-07-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 36213WS49<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      11345 | PA      | $11830.16      | 0.00%             | 2031-11-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3132AEBP0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    5408386 | PA      | $5231287.18    | 0.02%             | 2048-12-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31382KN20<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        528 | PA      | $543.85        | 0.00%             | 2029-02-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3128MJQ94<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      75555 | PA      | $71314.91      | 0.00%             | 2042-03-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138A6HZ6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       2580 | PA      | $2579.66       | 0.00%             | 2041-01-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140J5H93<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     216785 | PA      | $210068.13     | 0.00%             | 2047-03-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140EBXA4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     127959 | PA      | $123093.35     | 0.00%             | 2046-03-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 3620A32G8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       4012 | PA      | $4025.85       | 0.00%             | 2040-03-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31373TXF2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        221 | PA      | $220.94        | 0.00%             | 2024-12-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae II Pool                               | CUSIP: 36179S2R7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     282253 | PA      | $280236.09     | 0.00%             | 2047-04-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140XA3E0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    6481143 | PA      | $5561640.75    | 0.02%             | 2051-05-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31374TL80<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        306 | PA      | $315.70        | 0.00%             | 2029-02-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 312945K56<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     176559 | PA      | $180581.90     | 0.00%             | 2041-02-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3133KMXN0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   36582780 | PA      | $30231160.72   | 0.13%             | 2051-10-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 36290UFK7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        294 | PA      | $306.93        | 0.00%             | 2037-08-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 36291XQB8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       2021 | PA      | $2067.13       | 0.00%             | 2035-05-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138AFTD2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     310683 | PA      | $310592.06     | 0.00%             | 2041-05-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31417L7L3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      16933 | PA      | $16925.97      | 0.00%             | 2039-11-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31418CL28<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      36456 | PA      | $36757.63      | 0.00%             | 2047-05-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31418VL67<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       3043 | PA      | $3109.40       | 0.00%             | 2040-06-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31368HWX7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |         28 | PA      | $28.04         | 0.00%             | 2024-03-01      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31382F4H9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        397 | PA      | $409.19        | 0.00%             | 2029-01-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31418ELW8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    5500000 | PA      | $5347181.40    | 0.02%             | 2052-12-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 36185BDF0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      34611 | PA      | $32687.39      | 0.00%             | 2045-04-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 31307FJQ5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      42544 | PA      | $41709.56      | 0.00%             | 2028-12-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31418C2E3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     943282 | PA      | $951082.01     | 0.00%             | 2048-09-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138WCWJ8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     207650 | PA      | $197441.65     | 0.00%             | 2029-09-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140FFRL7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      12682 | PA      | $11085.74      | 0.00%             | 2047-01-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 31307UBC1<br>LEI: 254900HROIFWPRGM1V77 | Long             | ABS-MBS          | USGSE             | US        |     620173 | PA      | $603498.22     | 0.00%             | 2032-06-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31415P3Z9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      22525 | PA      | $23193.24      | 0.00%             | 2034-04-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140HBLZ9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     429764 | PA      | $389456.38     | 0.00%             | 2048-03-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138WHL26<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      10569 | PA      | $9851.33       | 0.00%             | 2046-07-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 36294RBZ1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       1052 | PA      | $1110.20       | 0.00%             | 2037-06-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 31307UZN1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     175103 | PA      | $166888.94     | 0.00%             | 2032-11-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140KBZA5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    4950663 | PA      | $4412349.06    | 0.02%             | 2050-06-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 36181AYX4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      13501 | PA      | $12398.24      | 0.00%             | 2043-06-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140FPXJ3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     229902 | PA      | $207759.70     | 0.00%             | 2047-01-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140HPZY6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     200496 | PA      | $192738.31     | 0.00%             | 2048-08-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138EQAH5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    2236702 | PA      | $2231217.03    | 0.01%             | 2045-08-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138WE6H7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     544318 | PA      | $508108.34     | 0.00%             | 2045-07-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140F1NY4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     376644 | PA      | $366861.30     | 0.00%             | 2031-04-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140L3CN9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    3091329 | PA      | $2550355.81    | 0.01%             | 2051-02-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae II Pool                               | CUSIP: 36179WNF1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   17995442 | PA      | $16290665.60   | 0.07%             | 2051-09-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31414JRL9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       6341 | PA      | $6687.86       | 0.00%             | 2038-01-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140FR4L6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     304889 | PA      | $296422.67     | 0.00%             | 2032-02-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3132XXBW8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      19035 | PA      | $17728.54      | 0.00%             | 2048-03-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31401LPS6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       2535 | PA      | $2568.34       | 0.00%             | 2033-06-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140HJXG1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     230996 | PA      | $208998.09     | 0.00%             | 2048-05-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31411CCQ2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        218 | PA      | $224.71        | 0.00%             | 2036-11-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3128LCY91<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       7772 | PA      | $8086.01       | 0.00%             | 2038-06-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31406EZ98<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       1465 | PA      | $1461.31       | 0.00%             | 2035-03-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3129306W5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |        762 | PA      | $762.68        | 0.00%             | 2039-02-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3131XDCF0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     136363 | PA      | $129837.59     | 0.00%             | 2032-11-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140K3FN7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     755568 | PA      | $680029.58     | 0.00%             | 2050-03-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3128M9X64<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      10492 | PA      | $9587.83       | 0.00%             | 2043-07-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3128MJCA6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |        559 | PA      | $599.18        | 0.00%             | 2035-04-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31418NB90<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       5509 | PA      | $5725.89       | 0.00%             | 2038-09-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 312940WQ8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       1599 | PA      | $1600.23       | 0.00%             | 2040-06-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138EKCU7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1427959 | PA      | $1427262.83    | 0.01%             | 2042-09-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31403DWU9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       7029 | PA      | $7302.37       | 0.00%             | 2036-11-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3128M7UU8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      26382 | PA      | $26396.69      | 0.00%             | 2039-11-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3132D55V0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    2826751 | PA      | $2729501.24    | 0.01%             | 2035-07-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138Y9DP0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     110092 | PA      | $109765.49     | 0.00%             | 2044-12-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3133A3UY2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    1252471 | PA      | $1153811.25    | 0.00%             | 2050-04-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31412JBK0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       8490 | PA      | $8674.18       | 0.00%             | 2040-06-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140F4NZ5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     411438 | PA      | $400597.30     | 0.00%             | 2046-09-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138ERM23<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     102353 | PA      | $96281.58      | 0.00%             | 2031-08-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140L0ST5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    4846308 | PA      | $3995496.45    | 0.02%             | 2051-01-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3132XCSD8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    6244242 | PA      | $6211408.72    | 0.03%             | 2048-10-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3132L7CG2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     259268 | PA      | $257626.19     | 0.00%             | 2045-09-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3133G7HY2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     705846 | PA      | $683766.19     | 0.00%             | 2034-12-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140QPSJ7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    8806411 | PA      | $8328275.01    | 0.04%             | 2052-07-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3132DWAW3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    3251830 | PA      | $2685956.20    | 0.01%             | 2051-01-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3128M8XX7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      27972 | PA      | $29104.36      | 0.00%             | 2040-06-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 36200JUL2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       2103 | PA      | $2180.47       | 0.00%             | 2033-02-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3128MJMJ6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       8522 | PA      | $8308.97       | 0.00%             | 2039-08-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31402ER91<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       1032 | PA      | $999.88        | 0.00%             | 2033-08-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138ERMH0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   14517839 | PA      | $13532035.37   | 0.06%             | 2046-07-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31371KDL2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       4292 | PA      | $4445.01       | 0.00%             | 2031-10-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 36297BRU7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      12353 | PA      | $12813.92      | 0.00%             | 2039-01-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3133AGDH9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   37791355 | PA      | $31146341.03   | 0.13%             | 2051-02-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140E6MK5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       4436 | PA      | $4140.64       | 0.00%             | 2045-11-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae II Pool                               | CUSIP: 36179XHU3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   10960576 | PA      | $9618743.73    | 0.04%             | 2052-10-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140JLG24<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     887562 | PA      | $854822.84     | 0.00%             | 2049-01-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3128MFSX7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     156679 | PA      | $150136.14     | 0.00%             | 2031-10-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140QN6H0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     927251 | PA      | $791935.23     | 0.00%             | 2052-05-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 36294T2B0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       1270 | PA      | $1348.53       | 0.00%             | 2036-10-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138WM6L0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      10973 | PA      | $10018.14      | 0.00%             | 2043-07-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3128MFC63<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     263687 | PA      | $255951.45     | 0.00%             | 2029-01-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3128Q0E94<br>LEI: 254900HROIFWPRGM1V77 | Long             | ABS-MBS          | USGSE             | US        |    1928932 | PA      | $1872602.07    | 0.01%             | 2027-05-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138WDUM1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     825208 | PA      | $784639.89     | 0.00%             | 2030-01-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 36296QRS0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       7567 | PA      | $7594.08       | 0.00%             | 2039-04-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140XJJS3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   11179448 | PA      | $10920151.76   | 0.05%             | 2052-10-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae II Pool                               | CUSIP: 36179VHS2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    7926928 | PA      | $7217436.95    | 0.03%             | 2050-03-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 31334XAR0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     356026 | PA      | $342424.88     | 0.00%             | 2049-07-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 31307TZV6<br>LEI: 254900HROIFWPRGM1V77 | Long             | ABS-MBS          | USGSE             | US        |     511332 | PA      | $497583.42     | 0.00%             | 2032-05-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31391YUL9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      19596 | PA      | $20489.78      | 0.00%             | 2033-01-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138WEK99<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     293597 | PA      | $283795.69     | 0.00%             | 2045-04-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140MSA21<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    6898402 | PA      | $6561537.46    | 0.03%             | 2052-06-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138Y4GU7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      33659 | PA      | $32326.50      | 0.00%             | 2029-08-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138WJA32<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1800767 | PA      | $1689681.95    | 0.01%             | 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        |    5911523 | PA      | $5690425.28    | 0.02%             | 2038-03-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31414FQ95<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       1342 | PA      | $1432.94       | 0.00%             | 2038-09-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3132QTPC4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     248701 | PA      | $240630.69     | 0.00%             | 2045-10-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31414GSG5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        869 | PA      | $930.52        | 0.00%             | 2037-12-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140N25V9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    8261147 | PA      | $8437470.30    | 0.04%             | 2052-09-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 36204DX38<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      33322 | PA      | $32661.58      | 0.00%             | 2041-07-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140X4T30<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    2022151 | PA      | $1828694.31    | 0.01%             | 2047-03-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31419GBH6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      30756 | PA      | $29938.33      | 0.00%             | 2040-10-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3128M5PR5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       6676 | PA      | $7048.03       | 0.00%             | 2038-01-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140FB5S5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     105069 | PA      | $98921.03      | 0.00%             | 2031-08-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3133ABSD3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    7114683 | PA      | $6119435.20    | 0.03%             | 2050-11-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 36202VXC0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       1456 | PA      | $1466.81       | 0.00%             | 2034-05-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 31294MAC5<br>LEI: 254900HROIFWPRGM1V77 | Long             | ABS-MBS          | USGSE             | US        |       2066 | PA      | $2030.99       | 0.00%             | 2025-07-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140JWV98<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     248851 | PA      | $222240.27     | 0.00%             | 2049-07-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31391V2D4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      22193 | PA      | $22835.55      | 0.00%             | 2033-01-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3128PYZF4<br>LEI: 254900HROIFWPRGM1V77 | Long             | ABS-MBS          | USGSE             | US        |     199517 | PA      | $193690.71     | 0.00%             | 2027-04-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31412MM62<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        361 | PA      | $358.57        | 0.00%             | 2023-04-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31418NRG7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       1154 | PA      | $1132.52       | 0.00%             | 2025-08-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31373TWR7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |         49 | PA      | $48.76         | 0.00%             | 2023-12-01      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140KEGW2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     758107 | PA      | $701645.43     | 0.00%             | 2035-07-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3131YAEX4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     325279 | PA      | $315103.44     | 0.00%             | 2034-03-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3128M4B51<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       5137 | PA      | $5342.45       | 0.00%             | 2036-12-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 31288CZZ7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      13607 | PA      | $14242.01      | 0.00%             | 2032-12-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140Q7TF4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1809104 | PA      | $1739615.69    | 0.01%             | 2047-10-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 36188Q5Q9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      11937 | PA      | $11608.87      | 0.00%             | 2045-09-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 31292HCX0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |        114 | PA      | $119.27        | 0.00%             | 2030-05-01      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3132JNZK6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       8389 | PA      | $7666.49       | 0.00%             | 2043-09-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3133G9E62<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    1054389 | PA      | $997584.68     | 0.00%             | 2035-07-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31417GNL6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      17309 | PA      | $17171.39      | 0.00%             | 2023-05-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31419C2G7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     213723 | PA      | $218353.07     | 0.00%             | 2040-09-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3132DWBX0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   23889572 | PA      | $18589154.98   | 0.08%             | 2051-07-01      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140JV6Y3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    2521560 | PA      | $2542350.10    | 0.01%             | 2049-07-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138YV4W6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    4308807 | PA      | $4083013.48    | 0.02%             | 2030-06-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3128M6MQ8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       4185 | PA      | $4354.42       | 0.00%             | 2038-07-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140JPU52<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    3494224 | PA      | $3230343.31    | 0.01%             | 2036-02-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae II Pool                               | CUSIP: 36179VTV2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    4990995 | PA      | $4265820.32    | 0.02%             | 2050-09-20      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3128MFNY0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    1088688 | PA      | $1037618.92    | 0.00%             | 2032-08-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31416QR98<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       3961 | PA      | $4044.18       | 0.00%             | 2039-10-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3133G7DJ9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     948868 | PA      | $879718.97     | 0.00%             | 2034-11-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140JMKY7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     348880 | PA      | $338706.40     | 0.00%             | 2034-01-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 36202XD20<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       4113 | PA      | $4276.44       | 0.00%             | 2033-07-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3131Y2RA8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      91490 | PA      | $90410.67      | 0.00%             | 2048-08-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31417JU99<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     190993 | PA      | $195000.22     | 0.00%             | 2039-12-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138Y3YF2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      74330 | PA      | $71386.29      | 0.00%             | 2029-10-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3132MADV0<br>LEI: 254900HROIFWPRGM1V77 | Long             | ABS-MBS          | USGSE             | US        |     302878 | PA      | $294388.51     | 0.00%             | 2044-11-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 312936Y27<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      14534 | PA      | $14170.48      | 0.00%             | 2039-11-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 31292K2G1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       6793 | PA      | $7172.33       | 0.00%             | 2040-04-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 36295GJY9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     635171 | PA      | $580476.19     | 0.00%             | 2045-03-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140QAFM7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1401099 | PA      | $1335512.94    | 0.01%             | 2032-06-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31418CU77<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    9517326 | PA      | $8855151.41    | 0.04%             | 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        |    2235744 | PA      | $2089005.27    | 0.01%             | 2046-12-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae II Pool                               | CUSIP: 36179SWZ6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     232665 | PA      | $232931.52     | 0.00%             | 2047-02-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140X5VM2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     671859 | PA      | $594327.65     | 0.00%             | 2050-02-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae II Pool                               | CUSIP: 36179WJR0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |  249884962 | PA      | $219771223.01  | 0.94%             | 2051-07-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31403QVA5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       1625 | PA      | $1672.88       | 0.00%             | 2033-09-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 31346YQX4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    3407059 | PA      | $3013671.67    | 0.01%             | 2049-11-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140EUH36<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    2162737 | PA      | $2172462.18    | 0.01%             | 2046-02-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140J93T6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   14955770 | PA      | $14191079.67   | 0.06%             | 2035-12-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140F7QU6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     824377 | PA      | $792521.61     | 0.00%             | 2031-07-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140H8WT8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     623934 | PA      | $616570.44     | 0.00%             | 2048-05-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140JHRF2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     847036 | PA      | $860065.06     | 0.00%             | 2048-09-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3132JAZU2<br>LEI: 254900HROIFWPRGM1V77 | Long             | ABS-MBS          | USGSE             | US        |    1666082 | PA      | $1571999.25    | 0.01%             | 2043-06-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae II Pool                               | CUSIP: 3617HPZQ0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     738286 | PA      | $746266.36     | 0.00%             | 2048-08-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140F2QS2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     240953 | PA      | $224591.43     | 0.00%             | 2046-04-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138YBSN4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     177538 | PA      | $173292.36     | 0.00%             | 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        |    5332843 | PA      | $4773625.72    | 0.02%             | 2049-12-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31400HVF7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        638 | PA      | $656.42        | 0.00%             | 2033-03-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 3620AGH24<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     559946 | PA      | $548840.43     | 0.00%             | 2041-07-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 36211EAB4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        737 | PA      | $724.27        | 0.00%             | 2035-01-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31412THM8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       1209 | PA      | $1257.13       | 0.00%             | 2038-09-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae II Pool                               | CUSIP: 36179U6U1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    4834207 | PA      | $4407948.58    | 0.02%             | 2049-11-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138AP3B2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      49867 | PA      | $48518.43      | 0.00%             | 2026-08-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31418DWW8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     150923 | PA      | $132237.77     | 0.00%             | 2036-02-01      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140GNZB2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     589128 | PA      | $565384.33     | 0.00%             | 2049-02-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138YBUJ0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     621712 | PA      | $562233.40     | 0.00%             | 2045-03-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3132CWYZ1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    6298914 | PA      | $6167215.72    | 0.03%             | 2037-09-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3132GFMW4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       1719 | PA      | $1719.78       | 0.00%             | 2041-07-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138ELPP2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     104927 | PA      | $104896.29     | 0.00%             | 2042-04-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140EVA56<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     206669 | PA      | $196994.48     | 0.00%             | 2031-05-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 3620ASGT0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      42440 | PA      | $42589.32      | 0.00%             | 2041-05-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3131YCSB3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    1713845 | PA      | $1545526.24    | 0.01%             | 2049-05-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140KHBB6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     823606 | PA      | $762266.00     | 0.00%             | 2035-07-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138A2BL2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     521724 | PA      | $509246.34     | 0.00%             | 2040-12-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140Q7XX0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    3240421 | PA      | $3019862.05    | 0.01%             | 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        |     668274 | PA      | $636991.96     | 0.00%             | 2031-07-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 36203PEC3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |         95 | PA      | $95.12         | 0.00%             | 2024-06-15      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3131YACA6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     480545 | PA      | $465512.94     | 0.00%             | 2034-02-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31417ECN9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       9852 | PA      | $8998.29       | 0.00%             | 2042-12-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140KVCG3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    2496858 | PA      | $2071058.25    | 0.01%             | 2050-12-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140HPFP7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      61625 | PA      | $60898.02      | 0.00%             | 2048-11-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31372BDY3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |         88 | PA      | $87.97         | 0.00%             | 2024-01-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3132WHPT6<br>LEI: 254900HROIFWPRGM1V77 | Long             | ABS-MBS          | USGSE             | US        |    3341846 | PA      | $3023064.60    | 0.01%             | 2046-11-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140L6BK9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     300550 | PA      | $248874.04     | 0.00%             | 2051-04-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 312930ZZ6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       5068 | PA      | $5071.01       | 0.00%             | 2039-02-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31415YE62<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       4400 | PA      | $4486.95       | 0.00%             | 2038-12-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140FMGD2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     408270 | PA      | $392391.14     | 0.00%             | 2032-04-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140J8GY3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    2285432 | PA      | $2151701.70    | 0.01%             | 2031-12-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 36294T2C8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       8141 | PA      | $8752.91       | 0.00%             | 2036-10-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3128K0Y64<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       1353 | PA      | $1405.30       | 0.00%             | 2035-12-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31401NWV7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        626 | PA      | $644.94        | 0.00%             | 2033-04-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31371KVF5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        333 | PA      | $342.92        | 0.00%             | 2032-11-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140FMKM7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     178146 | PA      | $166049.10     | 0.00%             | 2046-12-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138WE2L2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    6541834 | PA      | $6199022.70    | 0.03%             | 2030-06-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31417GYZ3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1456232 | PA      | $1396667.93    | 0.01%             | 2028-06-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140KRRR2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1040290 | PA      | $921120.19     | 0.00%             | 2050-11-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 36295P7H9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       1336 | PA      | $1435.51       | 0.00%             | 2038-01-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3133ATJK8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    4954014 | PA      | $4385284.16    | 0.02%             | 2051-10-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31418EGA2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   11489585 | PA      | $10601746.68   | 0.05%             | 2037-08-01      | 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        |    2289610 | PA      | $2120363.42    | 0.01%             | 2048-02-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3132A9UE5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     701235 | PA      | $659459.60     | 0.00%             | 2033-01-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140E74H0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       2310 | PA      | $2233.05       | 0.00%             | 2045-11-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31407LGQ4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       2732 | PA      | $2773.65       | 0.00%             | 2035-08-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 31339UL57<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     369420 | PA      | $372471.52     | 0.00%             | 2049-10-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138YHK33<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      23817 | PA      | $22232.70      | 0.00%             | 2045-02-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138YLM81<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      59381 | PA      | $55060.66      | 0.00%             | 2030-04-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3133G8CQ2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     554771 | PA      | $524883.58     | 0.00%             | 2035-03-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae II Pool                               | CUSIP: 36179QWD9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      17936 | PA      | $16506.19      | 0.00%             | 2044-12-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae II Pool                               | CUSIP: 36179N2K3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     100550 | PA      | $98325.52      | 0.00%             | 2044-02-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31414KTE0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |         23 | PA      | $22.43         | 0.00%             | 2023-01-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 36201CJ62<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       2512 | PA      | $2616.71       | 0.00%             | 2031-12-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 3620AL7M0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      10918 | PA      | $11311.44      | 0.00%             | 2040-04-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3132XSD56<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     275429 | PA      | $265104.16     | 0.00%             | 2047-08-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae II Pool                               | CUSIP: 3617QG3N2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   16847539 | PA      | $14850421.16   | 0.06%             | 2050-09-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 31297A5W0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |        476 | PA      | $483.11        | 0.00%             | 2034-06-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31371FQU9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |         14 | PA      | $14.36         | 0.00%             | 2026-11-01      | Fixed         | 9.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3131XWEX7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     288067 | PA      | $260158.38     | 0.00%             | 2047-03-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3128MMM59<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       3384 | PA      | $3319.88       | 0.00%             | 2026-02-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140J9XH9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     134351 | PA      | $121410.92     | 0.00%             | 2047-07-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31386FF67<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        112 | PA      | $115.46        | 0.00%             | 2030-12-01      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31416TUR8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      13179 | PA      | $13698.42      | 0.00%             | 2039-04-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3132GF4J3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      29798 | PA      | $28976.75      | 0.00%             | 2041-08-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3133A3XJ2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       9670 | PA      | $9483.02       | 0.00%             | 2050-04-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140XBLM0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    3525322 | PA      | $3139948.45    | 0.01%             | 2051-05-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140H7S32<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    3551803 | PA      | $3414368.35    | 0.01%             | 2048-07-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 31307BY95<br>LEI: 254900HROIFWPRGM1V77 | Long             | ABS-MBS          | USGSE             | US        |     317038 | PA      | $304359.39     | 0.00%             | 2028-04-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31414NAJ3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       1327 | PA      | $1379.12       | 0.00%             | 2038-11-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31418UEK6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      25024 | PA      | $25565.89      | 0.00%             | 2040-06-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3128MJX39<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   18978187 | PA      | $17167840.70   | 0.07%             | 2046-03-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 31297VGE2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |        595 | PA      | $604.44        | 0.00%             | 2035-11-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3132XYSD0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       7976 | PA      | $7675.02       | 0.00%             | 2048-05-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 36200MC27<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       6580 | PA      | $6823.64       | 0.00%             | 2033-03-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 36200TR42<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      31005 | PA      | $32815.53      | 0.00%             | 2034-05-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31407RZU1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        828 | PA      | $858.34        | 0.00%             | 2035-09-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140HKZG6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     315129 | PA      | $317880.44     | 0.00%             | 2048-08-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3128MMVQ3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    1033324 | PA      | $973806.00     | 0.00%             | 2031-12-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138YBTZ6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    2052600 | PA      | $1916054.70    | 0.01%             | 2045-03-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 3620A3XG4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       1551 | PA      | $1556.77       | 0.00%             | 2039-12-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3128MJZB9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   36361428 | PA      | $32892878.75   | 0.14%             | 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        |    5474156 | PA      | $5250246.65    | 0.02%             | 2031-10-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138YTVT8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     788477 | PA      | $747158.38     | 0.00%             | 2030-06-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140H73M7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     579219 | PA      | $544266.51     | 0.00%             | 2048-02-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31411DS75<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      24239 | PA      | $25181.44      | 0.00%             | 2037-02-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3131XYSR1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    3727858 | PA      | $3600481.02    | 0.02%             | 2047-12-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31412U2N9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       2168 | PA      | $2112.15       | 0.00%             | 2039-10-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140J5V97<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    5252196 | PA      | $5081413.14    | 0.02%             | 2047-07-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140L1LT0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1469564 | PA      | $1322154.61    | 0.01%             | 2036-03-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31410KLW2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      19921 | PA      | $20546.32      | 0.00%             | 2037-08-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 36201SNK1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       7935 | PA      | $8147.37       | 0.00%             | 2032-12-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140K9NY1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    9475834 | PA      | $8507650.04    | 0.04%             | 2050-03-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3133KKJ34<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      83170 | PA      | $68933.66      | 0.00%             | 2050-11-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3132QT6J0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       7310 | PA      | $7073.09       | 0.00%             | 2045-11-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138X46Z8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      85482 | PA      | $78040.30      | 0.00%             | 2043-07-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 36296QZD4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        908 | PA      | $934.66        | 0.00%             | 2039-05-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138A2NX3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       8226 | PA      | $8064.92       | 0.00%             | 2026-01-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140X8YY7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   15107090 | PA      | $12921721.95   | 0.06%             | 2050-12-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140K26D1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     627443 | PA      | $581764.30     | 0.00%             | 2034-12-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae II Pool                               | CUSIP: 36179SGP6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      10683 | PA      | $10980.00      | 0.00%             | 2046-07-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 36295NBA4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        787 | PA      | $850.19        | 0.00%             | 2038-02-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3132M3MY0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      64625 | PA      | $64608.69      | 0.00%             | 2043-11-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138YEVU8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     106809 | PA      | $103515.80     | 0.00%             | 2045-01-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3132JM5R6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     177745 | PA      | $162429.30     | 0.00%             | 2043-08-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae II Pool                               | CUSIP: 36179NVM7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       9957 | PA      | $9171.38       | 0.00%             | 2043-12-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3132MAVP3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      82883 | PA      | $82717.57      | 0.00%             | 2044-11-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138YFAJ3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      23387 | PA      | $21931.14      | 0.00%             | 2045-02-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 31292GRC2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |        106 | PA      | $109.28        | 0.00%             | 2026-11-01      | Fixed         | 8.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31418CCH5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1362554 | PA      | $1231323.30    | 0.01%             | 2046-10-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140JXH43<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    6013772 | PA      | $5370700.86    | 0.02%             | 2049-09-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140FQUB1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     584066 | PA      | $569893.93     | 0.00%             | 2046-11-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3132L5WB5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      33205 | PA      | $33196.96      | 0.00%             | 2043-11-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae II Pool                               | CUSIP: 3617G1HB7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    1202659 | PA      | $1136075.11    | 0.00%             | 2048-02-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3128MMSE4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     190759 | PA      | $186708.29     | 0.00%             | 2029-06-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138YTLZ5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     472368 | PA      | $445078.13     | 0.00%             | 2045-07-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 31293HQQ9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |        507 | PA      | $522.60        | 0.00%             | 2029-01-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 36295M6H7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        143 | PA      | $146.06        | 0.00%             | 2038-01-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31417YUW5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       5750 | PA      | $5638.56       | 0.00%             | 2025-12-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31418CJD7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     260806 | PA      | $243054.27     | 0.00%             | 2047-04-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140X45Z5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      31975 | PA      | $31043.06      | 0.00%             | 2034-10-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 36296QZ69<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     147018 | PA      | $151809.79     | 0.00%             | 2039-07-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3132XTGT9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     672525 | PA      | $627373.27     | 0.00%             | 2047-10-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3128MCKF1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       2877 | PA      | $2845.48       | 0.00%             | 2024-11-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31371GDB3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |         98 | PA      | $101.28        | 0.00%             | 2027-11-01      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140H3ZU3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      12709 | PA      | $11477.91      | 0.00%             | 2047-11-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 31307NDJ0<br>LEI: 254900HROIFWPRGM1V77 | Long             | ABS-MBS          | USGSE             | US        |      22233 | PA      | $21304.82      | 0.00%             | 2030-06-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31412LMW7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       2000 | PA      | $1994.59       | 0.00%             | 2036-03-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138WE4J5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1649285 | PA      | $1562858.12    | 0.01%             | 2030-07-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3128M8Q23<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       3125 | PA      | $3190.36       | 0.00%             | 2041-05-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140H6X38<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     689890 | PA      | $650442.90     | 0.00%             | 2048-03-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3133KJRS3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    9752254 | PA      | $8737097.02    | 0.04%             | 2050-08-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3128M9FH0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     249241 | PA      | $254453.59     | 0.00%             | 2041-07-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140J9G96<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     722242 | PA      | $761613.66     | 0.00%             | 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        |     448128 | PA      | $422978.31     | 0.00%             | 2046-08-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 36290VVJ0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       6204 | PA      | $6511.81       | 0.00%             | 2034-07-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140XBSH4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   23816729 | PA      | $19664681.05   | 0.08%             | 2051-06-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31412Q4X4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       4227 | PA      | $4156.04       | 0.00%             | 2025-01-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140HJJQ5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1121553 | PA      | $1108316.25    | 0.00%             | 2048-08-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 31287NG85<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |         44 | PA      | $45.55         | 0.00%             | 2032-01-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140GSRR5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     189763 | PA      | $182474.33     | 0.00%             | 2047-10-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31418CMF8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   24790320 | PA      | $23102965.50   | 0.10%             | 2047-07-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3132JNSP3<br>LEI: 254900HROIFWPRGM1V77 | Long             | ABS-MBS          | USGSE             | US        |    1630408 | PA      | $1489924.33    | 0.01%             | 2043-09-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31410GV91<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       6468 | PA      | $6577.79       | 0.00%             | 2037-06-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 31292HXB5<br>LEI: 254900HROIFWPRGM1V77 | Long             | ABS-MBS          | USGSE             | US        |     206223 | PA      | $209148.73     | 0.00%             | 2033-06-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 36211B2P8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       1014 | PA      | $1055.48       | 0.00%             | 2031-05-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 31307NRF3<br>LEI: 254900HROIFWPRGM1V77 | Long             | ABS-MBS          | USGSE             | US        |     374163 | PA      | $354903.84     | 0.00%             | 2030-07-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31373UNW3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |         25 | PA      | $24.89         | 0.00%             | 2026-04-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3128MMMQ3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      11981 | PA      | $11704.78      | 0.00%             | 2025-10-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3128M7L46<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       8629 | PA      | $8633.46       | 0.00%             | 2039-05-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3132WLUF1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     956838 | PA      | $973703.43     | 0.00%             | 2047-03-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31418PE27<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       5628 | PA      | $5481.45       | 0.00%             | 2040-02-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140JMK84<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     662098 | PA      | $641357.20     | 0.00%             | 2034-02-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 31293QZK2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |        681 | PA      | $702.23        | 0.00%             | 2029-05-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140L2L27<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1775274 | PA      | $1529049.19    | 0.01%             | 2051-03-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 31283H4T9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       2308 | PA      | $2447.52       | 0.00%             | 2034-09-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3131XWAW3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    2194410 | PA      | $1983068.71    | 0.01%             | 2047-02-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31402CYK2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      14707 | PA      | $14898.76      | 0.00%             | 2034-04-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 36225ATP5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |          6 | PA      | $5.89          | 0.00%             | 2023-12-15      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138YLLU3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     595845 | PA      | $570423.37     | 0.00%             | 2030-03-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31418CFG4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    5758517 | PA      | $5384110.56    | 0.02%             | 2037-01-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 36178DTB7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     231526 | PA      | $220090.13     | 0.00%             | 2042-10-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140QACR9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    4899187 | PA      | $4845584.91    | 0.02%             | 2048-12-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae II Pool                               | CUSIP: 36179XHW9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    2899717 | PA      | $2686244.08    | 0.01%             | 2052-10-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae II Pool                               | CUSIP: 36179UQ47<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     364437 | PA      | $343341.51     | 0.00%             | 2049-04-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138XX2K1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     163040 | PA      | $158012.59     | 0.00%             | 2044-09-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31371FA51<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |          4 | PA      | $3.82          | 0.00%             | 2025-07-01      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140FHCD7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    2596015 | PA      | $2496301.01    | 0.01%             | 2048-02-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138ER6J4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    2692166 | PA      | $2566144.89    | 0.01%             | 2032-02-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 31297FYM9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       1945 | PA      | $2008.08       | 0.00%             | 2034-10-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140JKVL7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     893064 | PA      | $890966.32     | 0.00%             | 2048-12-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 36296YTY8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       7657 | PA      | $8170.52       | 0.00%             | 2038-12-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31416KZQ4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |         67 | PA      | $66.44         | 0.00%             | 2024-04-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 36201FXY8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        543 | PA      | $555.14        | 0.00%             | 2032-01-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3132XSMU1<br>LEI: 254900HROIFWPRGM1V77 | Long             | ABS-MBS          | USGSE             | US        |     427561 | PA      | $427925.63     | 0.00%             | 2047-08-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31409AKX6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       1111 | PA      | $1154.44       | 0.00%             | 2036-02-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae II Pool                               | CUSIP: 36179SWW3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   28695756 | PA      | $26330381.93   | 0.11%             | 2047-02-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140E6RR5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       8948 | PA      | $8091.78       | 0.00%             | 2046-01-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31417QTY0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        504 | PA      | $498.00        | 0.00%             | 2024-10-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140QKNN4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   22617209 | PA      | $19307977.36   | 0.08%             | 2051-05-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31417KYN1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     240313 | PA      | $245355.14     | 0.00%             | 2039-08-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3133B9MX9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   53162328 | PA      | $45404948.25   | 0.19%             | 2052-04-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3131XULZ8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     165984 | PA      | $159677.04     | 0.00%             | 2046-06-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140JRQ95<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     751153 | PA      | $727623.24     | 0.00%             | 2034-05-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 312939JD4<br>LEI: 254900HROIFWPRGM1V77 | Long             | ABS-MBS          | USGSE             | US        |       4136 | PA      | $4138.70       | 0.00%             | 2040-02-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3128PKAW4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |         95 | PA      | $94.96         | 0.00%             | 2023-03-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140FBYM6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    2679952 | PA      | $2609338.79    | 0.01%             | 2046-08-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae II Pool                               | CUSIP: 36179TAJ4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    6737267 | PA      | $6183002.57    | 0.03%             | 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        |    8147924 | PA      | $7846436.42    | 0.03%             | 2049-06-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31385H3Q3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        614 | PA      | $630.46        | 0.00%             | 2032-01-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138XBJY1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     109760 | PA      | $109626.21     | 0.00%             | 2043-11-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140FQZP5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      63446 | PA      | $59137.67      | 0.00%             | 2047-01-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138W9XA3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      36203 | PA      | $36159.10      | 0.00%             | 2043-10-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 31283HN43<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       1830 | PA      | $1938.50       | 0.00%             | 2031-09-01      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140J8ST1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      76274 | PA      | $73320.31      | 0.00%             | 2033-04-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31378NGL6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       1105 | PA      | $1144.88       | 0.00%             | 2028-04-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3128M4KL6<br>LEI: 254900HROIFWPRGM1V77 | Long             | ABS-MBS          | USGSE             | US        |     258285 | PA      | $272659.08     | 0.00%             | 2037-02-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140K5W86<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    2009933 | PA      | $1863607.88    | 0.01%             | 2035-01-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3128MMXX6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    1071887 | PA      | $1059528.57    | 0.00%             | 2033-05-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 36176HEP5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        212 | PA      | $208.06        | 0.00%             | 2041-06-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3132DWDH3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    2421237 | PA      | $1989659.36    | 0.01%             | 2052-04-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 36206GR93<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      15863 | PA      | $16668.04      | 0.00%             | 2038-10-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31418MW24<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |          1 | PA      | $1.00          | 0.00%             | 2024-02-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae II Pool                               | CUSIP: 36179RZT9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     260603 | PA      | $247108.50     | 0.00%             | 2046-02-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140JLZ31<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      55013 | PA      | $54413.91      | 0.00%             | 2049-02-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140FKTA8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     848618 | PA      | $804602.35     | 0.00%             | 2046-11-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3132DWBY8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    7067657 | PA      | $5826227.70    | 0.02%             | 2051-07-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140K8LJ8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     889126 | PA      | $828124.32     | 0.00%             | 2050-01-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3128MJU99<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      23854 | PA      | $23806.85      | 0.00%             | 2044-09-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 36177PDH5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      36948 | PA      | $35123.37      | 0.00%             | 2042-04-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31417YLE5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       3606 | PA      | $3545.87       | 0.00%             | 2025-02-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31418RT76<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       2404 | PA      | $2455.57       | 0.00%             | 2040-06-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140K5ZL4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    2670128 | PA      | $2405679.05    | 0.01%             | 2050-02-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae II Pool                               | CUSIP: 36179NM96<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     998208 | PA      | $919461.56     | 0.00%             | 2043-09-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138WF4G8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    4994911 | PA      | $4828166.71    | 0.02%             | 2045-11-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31391YW29<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       4205 | PA      | $4396.76       | 0.00%             | 2032-04-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138A7QB7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     300824 | PA      | $300734.33     | 0.00%             | 2041-02-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140EVS99<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      76204 | PA      | $73842.58      | 0.00%             | 2046-07-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138WZSF0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      25571 | PA      | $24525.29      | 0.00%             | 2028-07-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 31335ABE7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    1085178 | PA      | $992165.30     | 0.00%             | 2043-10-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 36182XNP2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      50843 | PA      | $47764.22      | 0.00%             | 2046-08-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140K5VK0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     846907 | PA      | $796563.85     | 0.00%             | 2049-12-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138A1AG6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       1839 | PA      | $1790.28       | 0.00%             | 2040-12-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31407JDK5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        759 | PA      | $812.65        | 0.00%             | 2036-10-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140KXCC8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    5015045 | PA      | $4384634.44    | 0.02%             | 2036-01-01      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31413F4V1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        414 | PA      | $430.37        | 0.00%             | 2037-07-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140HM6V1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    2135149 | PA      | $2109948.67    | 0.01%             | 2048-08-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31410EKR8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       1278 | PA      | $1369.09       | 0.00%             | 2036-09-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138E06D6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      30007 | PA      | $29152.44      | 0.00%             | 2041-12-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3128LAFG0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      30481 | PA      | $32184.16      | 0.00%             | 2038-04-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31371GN63<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        202 | PA      | $209.08        | 0.00%             | 2028-04-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 36206WZ65<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |         26 | PA      | $26.48         | 0.00%             | 2026-06-15      | Fixed         | 8.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140GPUZ9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      82582 | PA      | $77731.98      | 0.00%             | 2047-04-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140X5CG6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    6469265 | PA      | $6066665.68    | 0.03%             | 2046-10-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140H2YR3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     417387 | PA      | $401225.94     | 0.00%             | 2032-11-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3128M9YH9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     149040 | PA      | $149002.04     | 0.00%             | 2043-12-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138Y2GC1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     191390 | PA      | $185488.27     | 0.00%             | 2044-08-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae II Pool                               | CUSIP: 36202FZY5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      79088 | PA      | $77804.26      | 0.00%             | 2041-12-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31371EWV3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |         20 | PA      | $19.80         | 0.00%             | 2024-06-01      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138WHHT2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      44778 | PA      | $42157.75      | 0.00%             | 2031-06-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3132WENV0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     117231 | PA      | $111086.19     | 0.00%             | 2046-06-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3132D56V9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    1578754 | PA      | $1420480.73    | 0.01%             | 2036-01-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae II Pool                               | CUSIP: 36179RS91<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    8377927 | PA      | $7944097.51    | 0.03%             | 2045-11-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3132DMUB9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    1039072 | PA      | $887113.51     | 0.00%             | 2051-03-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3128EYKL9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |         90 | PA      | $90.01         | 0.00%             | 2025-03-01      | Fixed         | 8.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3128PRZL6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       7965 | PA      | $7827.93       | 0.00%             | 2025-07-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 31292HJ54<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |        171 | PA      | $177.20        | 0.00%             | 2031-06-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3128MJB82<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       3048 | PA      | $3097.59       | 0.00%             | 2035-06-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3128PX5W2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      66464 | PA      | $64115.29      | 0.00%             | 2027-02-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae II Pool                               | CUSIP: 36179WTX6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |  310250349 | PA      | $263854792.32  | 1.13%             | 2051-12-20      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138WRB58<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       6020 | PA      | $5496.17       | 0.00%             | 2043-06-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140EYYU9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      22161 | PA      | $20026.48      | 0.00%             | 2046-03-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140JMB84<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     781890 | PA      | $789536.54     | 0.00%             | 2049-02-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 312931GN2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       1929 | PA      | $2036.29       | 0.00%             | 2039-02-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3128K2HR3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       7047 | PA      | $7316.60       | 0.00%             | 2036-01-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3128LXUE8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       1854 | PA      | $1956.76       | 0.00%             | 2036-11-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 36208YK81<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        473 | PA      | $485.61        | 0.00%             | 2028-09-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3132WJJ69<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    1416651 | PA      | $1344505.37    | 0.01%             | 2046-12-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138WEQZ5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1950668 | PA      | $1781630.01    | 0.01%             | 2045-05-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138EBRE7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       1692 | PA      | $1640.93       | 0.00%             | 2027-03-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 3617BLJ59<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    1661859 | PA      | $1560417.65    | 0.01%             | 2047-11-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140H8LT0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     254409 | PA      | $244564.46     | 0.00%             | 2048-03-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31409FLW6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        546 | PA      | $555.52        | 0.00%             | 2036-04-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138Y2QA4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       9008 | PA      | $8730.06       | 0.00%             | 2044-10-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31371KR37<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        783 | PA      | $815.26        | 0.00%             | 2032-08-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140KNUJ5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1740631 | PA      | $1566074.74    | 0.01%             | 2035-06-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140H7ZA8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     362038 | PA      | $339607.56     | 0.00%             | 2048-01-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 3620A9YX3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      63261 | PA      | $63484.04      | 0.00%             | 2039-12-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31416JWW7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        160 | PA      | $158.35        | 0.00%             | 2024-03-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3133L8H81<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    2033799 | PA      | $1912382.00    | 0.01%             | 2036-05-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138YPUR1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      83003 | PA      | $78653.57      | 0.00%             | 2030-05-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 36179CFG2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     244197 | PA      | $238789.63     | 0.00%             | 2042-10-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3128K7XQ6<br>LEI: 254900HROIFWPRGM1V77 | Long             | ABS-MBS          | USGSE             | US        |       9755 | PA      | $10048.29      | 0.00%             | 2035-07-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 31288DS75<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      15154 | PA      | $15861.32      | 0.00%             | 2032-12-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31402QLG4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      13405 | PA      | $13364.27      | 0.00%             | 2033-08-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140XDSU1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     996731 | PA      | $850894.18     | 0.00%             | 2051-07-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3132D55S7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    2718210 | PA      | $2445704.16    | 0.01%             | 2035-08-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140QMRX4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    4595173 | PA      | $4076090.83    | 0.02%             | 2051-12-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138WGZN7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     169928 | PA      | $159985.16     | 0.00%             | 2031-04-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138WH6L1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1988475 | PA      | $1796960.26    | 0.01%             | 2046-10-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 36176WYD7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      48731 | PA      | $46313.33      | 0.00%             | 2041-11-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140JRE49<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     635294 | PA      | $615393.29     | 0.00%             | 2034-04-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3132VMEB7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    1037244 | PA      | $999470.84     | 0.00%             | 2049-01-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 36296PWL1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       5639 | PA      | $5658.85       | 0.00%             | 2039-05-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3131XGYP7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     425153 | PA      | $434360.27     | 0.00%             | 2041-06-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3128MJUZ1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     320191 | PA      | $300550.54     | 0.00%             | 2044-08-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae II Pool                               | CUSIP: 36179UKV3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     547254 | PA      | $502232.10     | 0.00%             | 2049-01-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3128Q1CT0<br>LEI: 254900HROIFWPRGM1V77 | Long             | ABS-MBS          | USGSE             | US        |      90210 | PA      | $87575.92      | 0.00%             | 2027-08-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31371LJS9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       5637 | PA      | $5803.67       | 0.00%             | 2034-02-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae II Pool                               | CUSIP: 36179NBC1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     158237 | PA      | $155526.36     | 0.00%             | 2043-04-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31413NGJ8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      11163 | PA      | $11896.43      | 0.00%             | 2037-08-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 3620A2XA9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      10400 | PA      | $10436.77      | 0.00%             | 2039-06-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3132A4PV4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    8039916 | PA      | $7624624.11    | 0.03%             | 2044-04-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140GRYX6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     306413 | PA      | $302688.99     | 0.00%             | 2032-07-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140HBM70<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1263952 | PA      | $1191755.00    | 0.01%             | 2048-01-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 36203LCQ3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |         12 | PA      | $11.82         | 0.00%             | 2023-09-15      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3128MJUW8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      16092 | PA      | $16059.95      | 0.00%             | 2044-07-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 36200MTF0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      45550 | PA      | $46397.19      | 0.00%             | 2033-08-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31403Q4M9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       1051 | PA      | $1082.38       | 0.00%             | 2033-11-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140QHNG6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1989213 | PA      | $1698161.62    | 0.01%             | 2051-03-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31413EB20<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        105 | PA      | $112.37        | 0.00%             | 2037-08-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 31292GXT8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |        206 | PA      | $212.28        | 0.00%             | 2028-12-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31418S2K4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      12694 | PA      | $12357.09      | 0.00%             | 2040-10-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3128M7E36<br>LEI: 254900HROIFWPRGM1V77 | Long             | ABS-MBS          | USGSE             | US        |     423998 | PA      | $430918.63     | 0.00%             | 2037-01-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138WCBK8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      19565 | PA      | $19946.41      | 0.00%             | 2044-06-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31371FH47<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |         69 | PA      | $69.73         | 0.00%             | 2026-05-01      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31371PBT6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        209 | PA      | $207.56        | 0.00%             | 2024-01-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138APUJ5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       7216 | PA      | $7213.58       | 0.00%             | 2041-09-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140J73Z6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    9990832 | PA      | $9035023.51    | 0.04%             | 2046-07-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31385XA98<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       5032 | PA      | $5180.70       | 0.00%             | 2033-05-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3132CWQY3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    4299877 | PA      | $4068224.63    | 0.02%             | 2035-10-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3128PS6W2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       2140 | PA      | $2090.14       | 0.00%             | 2025-11-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 36291LJZ9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      12058 | PA      | $12599.25      | 0.00%             | 2035-07-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140K8L90<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1251634 | PA      | $1157095.41    | 0.00%             | 2050-01-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 31292HSY1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |        608 | PA      | $636.38        | 0.00%             | 2032-12-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3132JMLM9<br>LEI: 254900HROIFWPRGM1V77 | Long             | ABS-MBS          | USGSE             | US        |    1132827 | PA      | $1068856.70    | 0.00%             | 2043-07-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 31306XSC8<br>LEI: 254900HROIFWPRGM1V77 | Long             | ABS-MBS          | USGSE             | US        |      77171 | PA      | $74916.95      | 0.00%             | 2027-09-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3132ACS35<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    1693681 | PA      | $1588731.68    | 0.01%             | 2048-03-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 36178UUR2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      93268 | PA      | $88661.69      | 0.00%             | 2042-11-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138XDTZ3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      12946 | PA      | $12929.81      | 0.00%             | 2044-01-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140FPA82<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      69469 | PA      | $70126.75      | 0.00%             | 2047-05-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae II Pool                               | CUSIP: 36179TUD5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    2534609 | PA      | $2563372.83    | 0.01%             | 2048-03-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3128MD5D1<br>LEI: 254900HROIFWPRGM1V77 | Long             | ABS-MBS          | USGSE             | US        |    1133045 | PA      | $1087733.59    | 0.00%             | 2029-07-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140H1JW1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       2759 | PA      | $2729.80       | 0.00%             | 2047-10-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 31329NG36<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     305534 | PA      | $277650.59     | 0.00%             | 2046-10-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140XFVB4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     894119 | PA      | $827527.03     | 0.00%             | 2036-12-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 31292HXA7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       1114 | PA      | $1148.14       | 0.00%             | 2033-06-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138Y4NY1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       3440 | PA      | $3333.91       | 0.00%             | 2044-09-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31418BPE0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      66441 | PA      | $63606.46      | 0.00%             | 2030-03-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140HNFP2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    2284115 | PA      | $2052723.60    | 0.01%             | 2050-11-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31418CKW3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     312695 | PA      | $309438.46     | 0.00%             | 2047-05-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 31307A2T8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      16878 | PA      | $15972.91      | 0.00%             | 2028-03-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140J6DQ7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     369022 | PA      | $358334.48     | 0.00%             | 2045-10-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 31287S7D3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |        367 | PA      | $383.15        | 0.00%             | 2032-05-01      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3128MCUR4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      18792 | PA      | $18349.83      | 0.00%             | 2025-11-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3131XX4M0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    6386266 | PA      | $5990539.68    | 0.03%             | 2047-10-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140E9NN2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    2488048 | PA      | $2342461.69    | 0.01%             | 2031-07-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3132AEPS9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   10286223 | PA      | $9888282.92    | 0.04%             | 2048-09-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 36178GJ62<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      78990 | PA      | $76819.85      | 0.00%             | 2044-03-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31373UFC6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |         27 | PA      | $27.71         | 0.00%             | 2025-09-01      | Fixed         | 8.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31417ES77<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    6121221 | PA      | $5590705.55    | 0.02%             | 2043-01-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138AHXM3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       4194 | PA      | $4193.19       | 0.00%             | 2041-06-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3132XXDN6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    1483192 | PA      | $1381383.50    | 0.01%             | 2048-03-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138MAUK2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      30304 | PA      | $28575.51      | 0.00%             | 2042-09-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3133L8U37<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   19357884 | PA      | $17398360.06   | 0.07%             | 2037-01-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31368HL35<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        930 | PA      | $957.29        | 0.00%             | 2033-12-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138EGH72<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      13456 | PA      | $13202.53      | 0.00%             | 2026-03-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 36176VH71<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      52234 | PA      | $46432.44      | 0.00%             | 2043-03-15      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140GREL4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      35103 | PA      | $31701.60      | 0.00%             | 2047-12-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 312945ZL5<br>LEI: 254900HROIFWPRGM1V77 | Long             | ABS-MBS          | USGSE             | US        |    1657714 | PA      | $1658840.52    | 0.01%             | 2041-02-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 31283G4J3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |         83 | PA      | $86.01         | 0.00%             | 2027-12-01      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 312936PN1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      44674 | PA      | $43554.84      | 0.00%             | 2039-10-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140E5Y65<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      97862 | PA      | $94746.72      | 0.00%             | 2045-12-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31418WPW4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      65706 | PA      | $67129.67      | 0.00%             | 2040-08-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae II Pool                               | CUSIP: 36179VSG6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    5479088 | PA      | $4829593.75    | 0.02%             | 2050-08-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 36209Y5R5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        550 | PA      | $571.25        | 0.00%             | 2031-02-15      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae II Pool                               | CUSIP: 3617HNWG0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     977615 | PA      | $921026.72     | 0.00%             | 2048-09-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140M3N89<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1045510 | PA      | $940636.52     | 0.00%             | 2036-10-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae II Pool                               | CUSIP: 36179UH21<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    1437127 | PA      | $1318896.57    | 0.01%             | 2048-12-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138EMT84<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     117174 | PA      | $112380.88     | 0.00%             | 2028-12-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140H6LE7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     405930 | PA      | $390338.09     | 0.00%             | 2048-02-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Non Gold Pool                        | CUSIP: 31326FRD2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     170394 | PA      | $172211.79     | 0.00%             | 2043-05-01      | Floating      | 2.45%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138WJWD6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      10100 | PA      | $9509.11       | 0.00%             | 2032-02-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140X8C88<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   37496509 | PA      | $33170199.57   | 0.14%             | 2050-08-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3132XUNF8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    1305569 | PA      | $1217917.00    | 0.01%             | 2047-11-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31403DT82<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     149314 | PA      | $159956.45     | 0.00%             | 2036-09-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31419KWQ4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      37453 | PA      | $36458.08      | 0.00%             | 2040-10-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31400HPN7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        742 | PA      | $763.96        | 0.00%             | 2033-03-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31400QZZ9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        712 | PA      | $732.67        | 0.00%             | 2033-04-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140M3PZ7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    3086257 | PA      | $2659439.21    | 0.01%             | 2051-11-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3128PUJ29<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      11215 | PA      | $10938.30      | 0.00%             | 2026-03-01      | 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        |   11727508 | PA      | $10608810.27   | 0.05%             | 2046-11-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140KPUJ0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1262962 | PA      | $1046528.13    | 0.00%             | 2050-11-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31371FDP4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        148 | PA      | $150.22        | 0.00%             | 2025-12-01      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140J7XT7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    3022340 | PA      | $2877817.06    | 0.01%             | 2032-11-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 36241KZD3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      32338 | PA      | $33323.74      | 0.00%             | 2039-01-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140Q7EF0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    2150084 | PA      | $2067498.62    | 0.01%             | 2047-08-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31413SNR1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        812 | PA      | $856.08        | 0.00%             | 2037-12-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138ERBP4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     517579 | PA      | $473927.17     | 0.00%             | 2046-09-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31416TYS2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      23745 | PA      | $24243.02      | 0.00%             | 2039-07-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140GRHU1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1076324 | PA      | $1011373.83    | 0.00%             | 2047-05-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae II Pool                               | CUSIP: 36202EXT1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        556 | PA      | $578.75        | 0.00%             | 2038-11-20      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 31283GZR1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |        172 | PA      | $176.40        | 0.00%             | 2027-08-01      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 36225AQV5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |         52 | PA      | $51.98         | 0.00%             | 2023-12-15      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140K3XJ6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     681942 | PA      | $636684.63     | 0.00%             | 2050-05-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 36294SS32<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       1158 | PA      | $1200.24       | 0.00%             | 2036-07-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 3620C3CG5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      17460 | PA      | $17116.84      | 0.00%             | 2040-10-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140HBJ90<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      14956 | PA      | $14376.86      | 0.00%             | 2048-02-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140KTQE8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    5577653 | PA      | $4828486.67    | 0.02%             | 2050-12-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 31287QKW0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |        431 | PA      | $448.96        | 0.00%             | 2032-02-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138A7W53<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       9361 | PA      | $9174.80       | 0.00%             | 2026-03-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31409VDT7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        292 | PA      | $296.43        | 0.00%             | 2036-03-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3133AT6H9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    2948791 | PA      | $2436812.32    | 0.01%             | 2051-10-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3128M7UH7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       4878 | PA      | $5074.90       | 0.00%             | 2039-10-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140H2B49<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      13804 | PA      | $12981.22      | 0.00%             | 2032-11-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3129383F8<br>LEI: 254900HROIFWPRGM1V77 | Long             | ABS-MBS          | USGSE             | US        |     150487 | PA      | $153813.40     | 0.00%             | 2040-01-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138AKGL7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      53385 | PA      | $53368.90      | 0.00%             | 2041-07-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 36296QRR2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      19122 | PA      | $19189.15      | 0.00%             | 2039-04-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31403CZM6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      15613 | PA      | $15850.68      | 0.00%             | 2036-01-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31418AAU2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      70382 | PA      | $68377.16      | 0.00%             | 2041-12-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140F5YU1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     146408 | PA      | $132306.90     | 0.00%             | 2046-12-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 36225BG51<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        517 | PA      | $541.05        | 0.00%             | 2029-12-15      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140J82S1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    5036547 | PA      | $4883600.87    | 0.02%             | 2045-01-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31403CZD6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      16758 | PA      | $17012.79      | 0.00%             | 2035-11-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3128PRLX5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |        743 | PA      | $730.52        | 0.00%             | 2025-04-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138W6RG3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1361257 | PA      | $1283123.13    | 0.01%             | 2043-06-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138WJJD1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     924406 | PA      | $835374.40     | 0.00%             | 2046-11-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138E5FZ6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      25049 | PA      | $24335.60      | 0.00%             | 2042-01-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140X3CP1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    3724777 | PA      | $3321921.14    | 0.01%             | 2050-03-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140GRXA7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1338985 | PA      | $1319007.55    | 0.01%             | 2047-06-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140FALF7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     371527 | PA      | $339549.79     | 0.00%             | 2046-09-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 36213ER81<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        323 | PA      | $336.71        | 0.00%             | 2032-01-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140K7EL3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1043902 | PA      | $987024.83     | 0.00%             | 2050-01-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31371FB43<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |         89 | PA      | $90.39         | 0.00%             | 2025-10-01      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138ELQA4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     213801 | PA      | $207351.85     | 0.00%             | 2028-03-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3128PQ3E9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       2481 | PA      | $2446.48       | 0.00%             | 2024-12-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140FUER5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     395064 | PA      | $397248.79     | 0.00%             | 2047-03-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3132QU6X6<br>LEI: 254900HROIFWPRGM1V77 | Long             | ABS-MBS          | USGSE             | US        |     266648 | PA      | $267270.08     | 0.00%             | 2046-01-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31391PBD7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       4027 | PA      | $4191.49       | 0.00%             | 2032-09-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae II Pool                               | CUSIP: 36241LLT1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    1321223 | PA      | $1375619.66    | 0.01%             | 2040-07-20      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140KNAW8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    3918309 | PA      | $3345770.93    | 0.01%             | 2050-09-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 36213CZ52<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       1355 | PA      | $1414.60       | 0.00%             | 2035-12-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 36204DMG1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |         48 | PA      | $47.57         | 0.00%             | 2024-04-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 36183RCV3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     277761 | PA      | $254683.45     | 0.00%             | 2045-03-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 36213C6C9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        219 | PA      | $233.31        | 0.00%             | 2031-09-15      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31416BN53<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       7662 | PA      | $7902.45       | 0.00%             | 2036-07-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140MXQ98<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1359039 | PA      | $1331119.51    | 0.01%             | 2037-08-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31416BZ27<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        179 | PA      | $178.52        | 0.00%             | 2023-12-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3128MMSR5<br>LEI: 254900HROIFWPRGM1V77 | Long             | ABS-MBS          | USGSE             | US        |       4999 | PA      | $4805.13       | 0.00%             | 2029-10-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138ANZD8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    3127201 | PA      | $3126286.26    | 0.01%             | 2041-08-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140F4ZJ8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    2280468 | PA      | $2147027.75    | 0.01%             | 2031-05-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138WGDT8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      11722 | PA      | $11107.92      | 0.00%             | 2031-01-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140L3CM1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    2860911 | PA      | $2356073.09    | 0.01%             | 2051-02-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140J5E54<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    3360978 | PA      | $3251690.92    | 0.01%             | 2047-04-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140KKWS9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1756515 | PA      | $1627062.55    | 0.01%             | 2035-08-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3132Y0FP0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     154688 | PA      | $153047.30     | 0.00%             | 2048-06-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 36210HQ96<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        169 | PA      | $172.01        | 0.00%             | 2028-11-15      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 31307M3M6<br>LEI: 254900HROIFWPRGM1V77 | Long             | ABS-MBS          | USGSE             | US        |     505947 | PA      | $479905.19     | 0.00%             | 2030-05-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31371K7E5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      90622 | PA      | $91805.50      | 0.00%             | 2033-07-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3133AQN86<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    1145600 | PA      | $948289.52     | 0.00%             | 2051-07-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3128M4XV0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       1361 | PA      | $1415.63       | 0.00%             | 2037-07-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140F9WL5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    2882365 | PA      | $2686644.06    | 0.01%             | 2047-01-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140FV3J3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     384079 | PA      | $357998.57     | 0.00%             | 2046-12-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31412WJN7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       1097 | PA      | $1174.63       | 0.00%             | 2037-07-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3128KQM45<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |        120 | PA      | $125.16        | 0.00%             | 2037-05-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31417J5V8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      47783 | PA      | $48818.03      | 0.00%             | 2040-05-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138ETDZ6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     111153 | PA      | $107442.39     | 0.00%             | 2046-02-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3133G9DD8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    1099231 | PA      | $1040010.41    | 0.00%             | 2035-07-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3132KE6U4<br>LEI: 254900HROIFWPRGM1V77 | Long             | ABS-MBS          | USGSE             | US        |     144360 | PA      | $138331.89     | 0.00%             | 2030-06-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3132DWCH4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    2714157 | PA      | $2236152.98    | 0.01%             | 2051-10-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 36183X2T6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      29557 | PA      | $27914.39      | 0.00%             | 2045-03-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3132WG6K8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     269590 | PA      | $273564.19     | 0.00%             | 2036-11-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140J8KV4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    4267019 | PA      | $4393550.42    | 0.02%             | 2041-09-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 36296DYS1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       3246 | PA      | $3374.71       | 0.00%             | 2038-05-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31418MKU5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      11822 | PA      | $12285.19      | 0.00%             | 2039-03-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 31283GQF7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |        133 | PA      | $132.99        | 0.00%             | 2026-02-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140K8TQ4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    4255601 | PA      | $3934993.53    | 0.02%             | 2035-03-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 36211G3M3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        345 | PA      | $345.78        | 0.00%             | 2029-07-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140H4DM3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     444704 | PA      | $420019.66     | 0.00%             | 2048-01-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae II Pool                               | CUSIP: 36179SSN8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   12211634 | PA      | $10901568.98   | 0.05%             | 2046-12-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140H5G96<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1539992 | PA      | $1480839.80    | 0.01%             | 2047-12-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31416BTN8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       1995 | PA      | $2073.56       | 0.00%             | 2039-01-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 36179KAB0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     133356 | PA      | $129768.74     | 0.00%             | 2043-09-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3132WHSH9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     130198 | PA      | $121480.05     | 0.00%             | 2046-11-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140K8LA7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    2400257 | PA      | $2162536.21    | 0.01%             | 2050-01-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138EQMQ2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1437012 | PA      | $1436581.58    | 0.01%             | 2042-10-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3128M7CL8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       7993 | PA      | $7994.65       | 0.00%             | 2039-02-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138LWVP3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      17679 | PA      | $16671.15      | 0.00%             | 2042-06-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140F8RA7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     362233 | PA      | $327345.67     | 0.00%             | 2046-06-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138Y9LG1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     573957 | PA      | $551228.35     | 0.00%             | 2029-11-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 36206N4V4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        261 | PA      | $262.91        | 0.00%             | 2026-05-15      | Fixed         | 8.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140EYQG9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      16260 | PA      | $15837.42      | 0.00%             | 2031-04-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3128PSC70<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       5844 | PA      | $5741.65       | 0.00%             | 2025-08-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138W7KX1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1370939 | PA      | $1314863.43    | 0.01%             | 2028-03-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 31292G6H4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |        387 | PA      | $399.01        | 0.00%             | 2029-09-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae II Pool                               | CUSIP: 36202FHW9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      36635 | PA      | $36065.30      | 0.00%             | 2040-07-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138WBLF0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     284779 | PA      | $275998.59     | 0.00%             | 2044-04-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae II Pool                               | CUSIP: 36202F2R6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      14229 | PA      | $13114.04      | 0.00%             | 2042-01-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3132DNWS8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     886647 | PA      | $825042.71     | 0.00%             | 2050-04-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31416VCL6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      21337 | PA      | $21615.15      | 0.00%             | 2035-02-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31400CCG7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        212 | PA      | $218.28        | 0.00%             | 2033-02-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae II Pool                               | CUSIP: 36202FVH6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       8388 | PA      | $8621.26       | 0.00%             | 2041-07-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae II Pool                               | CUSIP: 36291FSC3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    3671972 | PA      | $3370449.51    | 0.01%             | 2045-11-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31414NHR8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       2466 | PA      | $2464.11       | 0.00%             | 2039-02-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3128K6XV7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       9305 | PA      | $9456.81       | 0.00%             | 2035-07-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3132KGD23<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     990080 | PA      | $932040.51     | 0.00%             | 2033-02-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140KM6X3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     745636 | PA      | $670694.28     | 0.00%             | 2050-09-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 31307SFL2<br>LEI: 254900HROIFWPRGM1V77 | Long             | ABS-MBS          | USGSE             | US        |     312447 | PA      | $294450.14     | 0.00%             | 2031-10-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3132XWGK1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     142637 | PA      | $129677.96     | 0.00%             | 2048-01-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3128MJYZ7<br>LEI: 254900HROIFWPRGM1V77 | Long             | ABS-MBS          | USGSE             | US        |     493327 | PA      | $460295.58     | 0.00%             | 2046-10-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae II Pool                               | CUSIP: 36179Q6Q9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     829891 | PA      | $809427.02     | 0.00%             | 2045-03-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138WQA36<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     950401 | PA      | $867663.58     | 0.00%             | 2043-05-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae II Pool                               | CUSIP: 36179RB24<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     115243 | PA      | $118451.00     | 0.00%             | 2045-04-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31410KGC2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      15005 | PA      | $16071.70      | 0.00%             | 2038-03-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae II Pool                               | CUSIP: 3622AAQV9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     573911 | PA      | $523146.92     | 0.00%             | 2050-02-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140F0H80<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      77603 | PA      | $75198.44      | 0.00%             | 2046-10-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138WK4Q5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      52257 | PA      | $50250.13      | 0.00%             | 2047-06-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3128LXBK5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       1507 | PA      | $1504.39       | 0.00%             | 2035-06-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 31296S2V7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       1095 | PA      | $1128.96       | 0.00%             | 2034-01-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140J8MJ9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     701331 | PA      | $685820.55     | 0.00%             | 2031-07-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140HEN40<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     708835 | PA      | $709103.53     | 0.00%             | 2048-08-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31386STW7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        107 | PA      | $111.31        | 0.00%             | 2031-01-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae II Pool                               | CUSIP: 36179MK82<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    1590431 | PA      | $1563187.32    | 0.01%             | 2042-08-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3131XBNM7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    1322915 | PA      | $1282951.55    | 0.01%             | 2029-05-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 31297B6C1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       1903 | PA      | $2029.50       | 0.00%             | 2034-07-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31385JJC3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       2768 | PA      | $2880.37       | 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        |      72427 | PA      | $72630.45      | 0.00%             | 2043-09-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3132DMBL8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      85694 | PA      | $82534.02      | 0.00%             | 2049-03-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 31297GMR9<br>LEI: 254900HROIFWPRGM1V77 | Long             | ABS-MBS          | USGSE             | US        |        766 | PA      | $790.99        | 0.00%             | 2034-12-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138A5R53<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       2813 | PA      | $2812.57       | 0.00%             | 2041-03-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3128MJ5C0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    2485477 | PA      | $2391737.46    | 0.01%             | 2048-10-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31380EHK3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       1090 | PA      | $1129.03       | 0.00%             | 2028-09-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae II Pool                               | CUSIP: 3617B6X80<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    3999279 | PA      | $3777862.45    | 0.02%             | 2047-10-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 31298MUU9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |         59 | PA      | $60.85         | 0.00%             | 2031-05-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140Q9H89<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1098209 | PA      | $1085247.71    | 0.00%             | 2048-07-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae II Pool                               | CUSIP: 36179XBQ8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    9765520 | PA      | $8570221.20    | 0.04%             | 2052-07-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31410FWF8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       3597 | PA      | $3709.86       | 0.00%             | 2035-03-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae II Pool                               | CUSIP: 36179RXF1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       6460 | PA      | $6471.82       | 0.00%             | 2046-01-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138Y15H4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      32137 | PA      | $32041.52      | 0.00%             | 2044-09-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138WML41<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     405832 | PA      | $384104.54     | 0.00%             | 2043-05-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 312932LG9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      17843 | PA      | $18570.60      | 0.00%             | 2039-04-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138A9P40<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       6337 | PA      | $6334.90       | 0.00%             | 2041-10-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31418VL91<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        759 | PA      | $745.31        | 0.00%             | 2025-06-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140FNVZ4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     436367 | PA      | $406736.33     | 0.00%             | 2047-02-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140Q8BV6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    2128257 | PA      | $2026487.81    | 0.01%             | 2032-12-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31411YQF3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       2142 | PA      | $2226.48       | 0.00%             | 2037-06-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140H5FQ9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    3102196 | PA      | $2891044.56    | 0.01%             | 2048-01-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31371PCJ7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      37123 | PA      | $38587.23      | 0.00%             | 2039-02-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140KMVN7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    5721016 | PA      | $4744435.21    | 0.02%             | 2050-09-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31373EYG2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |         92 | PA      | $92.27         | 0.00%             | 2024-08-01      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31414FRC7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        912 | PA      | $961.73        | 0.00%             | 2038-09-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 36294SA64<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        873 | PA      | $924.90        | 0.00%             | 2036-07-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140E2NN7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      30603 | PA      | $29581.73      | 0.00%             | 2045-09-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140FPWH8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     228986 | PA      | $206931.96     | 0.00%             | 2046-12-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 31292HKX1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |        339 | PA      | $351.94        | 0.00%             | 2031-08-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 36206UQ93<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        866 | PA      | $879.06        | 0.00%             | 2026-03-15      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3128PYY32<br>LEI: 254900HROIFWPRGM1V77 | Long             | ABS-MBS          | USGSE             | US        |      49134 | PA      | $47698.87      | 0.00%             | 2027-04-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3132QP5E0<br>LEI: 254900HROIFWPRGM1V77 | Long             | ABS-MBS          | USGSE             | US        |    3115789 | PA      | $2820542.64    | 0.01%             | 2045-05-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31371HLT3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        171 | PA      | $175.64        | 0.00%             | 2029-05-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140J9RZ6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    2372128 | PA      | $2309625.57    | 0.01%             | 2047-03-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140XDWS1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    6423422 | PA      | $5627713.47    | 0.02%             | 2036-11-01      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3128MMNQ2<br>LEI: 254900HROIFWPRGM1V77 | Long             | ABS-MBS          | USGSE             | US        |     264098 | PA      | $257037.14     | 0.00%             | 2026-08-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31407RBQ6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     100557 | PA      | $102084.73     | 0.00%             | 2035-09-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138WKP74<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    2893368 | PA      | $2634316.52    | 0.01%             | 2047-04-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 36184CR80<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      26564 | PA      | $25833.91      | 0.00%             | 2045-03-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140JK6N1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1478554 | PA      | $1495529.51    | 0.01%             | 2048-11-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3133L8U45<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   19950611 | PA      | $17931086.94   | 0.08%             | 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        |   29363653 | PA      | $26378723.53   | 0.11%             | 2036-06-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31417UYW9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     289098 | PA      | $285314.37     | 0.00%             | 2025-04-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138A2AX7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      89070 | PA      | $86703.15      | 0.00%             | 2040-12-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3132ACHY9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    1410794 | PA      | $1418296.52    | 0.01%             | 2045-10-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31416BXA1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      16043 | PA      | $16029.44      | 0.00%             | 2039-02-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 31297HRZ4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       7097 | PA      | $7327.52       | 0.00%             | 2035-01-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3132L7W47<br>LEI: 254900HROIFWPRGM1V77 | Long             | ABS-MBS          | USGSE             | US        |     925810 | PA      | $845374.82     | 0.00%             | 2046-06-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140X5DR1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    2119071 | PA      | $1978103.91    | 0.01%             | 2048-07-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3132DMSB2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   28140583 | PA      | $23264815.63   | 0.10%             | 2050-10-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3128LDCM4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      15571 | PA      | $16201.17      | 0.00%             | 2038-07-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 36195JJJ7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     108569 | PA      | $101995.74     | 0.00%             | 2046-09-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 36225AWL0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        420 | PA      | $429.61        | 0.00%             | 2027-10-15      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3132L8CS4<br>LEI: 254900HROIFWPRGM1V77 | Long             | ABS-MBS          | USGSE             | US        |    2383149 | PA      | $2167847.17    | 0.01%             | 2046-12-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 36290XHC7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       2189 | PA      | $2150.59       | 0.00%             | 2033-08-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138YNHZ3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      38902 | PA      | $37241.96      | 0.00%             | 2030-05-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140M3EK2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    7016478 | PA      | $6226055.34    | 0.03%             | 2051-10-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3131Y9Y56<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    1209297 | PA      | $1162513.55    | 0.00%             | 2049-02-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140QHAJ4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1154913 | PA      | $1153179.09    | 0.00%             | 2051-01-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 36296JWD3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       1760 | PA      | $1766.11       | 0.00%             | 2040-03-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 31292GQB5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |        182 | PA      | $185.62        | 0.00%             | 2026-03-01      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31379V2Q1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        197 | PA      | $201.51        | 0.00%             | 2028-07-01      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3131XV5W1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    4701896 | PA      | $4382721.19    | 0.02%             | 2047-02-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140QDCJ1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   11219686 | PA      | $10615500.62   | 0.05%             | 2035-03-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140KNJA7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     638736 | PA      | $591164.42     | 0.00%             | 2035-08-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138X5YF8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      37640 | PA      | $36549.40      | 0.00%             | 2043-09-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138X9YV5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      18165 | PA      | $17445.69      | 0.00%             | 2029-11-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 31283HYG4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |        959 | PA      | $930.88        | 0.00%             | 2033-09-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae II Pool                               | CUSIP: 36202FPF7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      57747 | PA      | $56848.87      | 0.00%             | 2041-01-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3133A9ZQ1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    4283889 | PA      | $3712541.98    | 0.02%             | 2050-08-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140Q75R4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    5693197 | PA      | $5340464.12    | 0.02%             | 2047-12-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 31287X6D3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |        191 | PA      | $196.27        | 0.00%             | 2032-09-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 31356HY27<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |        207 | PA      | $206.89        | 0.00%             | 2024-07-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31403DBQ1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        888 | PA      | $935.53        | 0.00%             | 2036-03-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 36176XJ26<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      52950 | PA      | $50859.41      | 0.00%             | 2027-04-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31416LYL4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      10798 | PA      | $10794.03      | 0.00%             | 2039-03-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae II Pool                               | CUSIP: 36179VQR4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   11638173 | PA      | $9947185.84    | 0.04%             | 2050-07-20      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 312940G52<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      10271 | PA      | $10278.26      | 0.00%             | 2040-05-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 31292SAV2<br>LEI: 254900HROIFWPRGM1V77 | Long             | ABS-MBS          | USGSE             | US        |     875563 | PA      | $826425.02     | 0.00%             | 2042-11-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 3617BMW78<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    1389344 | PA      | $1304536.80    | 0.01%             | 2047-12-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3128MJA67<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       2354 | PA      | $2481.13       | 0.00%             | 2034-12-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140QLGU4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   31074934 | PA      | $25617619.12   | 0.11%             | 2051-07-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 36178AKM8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      19891 | PA      | $19106.05      | 0.00%             | 2027-09-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140F5AQ6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     473018 | PA      | $444613.09     | 0.00%             | 2046-11-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 31283HWY7<br>LEI: 254900HROIFWPRGM1V77 | Long             | ABS-MBS          | USGSE             | US        |      16803 | PA      | $17320.00      | 0.00%             | 2033-06-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 313615L53<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |         14 | PA      | $14.05         | 0.00%             | 2023-06-01      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140J73P8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   15000531 | PA      | $14122786.59   | 0.06%             | 2032-05-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140FL6M5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     108082 | PA      | $99797.17      | 0.00%             | 2032-01-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31375JUY4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |         70 | PA      | $70.23         | 0.00%             | 2026-02-01      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138YTR22<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     959154 | PA      | $908891.76     | 0.00%             | 2030-07-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140HMP24<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1406912 | PA      | $1365885.82    | 0.01%             | 2033-09-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31402URB0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        304 | PA      | $322.46        | 0.00%             | 2032-10-01      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138EGWS9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        951 | PA      | $944.88        | 0.00%             | 2024-12-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Non Gold Pool                        | CUSIP: 31326FRA8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      12460 | PA      | $12157.72      | 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        |    1889807 | PA      | $1763273.91    | 0.01%             | 2046-09-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31418D2N1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    6514061 | PA      | $5788315.06    | 0.02%             | 2051-07-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae II Pool                               | CUSIP: 36179SGM3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    1012719 | PA      | $984659.30     | 0.00%             | 2046-07-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138XP3F8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      19192 | PA      | $19134.84      | 0.00%             | 2044-03-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 3620AFYR2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      10478 | PA      | $10318.17      | 0.00%             | 2024-12-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140KNU48<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1480254 | PA      | $1227344.45    | 0.01%             | 2050-12-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31415LP84<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       1053 | PA      | $1110.54       | 0.00%             | 2038-05-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140K26F6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1156884 | PA      | $1072661.92    | 0.00%             | 2034-11-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140KLEQ1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1800372 | PA      | $1619825.11    | 0.01%             | 2035-08-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138A9BT0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        859 | PA      | $837.39        | 0.00%             | 2026-03-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140Q86B6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      64509 | PA      | $60118.51      | 0.00%             | 2047-12-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3131XVSF3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     471941 | PA      | $454007.30     | 0.00%             | 2047-01-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31414PU31<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       3762 | PA      | $4029.91       | 0.00%             | 2038-02-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3131XQDP8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     347291 | PA      | $336582.03     | 0.00%             | 2044-06-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138EBRJ6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      38531 | PA      | $38431.20      | 0.00%             | 2027-03-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae II Pool                               | CUSIP: 36179NDQ8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    4776104 | PA      | $4399328.55    | 0.02%             | 2043-05-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31371EU52<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |         15 | PA      | $14.67         | 0.00%             | 2024-04-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31416WPV8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      93039 | PA      | $93010.74      | 0.00%             | 2040-08-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3132Y15R5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    3691797 | PA      | $3726530.22    | 0.02%             | 2048-08-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31403DBD0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      17399 | PA      | $17663.33      | 0.00%             | 2036-03-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138EGHU1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    2689754 | PA      | $2688948.90    | 0.01%             | 2041-04-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3128M8A20<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      30064 | PA      | $30084.51      | 0.00%             | 2040-09-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3128MJVZ0<br>LEI: 254900HROIFWPRGM1V77 | Long             | ABS-MBS          | USGSE             | US        |      82633 | PA      | $74802.66      | 0.00%             | 2045-03-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3132DWCP6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    1034367 | PA      | $886477.62     | 0.00%             | 2051-11-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31418CMM3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       7082 | PA      | $6995.54       | 0.00%             | 2032-06-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31418CU36<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     782704 | PA      | $789173.64     | 0.00%             | 2048-02-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 36296UQN3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      34796 | PA      | $35841.21      | 0.00%             | 2039-02-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140JAPG7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     230974 | PA      | $208727.95     | 0.00%             | 2048-11-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138YD2Z1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     226434 | PA      | $216772.83     | 0.00%             | 2030-03-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 31296N3D7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       1673 | PA      | $1696.66       | 0.00%             | 2033-10-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae II Pool                               | CUSIP: 36179VSF8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   73331961 | PA      | $62677076.13   | 0.27%             | 2050-08-20      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31401PF41<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       8648 | PA      | $8904.55       | 0.00%             | 2033-07-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3131YDG32<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     482175 | PA      | $447036.03     | 0.00%             | 2034-06-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 31296KKG7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       1440 | PA      | $1484.54       | 0.00%             | 2033-07-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140JTB71<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1488210 | PA      | $1390405.49    | 0.01%             | 2049-07-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 36296XGG3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       3768 | PA      | $4036.93       | 0.00%             | 2038-12-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 36201MNT5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       3277 | PA      | $3392.01       | 0.00%             | 2032-09-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 31329PZC0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    2350908 | PA      | $2323165.11    | 0.01%             | 2048-12-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31403CUZ2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      24975 | PA      | $26319.55      | 0.00%             | 2035-10-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31418BDN3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     142721 | PA      | $142297.98     | 0.00%             | 2044-05-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31413JLN2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       2225 | PA      | $2347.15       | 0.00%             | 2037-09-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3128M6RS9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      86698 | PA      | $90198.73      | 0.00%             | 2038-09-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140X5VJ9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     303817 | PA      | $271329.13     | 0.00%             | 2050-02-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31376KDR4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       2606 | PA      | $2687.36       | 0.00%             | 2034-03-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140JHJN4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     626391 | PA      | $631859.74     | 0.00%             | 2048-10-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138X76C2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       6077 | PA      | $5547.74       | 0.00%             | 2043-09-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 36225BPC6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        220 | PA      | $233.17        | 0.00%             | 2031-07-15      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 3620ARLR0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      67562 | PA      | $67796.29      | 0.00%             | 2040-10-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31410K3V4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       7915 | PA      | $7823.74       | 0.00%             | 2024-04-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3132VQLR5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    1227594 | PA      | $1147930.46    | 0.00%             | 2049-06-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 36230UEZ8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      32719 | PA      | $32075.37      | 0.00%             | 2041-01-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140JXSB5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1109293 | PA      | $1028535.76    | 0.00%             | 2034-10-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 31298SUV4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |         17 | PA      | $17.39         | 0.00%             | 2031-01-01      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 31307BZD5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      25685 | PA      | $24657.48      | 0.00%             | 2028-04-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140KG7E7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      13368 | PA      | $11907.04      | 0.00%             | 2050-08-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31416B2Q0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       2742 | PA      | $2936.75       | 0.00%             | 2039-01-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae II Pool                               | CUSIP: 36202ELW7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       1157 | PA      | $1224.53       | 0.00%             | 2037-01-20      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3132AAWR1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     203113 | PA      | $202511.38     | 0.00%             | 2046-02-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae II Pool                               | CUSIP: 36179RLQ0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     590089 | PA      | $574703.91     | 0.00%             | 2045-08-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31371LGJ2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       4599 | PA      | $4873.02       | 0.00%             | 2033-11-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 36201SZS1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       7246 | PA      | $7484.02       | 0.00%             | 2033-02-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140H4ED2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1167472 | PA      | $1135479.75    | 0.00%             | 2048-02-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138EGPE8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       1554 | PA      | $1664.87       | 0.00%             | 2039-10-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3132KFEG3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    1071783 | PA      | $1027027.54    | 0.00%             | 2031-01-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae II Pool                               | CUSIP: 36179U4B5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   30479331 | PA      | $27808714.44   | 0.12%             | 2049-10-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3128MJV23<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      14789 | PA      | $13818.79      | 0.00%             | 2045-03-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138WBHX6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      22265 | PA      | $22237.39      | 0.00%             | 2044-03-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 31287XSW7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       2200 | PA      | $2282.35       | 0.00%             | 2029-02-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 36177YRG3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      20489 | PA      | $19476.58      | 0.00%             | 2042-05-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31400RH95<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        887 | PA      | $913.03        | 0.00%             | 2033-03-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31384XPT9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        162 | PA      | $167.71        | 0.00%             | 2030-05-01      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31416TR68<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       6229 | PA      | $6141.49       | 0.00%             | 2024-07-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138WJZ43<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     195527 | PA      | $182250.17     | 0.00%             | 2047-02-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3133GDZW3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     875832 | PA      | $786800.61     | 0.00%             | 2036-07-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3133KLEZ6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   31340897 | PA      | $25855352.95   | 0.11%             | 2051-02-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Non Gold Pool                        | CUSIP: 3128UGY27<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      20655 | PA      | $20746.53      | 0.00%             | 2041-07-01      | Floating      | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31419GYT5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      32639 | PA      | $31771.62      | 0.00%             | 2040-10-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140QEV41<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1286875 | PA      | $1098838.43    | 0.00%             | 2050-09-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138AW3M3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      29038 | PA      | $28210.82      | 0.00%             | 2041-11-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3128M7YJ9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |        870 | PA      | $919.08        | 0.00%             | 2039-12-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3132VMBV6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     339025 | PA      | $329168.96     | 0.00%             | 2049-01-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 312930CC2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |        421 | PA      | $438.01        | 0.00%             | 2038-12-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138EQKH4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     866656 | PA      | $822389.28     | 0.00%             | 2045-10-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3128LXUQ1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       8435 | PA      | $8904.38       | 0.00%             | 2036-11-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138E0RM3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    3068145 | PA      | $3082372.56    | 0.01%             | 2041-12-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138ERUK4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    3218828 | PA      | $3135224.02    | 0.01%             | 2032-01-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31371MT23<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        762 | PA      | $791.69        | 0.00%             | 2036-06-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140KXTX4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    2132567 | PA      | $1974223.06    | 0.01%             | 2035-12-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140QC6X9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1136215 | PA      | $1121517.01    | 0.00%             | 2050-03-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae II Pool                               | CUSIP: 36179TAK1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    4259405 | PA      | $4023586.69    | 0.02%             | 2047-06-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 31293THX8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       2218 | PA      | $2301.74       | 0.00%             | 2029-08-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31418CWJ9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     564308 | PA      | $568974.36     | 0.00%             | 2048-04-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31418EHJ2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   10543277 | PA      | $9965076.42    | 0.04%             | 2052-09-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae II Pool                               | CUSIP: 3617AGWQ0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    1025455 | PA      | $968681.09     | 0.00%             | 2047-07-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138WDKD2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     491653 | PA      | $476493.33     | 0.00%             | 2044-11-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140X7AR0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     532969 | PA      | $516892.66     | 0.00%             | 2034-07-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31402CVW9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1117277 | PA      | $1175461.07    | 0.01%             | 2034-03-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3133KJJV5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   10884837 | PA      | $9402372.92    | 0.04%             | 2050-07-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138EQ5W8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    4748651 | PA      | $4546049.67    | 0.02%             | 2031-02-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 31307E5Q3<br>LEI: 254900HROIFWPRGM1V77 | Long             | ABS-MBS          | USGSE             | US        |      62281 | PA      | $60453.77      | 0.00%             | 2028-11-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31412UA34<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |         78 | PA      | $76.85         | 0.00%             | 2024-04-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3132GRVV0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       4321 | PA      | $4078.69       | 0.00%             | 2042-03-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 31287XEY8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |        347 | PA      | $361.85        | 0.00%             | 2032-08-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31410G4C4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       2302 | PA      | $2428.29       | 0.00%             | 2038-03-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31417KWH6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       1814 | PA      | $1852.11       | 0.00%             | 2039-09-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31374TGV5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        396 | PA      | $410.71        | 0.00%             | 2028-12-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138WGT87<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     837195 | PA      | $793323.35     | 0.00%             | 2031-03-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138YXP33<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     615095 | PA      | $599634.76     | 0.00%             | 2045-06-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 31292G5V4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |        177 | PA      | $186.34        | 0.00%             | 2029-09-01      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31418D6H0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    4268300 | PA      | $3945962.63    | 0.02%             | 2036-11-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138WGTN4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     141942 | PA      | $140904.49     | 0.00%             | 2046-03-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140FCTC2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1798459 | PA      | $1676338.20    | 0.01%             | 2047-02-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140QG5R4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     935842 | PA      | $804470.37     | 0.00%             | 2051-02-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138WXP92<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     332714 | PA      | $339941.69     | 0.00%             | 2043-09-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3133ALY36<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    5136833 | PA      | $4235453.43    | 0.02%             | 2051-06-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31411HWP1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      26836 | PA      | $28748.30      | 0.00%             | 2036-12-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3128PTGS8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      10844 | PA      | $10592.26      | 0.00%             | 2025-12-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140XDAQ9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    5027309 | PA      | $4149066.00    | 0.02%             | 2051-09-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae II Pool                               | CUSIP: 36179QYQ8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      17328 | PA      | $15484.43      | 0.00%             | 2045-01-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3132QPE75<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     352979 | PA      | $319531.31     | 0.00%             | 2045-04-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 36241L3C8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    2605274 | PA      | $2666182.13    | 0.01%             | 2036-12-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3128L9PU1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |        296 | PA      | $308.30        | 0.00%             | 2038-04-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140JK6M3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     465803 | PA      | $472968.08     | 0.00%             | 2048-11-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138EQEA6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1028342 | PA      | $1015177.72    | 0.00%             | 2026-10-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 31307TL90<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     318587 | PA      | $303642.93     | 0.00%             | 2032-03-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3133G6BJ3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    1155325 | PA      | $1093653.24    | 0.00%             | 2034-06-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31418DQ70<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   58213929 | PA      | $48138033.33   | 0.21%             | 2050-07-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 36296JPZ2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      25299 | PA      | $26095.72      | 0.00%             | 2039-06-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 3620ASVB2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      52628 | PA      | $51584.31      | 0.00%             | 2041-09-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 36225BB31<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       3070 | PA      | $3132.96       | 0.00%             | 2029-01-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140X8KW6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   17213524 | PA      | $14769252.28   | 0.06%             | 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        |    2108644 | PA      | $2109836.83    | 0.01%             | 2039-03-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3128PKVE1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |        277 | PA      | $276.11        | 0.00%             | 2023-05-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31414EMF8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       2969 | PA      | $3086.04       | 0.00%             | 2038-06-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138MQY72<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1066478 | PA      | $1034308.52    | 0.00%             | 2028-01-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae II Pool                               | CUSIP: 36202F4Q6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    9949219 | PA      | $9460528.42    | 0.04%             | 2042-03-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3128KKZZ5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       2588 | PA      | $2691.33       | 0.00%             | 2037-02-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138WGZL1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     187261 | PA      | $176303.93     | 0.00%             | 2031-04-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 36291MMG5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       8230 | PA      | $8422.36       | 0.00%             | 2038-06-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3128MJA42<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       5673 | PA      | $5756.68       | 0.00%             | 2034-12-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31418RMU2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       4213 | PA      | $4135.39       | 0.00%             | 2025-06-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3131XTCY4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      52185 | PA      | $49170.17      | 0.00%             | 2045-09-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 31297TR47<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       4518 | PA      | $4690.81       | 0.00%             | 2035-09-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140QFNN5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    3522196 | PA      | $2895109.99    | 0.01%             | 2050-11-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31418C3K8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      11940 | PA      | $12038.57      | 0.00%             | 2048-10-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140MRR82<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1304894 | PA      | $1173756.35    | 0.01%             | 2037-04-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31416YYD4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       1043 | PA      | $1014.25       | 0.00%             | 2026-08-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae II Pool                               | CUSIP: 3617NUBT2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     865661 | PA      | $780133.17     | 0.00%             | 2050-06-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31373UK22<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        169 | PA      | $170.07        | 0.00%             | 2026-02-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138WGJT2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     297271 | PA      | $277495.99     | 0.00%             | 2046-01-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 36178UHG1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      18489 | PA      | $17575.96      | 0.00%             | 2042-10-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140J56W4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    9320653 | PA      | $8797777.88    | 0.04%             | 2047-08-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 36176XKR9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      88880 | PA      | $84489.97      | 0.00%             | 2042-04-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 31307VFF8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     887905 | PA      | $846254.42     | 0.00%             | 2033-01-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 36297KKZ3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       9724 | PA      | $10023.98      | 0.00%             | 2039-08-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140M5AJ4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    2640731 | PA      | $2337053.10    | 0.01%             | 2051-11-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3128M8AV6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      11702 | PA      | $12175.41      | 0.00%             | 2039-12-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 312941S99<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      12695 | PA      | $12983.93      | 0.00%             | 2040-08-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 31292HJR6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |        726 | PA      | $752.49        | 0.00%             | 2031-05-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140E24G3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     388580 | PA      | $375608.17     | 0.00%             | 2045-09-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31371HTB4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |         55 | PA      | $57.91         | 0.00%             | 2029-08-01      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3131Y0C34<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     660550 | PA      | $660471.77     | 0.00%             | 2048-02-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31419AK30<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     102008 | PA      | $101977.76     | 0.00%             | 2040-09-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 31307N7K4<br>LEI: 254900HROIFWPRGM1V77 | Long             | ABS-MBS          | USGSE             | US        |     164632 | PA      | $156157.97     | 0.00%             | 2030-08-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31419AHK6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      16893 | PA      | $17521.32      | 0.00%             | 2039-07-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140QB4H8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     394531 | PA      | $352342.24     | 0.00%             | 2049-10-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3128M64P0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       2881 | PA      | $3041.70       | 0.00%             | 2037-10-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 36225BTU2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |         89 | PA      | $91.62         | 0.00%             | 2029-12-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140K22Y9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     221548 | PA      | $223375.04     | 0.00%             | 2049-09-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3128PRH51<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       1448 | PA      | $1427.13       | 0.00%             | 2025-04-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140HBLJ5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1028443 | PA      | $933467.51     | 0.00%             | 2048-03-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140HPPX9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     642801 | PA      | $663477.15     | 0.00%             | 2048-10-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31418T2U0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      26780 | PA      | $26771.52      | 0.00%             | 2040-06-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 36210A4T1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        222 | PA      | $228.36        | 0.00%             | 2029-02-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138X3S37<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       1508 | PA      | $1461.94       | 0.00%             | 2043-08-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3133ACNY0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    1942198 | PA      | $1596407.20    | 0.01%             | 2050-10-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 31307JTU7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     467167 | PA      | $457247.23     | 0.00%             | 2029-10-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140F4BN5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     390638 | PA      | $353015.17     | 0.00%             | 2046-10-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 31293PMN2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |        383 | PA      | $397.52        | 0.00%             | 2029-05-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138Y9FH6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       5248 | PA      | $5085.91       | 0.00%             | 2044-12-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 3620A6DH7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       5329 | PA      | $5258.61       | 0.00%             | 2024-07-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae II Pool                               | CUSIP: 36179NGB8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     100597 | PA      | $104599.04     | 0.00%             | 2043-06-20      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140J8GN7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     537230 | PA      | $506393.71     | 0.00%             | 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        |     278564 | PA      | $271301.00     | 0.00%             | 2045-10-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31412NHQ2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       2068 | PA      | $2149.79       | 0.00%             | 2038-10-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31410GYP2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      26108 | PA      | $26881.78      | 0.00%             | 2036-04-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140HAKD1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     532735 | PA      | $504281.61     | 0.00%             | 2034-07-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 31287MRT9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |         98 | PA      | $100.27        | 0.00%             | 2032-01-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31410GH22<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      38506 | PA      | $39647.80      | 0.00%             | 2036-09-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138EMCJ8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      26145 | PA      | $27577.55      | 0.00%             | 2038-04-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3128K0MG5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      24967 | PA      | $25923.02      | 0.00%             | 2035-12-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138EBRN7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     363054 | PA      | $358648.49     | 0.00%             | 2027-03-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3128M4FF5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       7724 | PA      | $7713.42       | 0.00%             | 2036-08-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 31283GN37<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |         60 | PA      | $60.01         | 0.00%             | 2025-10-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140Q8FN0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     312694 | PA      | $291410.64     | 0.00%             | 2048-01-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138LXU64<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       2423 | PA      | $2284.46       | 0.00%             | 2042-06-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 31297MUG1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |        490 | PA      | $508.98        | 0.00%             | 2035-04-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31409JTP5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       2798 | PA      | $2950.49       | 0.00%             | 2036-06-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140H9U27<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1065732 | PA      | $985912.10     | 0.00%             | 2049-05-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 36176AEA3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     274618 | PA      | $269171.37     | 0.00%             | 2041-03-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 31292LG66<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      34940 | PA      | $32976.50      | 0.00%             | 2042-04-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae II Pool                               | CUSIP: 36179SQU4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     216708 | PA      | $193459.69     | 0.00%             | 2046-11-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3132XV4H3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     467177 | PA      | $454808.03     | 0.00%             | 2048-01-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3128K3G35<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       2018 | PA      | $2099.26       | 0.00%             | 2036-02-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138E8XP2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      25308 | PA      | $24544.75      | 0.00%             | 2027-03-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31418CZJ6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1406217 | PA      | $1389619.62    | 0.01%             | 2048-08-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 36291PUP9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       1404 | PA      | $1420.74       | 0.00%             | 2035-01-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| UMBS, TBA                                      | Uniform Mortgage-Backed Security, TBA            | CUSIP: 01F0406C6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |  181508000 | PA      | $171631410.98  | 0.73%             | 2052-12-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140J8VQ3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   12960094 | PA      | $11831851.42   | 0.05%             | 2044-01-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140GNZD8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     985030 | PA      | $945331.05     | 0.00%             | 2049-03-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140KGWL3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    3965852 | PA      | $3551552.08    | 0.02%             | 2050-07-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 31293JHC6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       1850 | PA      | $1907.83       | 0.00%             | 2029-01-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 31288AZG3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       1190 | PA      | $1225.32       | 0.00%             | 2032-10-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 312940EU9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       4075 | PA      | $4167.46       | 0.00%             | 2040-04-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3132D6AC4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     516527 | PA      | $464020.46     | 0.00%             | 2036-05-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140QLHH2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    3126694 | PA      | $2682092.77    | 0.01%             | 2051-07-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3133KNGC1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     935925 | PA      | $801819.60     | 0.00%             | 2051-12-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 36203DFL9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        115 | PA      | $114.94        | 0.00%             | 2023-09-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31413TVF6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        468 | PA      | $501.80        | 0.00%             | 2037-12-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3128PQDM0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       3157 | PA      | $3109.60       | 0.00%             | 2024-11-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138XLZ70<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       5349 | PA      | $5184.07       | 0.00%             | 2044-11-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3128LAV80<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |        126 | PA      | $127.79        | 0.00%             | 2038-05-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 31293RYB1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |        303 | PA      | $313.24        | 0.00%             | 2029-06-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3132M7G69<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     388312 | PA      | $376700.43     | 0.00%             | 2044-06-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3133KJXK3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   17157481 | PA      | $15281272.85   | 0.07%             | 2050-08-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3133KJ4H2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    3050961 | PA      | $2522337.68    | 0.01%             | 2050-09-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 36291NTW1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       4002 | PA      | $4199.57       | 0.00%             | 2036-01-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 31307EZH0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       7587 | PA      | $7515.60       | 0.00%             | 2023-10-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3128M4M91<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       1831 | PA      | $1904.09       | 0.00%             | 2037-03-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138YTVW1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      73672 | PA      | $70528.84      | 0.00%             | 2030-06-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 312938CF8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      11442 | PA      | $11694.97      | 0.00%             | 2039-12-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3128FMVS7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |         43 | PA      | $43.41         | 0.00%             | 2027-04-01      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31407NQM8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       7310 | PA      | $7292.35       | 0.00%             | 2035-09-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31410KNN0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       6516 | PA      | $6872.97       | 0.00%             | 2038-07-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138EQBA9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1212992 | PA      | $1151035.58    | 0.00%             | 2045-09-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31371J3A0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        929 | PA      | $960.09        | 0.00%             | 2031-05-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31409APS2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      11628 | PA      | $12060.72      | 0.00%             | 2036-02-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138XYGD0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      61351 | PA      | $58921.19      | 0.00%             | 2029-08-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3132A5FQ3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      71198 | PA      | $62214.51      | 0.00%             | 2046-08-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 36201MP63<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       2444 | PA      | $2556.65       | 0.00%             | 2032-10-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3132JM2X6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      17275 | PA      | $15786.73      | 0.00%             | 2043-07-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3133KH3R5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      12898 | PA      | $12567.93      | 0.00%             | 2050-05-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138YK4D2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      61679 | PA      | $58446.77      | 0.00%             | 2030-05-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae II Pool                               | CUSIP: 36291FRY6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    5360773 | PA      | $4920574.37    | 0.02%             | 2045-10-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138ENZ36<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     436119 | PA      | $426473.91     | 0.00%             | 2029-12-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138ERLD0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     140181 | PA      | $131977.97     | 0.00%             | 2031-10-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 31292H4V3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       8924 | PA      | $9558.11       | 0.00%             | 2033-10-01      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31373UKZ9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |         73 | PA      | $73.82         | 0.00%             | 2026-02-01      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 36295QLF5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       4028 | PA      | $4295.41       | 0.00%             | 2038-08-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae II Pool                               | CUSIP: 36179V4V9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   80233803 | PA      | $70722836.59   | 0.30%             | 2051-01-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3128MJRD4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      42054 | PA      | $40848.07      | 0.00%             | 2042-03-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140E1ZQ9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1988965 | PA      | $1904105.36    | 0.01%             | 2030-09-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138XJCE5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      27699 | PA      | $27130.13      | 0.00%             | 2029-01-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140MY2Q4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1147806 | PA      | $1123809.47    | 0.00%             | 2037-10-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae II Pool                               | CUSIP: 36179VFQ8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     812259 | PA      | $763265.69     | 0.00%             | 2050-02-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140J9E56<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     480239 | PA      | $447629.41     | 0.00%             | 2047-05-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140GSNW8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    4585357 | PA      | $4409230.95    | 0.02%             | 2047-09-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31404VA32<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       5134 | PA      | $5295.12       | 0.00%             | 2034-06-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138YYD26<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     282822 | PA      | $255765.23     | 0.00%             | 2045-12-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138WENA3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     181877 | PA      | $164477.03     | 0.00%             | 2045-05-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140H7LJ4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     342406 | PA      | $338365.13     | 0.00%             | 2048-04-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31417NJZ5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       1920 | PA      | $1896.84       | 0.00%             | 2024-12-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 36296JT21<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       1484 | PA      | $1519.84       | 0.00%             | 2039-09-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 31292GWG7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |        417 | PA      | $432.60        | 0.00%             | 2028-09-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 36296RUJ4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       4406 | PA      | $4509.45       | 0.00%             | 2038-09-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae II Pool                               | CUSIP: 36179SWX1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   51369362 | PA      | $48597528.94   | 0.21%             | 2047-02-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31421AF57<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       8475 | PA      | $8471.53       | 0.00%             | 2039-10-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138WFFL5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     327285 | PA      | $307281.84     | 0.00%             | 2045-08-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140XA4B5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    3840454 | PA      | $3550426.85    | 0.02%             | 2036-04-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31417YUH8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     103719 | PA      | $100963.60     | 0.00%             | 2040-12-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 31292LF34<br>LEI: 254900HROIFWPRGM1V77 | Long             | ABS-MBS          | USGSE             | US        |    1820557 | PA      | $1718385.52    | 0.01%             | 2042-03-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3133AEYT5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    2690717 | PA      | $2326452.45    | 0.01%             | 2051-01-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31388VFL7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       6276 | PA      | $6442.48       | 0.00%             | 2031-12-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3132DVLA1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   20497315 | PA      | $17806965.97   | 0.08%             | 2050-07-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae II Pool                               | CUSIP: 36179U6V9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     529778 | PA      | $497894.18     | 0.00%             | 2049-11-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3133L7VL8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    4623937 | PA      | $4374826.37    | 0.02%             | 2035-07-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae II Pool                               | CUSIP: 36179SJT5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      83192 | PA      | $78702.66      | 0.00%             | 2046-08-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3132DWE66<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    8667758 | PA      | $8426997.07    | 0.04%             | 2052-10-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3131XDNH4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     479511 | PA      | $465529.25     | 0.00%             | 2033-04-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138WGSX3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1152339 | PA      | $1075682.26    | 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        |    9032897 | PA      | $8418072.71    | 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        |   12838122 | PA      | $12466437.20   | 0.05%             | 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        |   16872860 | PA      | $13944545.49   | 0.06%             | 2050-10-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31410LNM0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      90422 | PA      | $93936.52      | 0.00%             | 2041-09-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 36206W7L3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |         35 | PA      | $35.39         | 0.00%             | 2026-09-15      | Fixed         | 8.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 31298FVA7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |        524 | PA      | $546.65        | 0.00%             | 2030-10-01      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31414NB86<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       1546 | PA      | $1606.56       | 0.00%             | 2038-12-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3132GUKM5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       5096 | PA      | $4810.44       | 0.00%             | 2042-06-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140H2FT0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     119755 | PA      | $115661.97     | 0.00%             | 2048-01-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 36213QUQ0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        302 | PA      | $308.12        | 0.00%             | 2031-09-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3132G7YY5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     541721 | PA      | $533958.55     | 0.00%             | 2034-11-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 36241LKH8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      18346 | PA      | $18934.26      | 0.00%             | 2040-06-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3132ACRL6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    3706452 | PA      | $3374615.13    | 0.01%             | 2048-03-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 312938WZ2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      47536 | PA      | $46345.92      | 0.00%             | 2040-01-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138WCA60<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      91477 | PA      | $91205.93      | 0.00%             | 2044-06-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 36178EWA3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     311316 | PA      | $299025.75     | 0.00%             | 2027-10-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae II Pool                               | CUSIP: 36202FU87<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       9005 | PA      | $8894.00       | 0.00%             | 2026-07-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140J9AY7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    3314674 | PA      | $3141374.77    | 0.01%             | 2048-02-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138YND61<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1055484 | PA      | $1010451.98    | 0.00%             | 2030-05-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 36290YJN9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       5019 | PA      | $5225.70       | 0.00%             | 2033-10-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 31297HTV1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |        485 | PA      | $500.45        | 0.00%             | 2035-01-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 31297CG53<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       1410 | PA      | $1455.86       | 0.00%             | 2034-07-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3132JPMM1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       9427 | PA      | $9424.19       | 0.00%             | 2043-10-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3132JPYQ9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     562455 | PA      | $513991.20     | 0.00%             | 2043-08-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3132WEZU9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     664752 | PA      | $601340.70     | 0.00%             | 2046-07-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31371NHU2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       2068 | PA      | $2149.38       | 0.00%             | 2037-08-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 36208V4F9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |         85 | PA      | $87.75         | 0.00%             | 2028-03-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3128MMZF3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     442528 | PA      | $410587.05     | 0.00%             | 2034-06-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140X53Y7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     731713 | PA      | $652404.68     | 0.00%             | 2050-03-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31418PXR1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       6942 | PA      | $7092.88       | 0.00%             | 2040-05-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3132QQX49<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      42537 | PA      | $44271.19      | 0.00%             | 2040-01-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138WEP78<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      30758 | PA      | $29146.63      | 0.00%             | 2030-05-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138A5GN6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      63143 | PA      | $61465.71      | 0.00%             | 2041-02-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 36295PVS8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       2455 | PA      | $2573.78       | 0.00%             | 2037-12-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3132GKPX8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      28105 | PA      | $27330.05      | 0.00%             | 2041-11-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140X9Z81<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    2600072 | PA      | $2405947.61    | 0.01%             | 2036-03-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140FHDU8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     921819 | PA      | $852777.77     | 0.00%             | 2049-04-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3131XX2J9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    1265514 | PA      | $1252338.41    | 0.01%             | 2047-10-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138YAT62<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     105555 | PA      | $101051.04     | 0.00%             | 2030-04-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 36201JHB8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        331 | PA      | $339.76        | 0.00%             | 2032-05-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 36207VG83<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        157 | PA      | $157.77        | 0.00%             | 2027-07-15      | Fixed         | 8.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31417CVK8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     255625 | PA      | $241048.34     | 0.00%             | 2042-08-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31402CU75<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      17702 | PA      | $18226.90      | 0.00%             | 2034-02-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31412FUY7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       3053 | PA      | $3236.96       | 0.00%             | 2037-05-01      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3131XT3A6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      33188 | PA      | $32080.88      | 0.00%             | 2046-02-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140EU6Q7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     166677 | PA      | $160974.55     | 0.00%             | 2046-05-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31368HMV2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     466951 | PA      | $492406.15     | 0.00%             | 2036-08-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138YKLS0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       4597 | PA      | $4563.64       | 0.00%             | 2045-04-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 31335A4D7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    5032123 | PA      | $4916465.35    | 0.02%             | 2045-04-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140F0JL9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     564317 | PA      | $558920.07     | 0.00%             | 2046-10-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 36295TRB2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       1282 | PA      | $1340.50       | 0.00%             | 2037-12-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 31296K5E9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       2069 | PA      | $2064.64       | 0.00%             | 2033-08-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3128M4M67<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      14361 | PA      | $14940.78      | 0.00%             | 2037-04-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3132M95V2<br>LEI: 254900HROIFWPRGM1V77 | Long             | ABS-MBS          | USGSE             | US        |     363896 | PA      | $353014.75     | 0.00%             | 2044-10-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae II Pool                               | CUSIP: 36179UGB2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   14471118 | PA      | $13633473.88   | 0.06%             | 2048-11-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 36213CU32<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       4362 | PA      | $4285.40       | 0.00%             | 2035-08-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140X5CH4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    2563622 | PA      | $2487653.55    | 0.01%             | 2046-10-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140H1DJ6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     161202 | PA      | $150229.87     | 0.00%             | 2047-10-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3131XVYW9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     619068 | PA      | $559446.53     | 0.00%             | 2046-12-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31418CEG5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     469394 | PA      | $437520.62     | 0.00%             | 2046-12-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3133BJP22<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    3634856 | PA      | $3704780.97    | 0.02%             | 2052-08-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138EQZ96<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     361280 | PA      | $345865.69     | 0.00%             | 2030-07-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 36201ESG6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       1455 | PA      | $1488.92       | 0.00%             | 2032-03-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31402V4E7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      13514 | PA      | $13690.83      | 0.00%             | 2033-09-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3132DM6A8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   32094512 | PA      | $29473357.40   | 0.13%             | 2052-02-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 31297QRB7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       8100 | PA      | $8410.56       | 0.00%             | 2035-05-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31385JF86<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       1959 | PA      | $2038.56       | 0.00%             | 2032-06-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140F1FX5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      82499 | PA      | $76897.05      | 0.00%             | 2046-04-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31418DWQ1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      69996 | PA      | $54423.97      | 0.00%             | 2051-02-01      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3128M5S84<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       1776 | PA      | $1904.69       | 0.00%             | 2038-02-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 36178WDP1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      18337 | PA      | $16840.26      | 0.00%             | 2042-10-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31413NYL3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        992 | PA      | $1062.27       | 0.00%             | 2037-10-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 3620AMTF9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      53246 | PA      | $52198.53      | 0.00%             | 2041-01-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3128M5NE6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      34235 | PA      | $34794.08      | 0.00%             | 2036-06-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140XG3S6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   19997927 | PA      | $17945502.66   | 0.08%             | 2037-05-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140EWE68<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     152364 | PA      | $142018.30     | 0.00%             | 2046-03-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31411WFR3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       7586 | PA      | $7883.48       | 0.00%             | 2037-06-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140JKT48<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     734932 | PA      | $742726.22     | 0.00%             | 2049-02-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140QGV61<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   34653755 | PA      | $31178564.05   | 0.13%             | 2036-02-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 312946XU5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      25585 | PA      | $24880.01      | 0.00%             | 2041-04-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31417JNT3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        319 | PA      | $314.88        | 0.00%             | 2024-07-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3132MARS2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     174268 | PA      | $163578.26     | 0.00%             | 2044-11-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31385XM87<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       5133 | PA      | $5117.67       | 0.00%             | 2033-10-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 36213EUG9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        706 | PA      | $733.18        | 0.00%             | 2032-02-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31407YDU0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       2216 | PA      | $2298.62       | 0.00%             | 2035-10-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140X5UC5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      21180 | PA      | $20906.28      | 0.00%             | 2050-01-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 31283H6E0<br>LEI: 254900HROIFWPRGM1V77 | Long             | ABS-MBS          | USGSE             | US        |       5130 | PA      | $5296.69       | 0.00%             | 2035-01-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 36295KSX2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       2177 | PA      | $2275.55       | 0.00%             | 2038-08-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3133A7VK2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     526599 | PA      | $487036.31     | 0.00%             | 2050-07-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140J9WK3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1535155 | PA      | $1401511.76    | 0.01%             | 2045-08-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31410KH49<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       7842 | PA      | $8271.64       | 0.00%             | 2038-05-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31416M7B4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        814 | PA      | $831.36        | 0.00%             | 2039-04-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3133GEGA0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     962340 | PA      | $864514.35     | 0.00%             | 2036-08-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31416YLN6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    4987984 | PA      | $4986525.31    | 0.02%             | 2041-05-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31403DBY4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     510909 | PA      | $518672.47     | 0.00%             | 2036-03-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 31335CAH7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   12891686 | PA      | $11661935.98   | 0.05%             | 2047-07-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3132XSNS5<br>LEI: 254900HROIFWPRGM1V77 | Long             | ABS-MBS          | USGSE             | US        |     365402 | PA      | $361951.32     | 0.00%             | 2047-08-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140MAZD9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    9676418 | PA      | $9226898.16    | 0.04%             | 2052-05-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138XTUD5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     135817 | PA      | $130439.02     | 0.00%             | 2029-05-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140J5US6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     744942 | PA      | $719481.20     | 0.00%             | 2047-07-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 36291Y2B2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       4962 | PA      | $5175.26       | 0.00%             | 2035-07-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 36209DBD5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        104 | PA      | $105.31        | 0.00%             | 2028-08-15      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 31294L7J6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |        750 | PA      | $737.40        | 0.00%             | 2025-06-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3128LXH86<br>LEI: 254900HROIFWPRGM1V77 | Long             | ABS-MBS          | USGSE             | US        |        393 | PA      | $407.80        | 0.00%             | 2036-02-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140J9MB4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    3222689 | PA      | $3127190.75    | 0.01%             | 2046-03-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3132GEEY2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      41618 | PA      | $41646.76      | 0.00%             | 2041-05-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 31335GFA8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |          6 | PA      | $5.67          | 0.00%             | 2024-06-01      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31416CEW2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        629 | PA      | $620.75        | 0.00%             | 2024-06-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31412VBT4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        487 | PA      | $481.19        | 0.00%             | 2024-10-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140KLT93<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1884217 | PA      | $1639626.68    | 0.01%             | 2050-08-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138YUVK4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1425236 | PA      | $1364427.92    | 0.01%             | 2030-04-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae II Pool                               | CUSIP: 36179MG46<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     168536 | PA      | $155236.64     | 0.00%             | 2042-07-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140QDMC5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     771748 | PA      | $735883.27     | 0.00%             | 2050-05-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae II Pool                               | CUSIP: 36179XFJ0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   24297225 | PA      | $24262232.21   | 0.10%             | 2052-09-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3128MB4E4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |         12 | PA      | $12.35         | 0.00%             | 2023-04-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 3620A6DL8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       4326 | PA      | $4455.28       | 0.00%             | 2039-07-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 31297DMW5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |        595 | PA      | $627.09        | 0.00%             | 2034-08-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae II Pool                               | CUSIP: 36179WFJ2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     610792 | PA      | $571591.72     | 0.00%             | 2051-05-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31403DGY9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     409431 | PA      | $415653.14     | 0.00%             | 2036-05-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 313615TW6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        182 | PA      | $182.36        | 0.00%             | 2024-01-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140Q8LY9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1492411 | PA      | $1414383.67    | 0.01%             | 2048-02-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31402RNL9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       2991 | PA      | $3031.80       | 0.00%             | 2035-06-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 36180FAR3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     132321 | PA      | $121513.19     | 0.00%             | 2043-04-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae II Pool                               | CUSIP: 36179MAG5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      65784 | PA      | $63187.12      | 0.00%             | 2027-04-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3128MEX22<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     679028 | PA      | $639916.75     | 0.00%             | 2031-09-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140LXDN2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   25408483 | PA      | $22800762.99   | 0.10%             | 2037-06-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3128M9RS3<br>LEI: 254900HROIFWPRGM1V77 | Long             | ABS-MBS          | USGSE             | US        |     285863 | PA      | $253484.40     | 0.00%             | 2043-06-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3128M6EC8<br>LEI: 254900HROIFWPRGM1V77 | Long             | ABS-MBS          | USGSE             | US        |     395832 | PA      | $402293.19     | 0.00%             | 2037-02-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 3620AA7K8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       5400 | PA      | $5418.97       | 0.00%             | 2040-02-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 36297K4U2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       6659 | PA      | $6874.10       | 0.00%             | 2039-05-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 36202XWZ6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       4622 | PA      | $4707.90       | 0.00%             | 2033-06-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 36241LL38<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      36361 | PA      | $35645.42      | 0.00%             | 2040-08-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138A8SR8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      14689 | PA      | $14394.68      | 0.00%             | 2026-03-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 36194AUB1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      16407 | PA      | $14415.28      | 0.00%             | 2046-09-15      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae II Pool                               | CUSIP: 36179TNQ4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     877915 | PA      | $805690.22     | 0.00%             | 2047-12-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31402CPL0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1555937 | PA      | $1576253.09    | 0.01%             | 2033-11-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31412QHQ5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      19148 | PA      | $19140.00      | 0.00%             | 2039-08-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3128M47B3<br>LEI: 254900HROIFWPRGM1V77 | Long             | ABS-MBS          | USGSE             | US        |      92070 | PA      | $95596.91      | 0.00%             | 2036-08-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138ADBK0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      29506 | PA      | $29497.71      | 0.00%             | 2041-07-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 36225BWG9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        392 | PA      | $410.59        | 0.00%             | 2033-01-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 3620AASH2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      24054 | PA      | $24138.64      | 0.00%             | 2039-08-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 31307VWA0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     605230 | PA      | $588127.57     | 0.00%             | 2033-03-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140F9ZP3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      94586 | PA      | $82683.59      | 0.00%             | 2046-07-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140Q8E50<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     105160 | PA      | $98002.60      | 0.00%             | 2047-12-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140H72D8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     325782 | PA      | $303607.81     | 0.00%             | 2048-02-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae II Pool                               | CUSIP: 36176XVR7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       8971 | PA      | $8817.56       | 0.00%             | 2042-06-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 31296QCV0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       2912 | PA      | $3066.75       | 0.00%             | 2033-11-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31417JN97<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       3067 | PA      | $3130.98       | 0.00%             | 2039-09-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140J7NT8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     523783 | PA      | $473673.65     | 0.00%             | 2046-03-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140KEMJ4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    3310872 | PA      | $3064287.23    | 0.01%             | 2035-09-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 31297VKP2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |        489 | PA      | $507.36        | 0.00%             | 2035-11-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138WHZY1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       5351 | PA      | $5299.97       | 0.00%             | 2046-08-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 31307JV83<br>LEI: 254900HROIFWPRGM1V77 | Long             | ABS-MBS          | USGSE             | US        |     178473 | PA      | $169872.78     | 0.00%             | 2029-10-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31419DTH4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      23402 | PA      | $23908.55      | 0.00%             | 2040-08-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 36296SQM0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      12783 | PA      | $12827.29      | 0.00%             | 2040-05-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138EPZJ6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    3074293 | PA      | $2969601.97    | 0.01%             | 2035-06-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31418BGP5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      13154 | PA      | $13115.13      | 0.00%             | 2044-08-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3132GDHH8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      76540 | PA      | $76591.54      | 0.00%             | 2041-04-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140KRT66<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     407783 | PA      | $337921.58     | 0.00%             | 2050-11-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138ETYK6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    3464335 | PA      | $3348685.21    | 0.01%             | 2046-04-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3132DMT96<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   16637347 | PA      | $14206597.48   | 0.06%             | 2051-04-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 36295HU24<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       8057 | PA      | $8594.57       | 0.00%             | 2038-01-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31404WFN1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       5480 | PA      | $5651.44       | 0.00%             | 2034-07-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3131XXZ87<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     472830 | PA      | $440642.13     | 0.00%             | 2047-10-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138EFDB9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      23842 | PA      | $22482.77      | 0.00%             | 2042-04-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3132KETA3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      11669 | PA      | $11106.28      | 0.00%             | 2029-07-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3133ABLE8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    5836368 | PA      | $4822550.80    | 0.02%             | 2050-10-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 36241KTU2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       2258 | PA      | $2372.45       | 0.00%             | 2038-07-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31418CV35<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     937751 | PA      | $901464.97     | 0.00%             | 2048-04-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140J8AM5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    3841435 | PA      | $3727601.57    | 0.02%             | 2045-01-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3132ABC67<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     220928 | PA      | $213079.90     | 0.00%             | 2047-04-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140HEAL6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     347186 | PA      | $335354.49     | 0.00%             | 2048-07-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3128K3GR2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       5080 | PA      | $5359.41       | 0.00%             | 2036-02-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138WTPU4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     159119 | PA      | $152610.22     | 0.00%             | 2028-05-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae II Pool                               | CUSIP: 36179RTA7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    4580004 | PA      | $4460592.36    | 0.02%             | 2045-11-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140FMCZ7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    3370760 | PA      | $3141875.21    | 0.01%             | 2046-11-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140FR5Q4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     242380 | PA      | $235649.28     | 0.00%             | 2032-05-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140GQ4H6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1008050 | PA      | $969330.45     | 0.00%             | 2047-08-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31419JYH5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      39728 | PA      | $38672.24      | 0.00%             | 2040-11-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140XFZK0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    4764374 | PA      | $4706047.22    | 0.02%             | 2034-09-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31416WUD2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      39662 | PA      | $40521.50      | 0.00%             | 2040-09-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 312932WL6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      10782 | PA      | $11218.06      | 0.00%             | 2039-02-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31418DAB8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     854704 | PA      | $856408.21     | 0.00%             | 2034-01-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3128MJTJ9<br>LEI: 254900HROIFWPRGM1V77 | Long             | ABS-MBS          | USGSE             | US        |     608167 | PA      | $608013.15     | 0.00%             | 2043-10-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31410KFF6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     159741 | PA      | $168492.30     | 0.00%             | 2038-05-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae II Pool                               | CUSIP: 36179TUA1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      89181 | PA      | $84243.21      | 0.00%             | 2048-03-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae II Pool                               | CUSIP: 36179XHY5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    4990411 | PA      | $4881542.14    | 0.02%             | 2052-10-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3132JNEX1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       4588 | PA      | $4192.87       | 0.00%             | 2043-08-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3133KK7E3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |  110760527 | PA      | $91469126.02   | 0.39%             | 2051-02-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140F7JC4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      55109 | PA      | $51884.55      | 0.00%             | 2031-05-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140Q7UL9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     417096 | PA      | $392248.87     | 0.00%             | 2032-10-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3133ACSB5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    5472753 | PA      | $4737760.06    | 0.02%             | 2050-12-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae II Pool                               | CUSIP: 36179NX86<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      95920 | PA      | $98590.05      | 0.00%             | 2044-01-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140EBDW8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     580248 | PA      | $524736.50     | 0.00%             | 2046-02-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31385UMM2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        273 | PA      | $273.80        | 0.00%             | 2030-09-01      | Fixed         | 9.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138WGLR3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     895781 | PA      | $810082.64     | 0.00%             | 2046-02-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 31296WF44<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       6930 | PA      | $7032.21       | 0.00%             | 2034-03-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3128PPYY3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       1283 | PA      | $1269.63       | 0.00%             | 2024-10-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140H6D63<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     884595 | PA      | $880369.85     | 0.00%             | 2048-02-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae II Pool                               | CUSIP: 36179WB49<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    2268749 | PA      | $2248403.29    | 0.01%             | 2051-03-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 31292GNM4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |         62 | PA      | $62.38         | 0.00%             | 2025-04-01      | Fixed         | 9.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 31335GH57<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |         39 | PA      | $39.48         | 0.00%             | 2025-01-01      | Fixed         | 8.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31412LY87<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        470 | PA      | $503.15        | 0.00%             | 2037-10-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Non Gold Pool                        | CUSIP: 31300LWV3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     336677 | PA      | $335037.22     | 0.00%             | 2042-05-01      | Floating      | 2.94%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 36177UE91<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      84936 | PA      | $78001.38      | 0.00%             | 2042-09-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 31307HBT3<br>LEI: 254900HROIFWPRGM1V77 | Long             | ABS-MBS          | USGSE             | US        |      18312 | PA      | $17603.14      | 0.00%             | 2029-05-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140QDXB5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    7744040 | PA      | $6673741.29    | 0.03%             | 2050-06-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae II Pool                               | CUSIP: 36179MVR8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    1249189 | PA      | $1150617.08    | 0.00%             | 2042-12-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140XGYF0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   28246096 | PA      | $26095724.30   | 0.11%             | 2037-04-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138EBPS8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      23746 | PA      | $22391.94      | 0.00%             | 2042-03-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3128KDSF3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       1062 | PA      | $1120.89       | 0.00%             | 2036-08-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3132GTGV3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      37843 | PA      | $35719.25      | 0.00%             | 2042-04-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31418D5C2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    2043276 | PA      | $1835627.48    | 0.01%             | 2036-10-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31418EAP5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    3205682 | PA      | $2842566.74    | 0.01%             | 2052-01-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31418AUT3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1086792 | PA      | $962591.00     | 0.00%             | 2043-06-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140FPKS7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     803549 | PA      | $778650.62     | 0.00%             | 2047-01-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae II Pool                               | CUSIP: 36179WP93<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |  303020953 | PA      | $257893975.57  | 1.10%             | 2051-10-20      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31418AES3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      23282 | PA      | $21263.86      | 0.00%             | 2042-04-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 31339UD98<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     896848 | PA      | $800942.33     | 0.00%             | 2049-10-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3128MMMJ9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      14701 | PA      | $14442.22      | 0.00%             | 2025-08-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140F0JX3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1254722 | PA      | $1181302.57    | 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        |    3183285 | PA      | $2876695.28    | 0.01%             | 2047-02-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 36178DBV2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      85041 | PA      | $80840.69      | 0.00%             | 2042-07-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3132DMK38<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    3090995 | PA      | $2785605.89    | 0.01%             | 2050-03-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140J5DM8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    3842786 | PA      | $3617928.56    | 0.02%             | 2032-03-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140QQPZ2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    6683120 | PA      | $6608212.11    | 0.03%             | 2052-10-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140FTJF9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     130898 | PA      | $118290.91     | 0.00%             | 2047-01-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140H1M31<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    2506779 | PA      | $2425267.13    | 0.01%             | 2047-11-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140HLVU7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     768582 | PA      | $766776.65     | 0.00%             | 2048-11-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3132L5UN1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       2562 | PA      | $2561.53       | 0.00%             | 2043-10-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae II Pool                               | CUSIP: 36179MSB7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      16620 | PA      | $15963.85      | 0.00%             | 2027-11-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140H3ZK5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       7867 | PA      | $7104.33       | 0.00%             | 2047-12-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 312933PV0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      23590 | PA      | $22999.57      | 0.00%             | 2039-06-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3128KQDT0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       2691 | PA      | $2799.36       | 0.00%             | 2037-05-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 31292SA42<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    1969364 | PA      | $1800478.79    | 0.01%             | 2043-02-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31417DUL5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     983181 | PA      | $953524.31     | 0.00%             | 2027-11-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140J6GJ0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1533304 | PA      | $1429187.89    | 0.01%             | 2047-05-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae II Pool                               | CUSIP: 36179RGA1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    1969833 | PA      | $1918474.92    | 0.01%             | 2045-06-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 312942XS9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      51746 | PA      | $50419.73      | 0.00%             | 2040-10-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31415PKS6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       2240 | PA      | $2284.62       | 0.00%             | 2038-07-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138A2CX5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       7448 | PA      | $7446.27       | 0.00%             | 2040-12-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138WDME8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      16782 | PA      | $16264.85      | 0.00%             | 2044-12-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31414CLJ5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      78438 | PA      | $81532.12      | 0.00%             | 2038-03-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138ERC73<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     913979 | PA      | $883467.74     | 0.00%             | 2046-06-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 31335AVH8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      82894 | PA      | $82853.17      | 0.00%             | 2039-12-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 36290RX32<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        663 | PA      | $668.15        | 0.00%             | 2033-08-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31402C4G4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      30513 | PA      | $31417.33      | 0.00%             | 2034-05-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31412QZ85<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       5063 | PA      | $5061.04       | 0.00%             | 2040-01-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31371JWB6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        152 | PA      | $160.95        | 0.00%             | 2031-02-01      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3132XXNG0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     466190 | PA      | $471118.77     | 0.00%             | 2048-03-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140HPSC2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1204613 | PA      | $1190395.20    | 0.01%             | 2048-10-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138W9WK2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    2235127 | PA      | $2127712.82    | 0.01%             | 2043-10-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31406N4D3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        422 | PA      | $421.06        | 0.00%             | 2035-02-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3132QL4T7<br>LEI: 254900HROIFWPRGM1V77 | Long             | ABS-MBS          | USGSE             | US        |     873103 | PA      | $846994.23     | 0.00%             | 2045-01-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31410LNU2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     265504 | PA      | $270755.98     | 0.00%             | 2041-08-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae II Pool                               | CUSIP: 36179VVZ0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    2532252 | PA      | $2303653.69    | 0.01%             | 2050-10-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3128L5LH2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |        849 | PA      | $910.46        | 0.00%             | 2038-01-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 36178YRE7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     340855 | PA      | $324019.23     | 0.00%             | 2042-11-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3128MMLV3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |        554 | PA      | $545.72        | 0.00%             | 2025-02-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3132HNZH5<br>LEI: 254900HROIFWPRGM1V77 | Long             | ABS-MBS          | USGSE             | US        |     656903 | PA      | $600569.64     | 0.00%             | 2042-10-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3132A8XR5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      69931 | PA      | $65765.35      | 0.00%             | 2032-10-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140EVCG0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      25368 | PA      | $24038.85      | 0.00%             | 2031-01-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31371LCD9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      14447 | PA      | $14635.66      | 0.00%             | 2033-09-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140X8QK6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    3707881 | PA      | $3063806.10    | 0.01%             | 2050-11-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140JAND6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    9242224 | PA      | $8890819.65    | 0.04%             | 2047-08-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31413KZK0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       5460 | PA      | $5673.66       | 0.00%             | 2037-11-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140X6FF3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1105242 | PA      | $1070619.75    | 0.00%             | 2034-11-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 312939S51<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       2593 | PA      | $2651.71       | 0.00%             | 2040-03-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140QGES2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    4784858 | PA      | $4562495.58    | 0.02%             | 2050-12-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 36290QKC8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       3524 | PA      | $3591.43       | 0.00%             | 2033-09-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140M1R48<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1197612 | PA      | $1063069.51    | 0.00%             | 2051-10-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138XWFC7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       3313 | PA      | $3181.40       | 0.00%             | 2029-07-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 36291SRL6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       3207 | PA      | $3249.94       | 0.00%             | 2035-01-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 36176HP57<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      93841 | PA      | $89205.71      | 0.00%             | 2042-04-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138EADR5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      13467 | PA      | $13061.05      | 0.00%             | 2027-03-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31416WX72<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      16061 | PA      | $15667.60      | 0.00%             | 2025-10-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31412PHT1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1632025 | PA      | $1666269.90    | 0.01%             | 2039-04-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3128KFLQ1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       9029 | PA      | $9683.83       | 0.00%             | 2036-10-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3128M9VE9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      20485 | PA      | $20952.22      | 0.00%             | 2041-07-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3132M9MD3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     558772 | PA      | $542063.16     | 0.00%             | 2044-09-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 31335B7C4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    2067914 | PA      | $2006076.52    | 0.01%             | 2046-07-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 3620ARG88<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      15019 | PA      | $14723.92      | 0.00%             | 2040-09-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 36176FWT1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      45374 | PA      | $41669.53      | 0.00%             | 2042-09-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3132M6L57<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     178217 | PA      | $172887.62     | 0.00%             | 2044-05-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3128MJWR7<br>LEI: 254900HROIFWPRGM1V77 | Long             | ABS-MBS          | USGSE             | US        |    1233602 | PA      | $1193573.39    | 0.01%             | 2045-07-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138EK2M6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    4161046 | PA      | $4322776.71    | 0.02%             | 2040-09-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3132A5JD8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     249893 | PA      | $240297.44     | 0.00%             | 2048-03-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140X7LZ0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   23636912 | PA      | $21948177.02   | 0.09%             | 2050-06-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3133GADD5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    1636192 | PA      | $1514380.55    | 0.01%             | 2035-10-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31371JL36<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        449 | PA      | $478.52        | 0.00%             | 2030-06-01      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31416WE73<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    8512786 | PA      | $8697222.57    | 0.04%             | 2040-05-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138YNYC5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     540873 | PA      | $512529.70     | 0.00%             | 2030-06-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140GYJ59<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     297015 | PA      | $281486.02     | 0.00%             | 2048-02-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 3620ARCF6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      19035 | PA      | $19612.44      | 0.00%             | 2040-05-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140F1V82<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    3114445 | PA      | $2919095.25    | 0.01%             | 2046-06-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31371L6G9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       2393 | PA      | $2482.54       | 0.00%             | 2035-04-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3131XXFL0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     117633 | PA      | $109625.47     | 0.00%             | 2047-07-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31410WRE0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       3019 | PA      | $3183.90       | 0.00%             | 2037-08-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3131XYYX1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     138155 | PA      | $128750.59     | 0.00%             | 2047-12-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 31307CJV1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      10830 | PA      | $10396.50      | 0.00%             | 2028-05-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3132KFB84<br>LEI: 254900HROIFWPRGM1V77 | Long             | ABS-MBS          | USGSE             | US        |     188933 | PA      | $181043.19     | 0.00%             | 2030-09-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31416TL56<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     362893 | PA      | $370507.82     | 0.00%             | 2039-08-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae II Pool                               | CUSIP: 36179VZQ6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   60579376 | PA      | $51777398.78   | 0.22%             | 2050-12-20      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138ASXQ0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       7729 | PA      | $7460.27       | 0.00%             | 2026-10-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 36296GGY1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     175932 | PA      | $160442.85     | 0.00%             | 2047-06-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138ETAC0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1091970 | PA      | $996908.59     | 0.00%             | 2044-02-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31411AWZ4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       1355 | PA      | $1429.17       | 0.00%             | 2036-11-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3132M3QN0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       3956 | PA      | $3954.52       | 0.00%             | 2043-11-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae II Pool                               | CUSIP: 36202FY67<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     251040 | PA      | $246965.29     | 0.00%             | 2041-11-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138XBD50<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     680792 | PA      | $642291.39     | 0.00%             | 2044-06-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140JY7F7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     678095 | PA      | $656853.72     | 0.00%             | 2034-08-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138ML4K7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     437177 | PA      | $419483.44     | 0.00%             | 2027-11-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138EJX52<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1461157 | PA      | $1460730.14    | 0.01%             | 2042-01-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 31307C3H9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     260594 | PA      | $252949.78     | 0.00%             | 2028-06-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3133G6X91<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     618357 | PA      | $585349.32     | 0.00%             | 2034-09-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31417GL87<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    2467251 | PA      | $2252464.24    | 0.01%             | 2043-05-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae II Pool                               | CUSIP: 36202DXS5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     159744 | PA      | $163846.22     | 0.00%             | 2033-05-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140FCS33<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     911374 | PA      | $880224.08     | 0.00%             | 2047-02-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140J8PW7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    2157361 | PA      | $1949580.24    | 0.01%             | 2047-07-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3133A4S56<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     769911 | PA      | $718138.62     | 0.00%             | 2050-05-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138WMSW2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     209057 | PA      | $197057.26     | 0.00%             | 2043-09-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31417CKZ7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       2212 | PA      | $2122.91       | 0.00%             | 2027-07-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 36208VUH6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |         47 | PA      | $47.79         | 0.00%             | 2027-11-15      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31418DP63<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     361289 | PA      | $348879.78     | 0.00%             | 2035-06-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140FLSP4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      36091 | PA      | $32615.33      | 0.00%             | 2046-12-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3128MJXE5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     235672 | PA      | $220204.37     | 0.00%             | 2045-11-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3131XVYU3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    1718440 | PA      | $1552938.91    | 0.01%             | 2047-01-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 36209BC97<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       5462 | PA      | $5625.61       | 0.00%             | 2028-10-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 31306YTT8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       4807 | PA      | $4617.11       | 0.00%             | 2027-12-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140XCUR7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     453925 | PA      | $390041.12     | 0.00%             | 2051-09-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140KRCW7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1966748 | PA      | $1739826.34    | 0.01%             | 2050-11-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3133GAHC3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     575865 | PA      | $544840.85     | 0.00%             | 2035-10-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31411WXD4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       1121 | PA      | $1164.67       | 0.00%             | 2037-04-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140HDGH1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1548532 | PA      | $1488613.07    | 0.01%             | 2048-03-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31418CDK7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       6508 | PA      | $5689.31       | 0.00%             | 2046-11-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31416SVT5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      11187 | PA      | $11421.72      | 0.00%             | 2039-06-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31418SHR3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       6149 | PA      | $6003.44       | 0.00%             | 2025-09-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31416KLV8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       1395 | PA      | $1422.98       | 0.00%             | 2039-01-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138XXFZ4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       6948 | PA      | $6672.48       | 0.00%             | 2029-08-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3132DVKT1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    3705337 | PA      | $3573405.01    | 0.02%             | 2049-09-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 31293GAY1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       1958 | PA      | $2018.85       | 0.00%             | 2029-01-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140EATP8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      27677 | PA      | $25029.35      | 0.00%             | 2045-12-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138AKF95<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      92209 | PA      | $92181.75      | 0.00%             | 2041-07-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3132XCRX5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     219701 | PA      | $213095.14     | 0.00%             | 2047-01-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 31297MTZ1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       3269 | PA      | $3322.63       | 0.00%             | 2035-04-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138YBLZ4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     392589 | PA      | $377042.94     | 0.00%             | 2030-01-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3133L8GS8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   21467251 | PA      | $19285021.59   | 0.08%             | 2036-05-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140KBCY8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1194078 | PA      | $1120286.42    | 0.00%             | 2050-08-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3133AAC83<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    8795129 | PA      | $7572545.99    | 0.03%             | 2050-09-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae II Pool                               | CUSIP: 36179SQY6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     419460 | PA      | $420641.31     | 0.00%             | 2046-11-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 36196CZQ7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      20772 | PA      | $20589.81      | 0.00%             | 2046-10-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140JMTW2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     641569 | PA      | $646873.83     | 0.00%             | 2049-01-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3132QLRS4<br>LEI: 254900HROIFWPRGM1V77 | Long             | ABS-MBS          | USGSE             | US        |     530860 | PA      | $530981.68     | 0.00%             | 2044-12-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3128PTVN2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      51962 | PA      | $50735.44      | 0.00%             | 2026-01-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138WFKG0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     432461 | PA      | $391087.86     | 0.00%             | 2045-08-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3132WFQM4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     306841 | PA      | $279651.10     | 0.00%             | 2046-08-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 31292GNU6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |         65 | PA      | $65.33         | 0.00%             | 2025-05-01      | Fixed         | 8.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 31296SQT6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       3695 | PA      | $3809.14       | 0.00%             | 2034-01-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31410GFG3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       1169 | PA      | $1212.41       | 0.00%             | 2036-12-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31414EEJ9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        502 | PA      | $521.75        | 0.00%             | 2038-06-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31374GBN6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |         32 | PA      | $32.09         | 0.00%             | 2027-02-01      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3132JM2E8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      92846 | PA      | $90113.34      | 0.00%             | 2043-08-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 31292SBM1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    1818039 | PA      | $1715376.20    | 0.01%             | 2043-07-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 31292SA83<br>LEI: 254900HROIFWPRGM1V77 | Long             | ABS-MBS          | USGSE             | US        |     600013 | PA      | $532111.23     | 0.00%             | 2043-02-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140QBW20<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1897329 | PA      | $1795992.39    | 0.01%             | 2034-09-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140GNS38<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     339791 | PA      | $330355.46     | 0.00%             | 2032-06-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 31297QRH4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       6037 | PA      | $6135.41       | 0.00%             | 2035-06-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 3620ALWK6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       3800 | PA      | $3864.89       | 0.00%             | 2040-06-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138MF2H9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     170892 | PA      | $161317.36     | 0.00%             | 2042-11-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140FBG20<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1434741 | PA      | $1303800.62    | 0.01%             | 2046-07-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140JJUW7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     309206 | PA      | $298669.46     | 0.00%             | 2049-02-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140XACJ9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     172935 | PA      | $174361.15     | 0.00%             | 2050-03-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3128M8YY4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      45714 | PA      | $47197.22      | 0.00%             | 2037-01-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 312940EQ8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      76955 | PA      | $77006.48      | 0.00%             | 2040-04-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31410KLN2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       2185 | PA      | $2266.20       | 0.00%             | 2037-08-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae II Pool                               | CUSIP: 36179TLQ6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     103413 | PA      | $92292.50      | 0.00%             | 2047-11-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 312943YS6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       1253 | PA      | $1253.87       | 0.00%             | 2040-11-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 36208YJC4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |         63 | PA      | $63.95         | 0.00%             | 2028-08-15      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140HEUS9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     619973 | PA      | $581873.48     | 0.00%             | 2048-03-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3133KNB44<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   19424677 | PA      | $16641388.22   | 0.07%             | 2051-12-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 31329MDL1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    3084256 | PA      | $2962194.21    | 0.01%             | 2029-04-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3128MFDB1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   17682324 | PA      | $16663844.53   | 0.07%             | 2032-01-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140K4VR8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     531005 | PA      | $492346.99     | 0.00%             | 2034-11-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3132GRB75<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     221485 | PA      | $209037.97     | 0.00%             | 2042-02-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3128MJDW7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       1789 | PA      | $1857.74       | 0.00%             | 2036-03-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140K9YX1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1455866 | PA      | $1380257.78    | 0.01%             | 2050-03-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140Q85Z4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1442125 | PA      | $1367325.43    | 0.01%             | 2047-11-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3132Y0LA6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    1219139 | PA      | $1205931.31    | 0.01%             | 2048-06-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140LQBA7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    5509979 | PA      | $4559190.72    | 0.02%             | 2051-07-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31402RDD8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       2152 | PA      | $2232.22       | 0.00%             | 2035-05-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 31283GRG4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |        142 | PA      | $143.70        | 0.00%             | 2026-06-01      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3128MMVZ3<br>LEI: 254900HROIFWPRGM1V77 | Long             | ABS-MBS          | USGSE             | US        |    4171302 | PA      | $3931040.13    | 0.02%             | 2032-02-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae II Pool                               | CUSIP: 36202FSL1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       8689 | PA      | $8630.21       | 0.00%             | 2026-04-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 36206KPZ8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |         84 | PA      | $83.53         | 0.00%             | 2026-04-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3131Y9DC4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    4249568 | PA      | $4199418.66    | 0.02%             | 2049-01-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138WAQM2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       3340 | PA      | $3271.13       | 0.00%             | 2028-12-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3133KP6Y9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    9108000 | PA      | $9074812.71    | 0.04%             | 2052-10-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31414ANH1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        886 | PA      | $920.47        | 0.00%             | 2037-12-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 31307P2N8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       7998 | PA      | $7586.75       | 0.00%             | 2031-01-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138ATF62<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      47619 | PA      | $47604.78      | 0.00%             | 2041-10-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31404GS85<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       6954 | PA      | $7160.21       | 0.00%             | 2034-01-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140FCY69<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      84914 | PA      | $84102.08      | 0.00%             | 2046-08-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138Y9AR9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       2977 | PA      | $2859.54       | 0.00%             | 2029-11-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3133ANBV5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    4540367 | PA      | $4025436.94    | 0.02%             | 2051-07-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 36201MQQ8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        409 | PA      | $419.25        | 0.00%             | 2032-10-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 31283GTM9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |        453 | PA      | $463.50        | 0.00%             | 2026-09-01      | Fixed         | 8.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3128K7XS2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       1707 | PA      | $1771.57       | 0.00%             | 2031-08-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31414QLM7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        133 | PA      | $132.35        | 0.00%             | 2023-02-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31418DYY2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    3783881 | PA      | $3246461.38    | 0.01%             | 2051-05-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3133ACX52<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    1110615 | PA      | $915634.32     | 0.00%             | 2050-12-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140JKUE4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     718527 | PA      | $690724.57     | 0.00%             | 2049-02-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 36296XSF2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      10159 | PA      | $10194.54      | 0.00%             | 2039-03-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 36213DG44<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        823 | PA      | $869.40        | 0.00%             | 2031-08-15      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 36206BQ46<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        376 | PA      | $377.98        | 0.00%             | 2026-04-15      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140HAM56<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     694323 | PA      | $620076.91     | 0.00%             | 2049-06-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140X4GR1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     100741 | PA      | $96871.80      | 0.00%             | 2049-06-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3132WDYZ1<br>LEI: 254900HROIFWPRGM1V77 | Long             | ABS-MBS          | USGSE             | US        |    1033455 | PA      | $1030622.78    | 0.00%             | 2046-05-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3132A5G90<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     338065 | PA      | $334545.57     | 0.00%             | 2047-06-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140F0UQ5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1756138 | PA      | $1702809.25    | 0.01%             | 2044-10-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3133G9WF2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     916879 | PA      | $823811.18     | 0.00%             | 2035-09-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae II Pool                               | CUSIP: 36179MQS2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       1434 | PA      | $1471.95       | 0.00%             | 2042-10-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138WEGX1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       9745 | PA      | $9234.42       | 0.00%             | 2030-04-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3133L8T39<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   23975952 | PA      | $21538702.59   | 0.09%             | 2036-11-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31414EGP3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       6679 | PA      | $6673.69       | 0.00%             | 2038-06-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3128KJN81<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      18467 | PA      | $19495.23      | 0.00%             | 2036-12-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 36296KTY8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        505 | PA      | $521.87        | 0.00%             | 2038-07-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3128MBW86<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |        232 | PA      | $231.17        | 0.00%             | 2023-06-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 31287NNC8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       7374 | PA      | $7628.75       | 0.00%             | 2032-01-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140QBUK2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1435840 | PA      | $1417266.07    | 0.01%             | 2049-09-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3133A36A1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   11674115 | PA      | $10408814.15   | 0.04%             | 2050-04-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 36212WUS4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       4330 | PA      | $4482.87       | 0.00%             | 2035-08-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138AFRS1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      38513 | PA      | $37416.07      | 0.00%             | 2041-05-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 36212DLN7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       2100 | PA      | $2178.41       | 0.00%             | 2030-12-15      | Fixed         | 8.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3128KJXJ6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |        443 | PA      | $468.01        | 0.00%             | 2037-01-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3128MJU24<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       6036 | PA      | $6024.04       | 0.00%             | 2044-08-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3133GAKQ8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    3094209 | PA      | $2861189.58    | 0.01%             | 2035-11-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138WHN73<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      54973 | PA      | $50146.51      | 0.00%             | 2046-07-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae II Pool                               | CUSIP: 36179VN48<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    6806993 | PA      | $6379575.82    | 0.03%             | 2050-06-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138XYAB0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       9268 | PA      | $8982.41       | 0.00%             | 2045-01-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3128M5RA0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       5031 | PA      | $5311.89       | 0.00%             | 2038-01-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31406TFG1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       1502 | PA      | $1524.94       | 0.00%             | 2035-08-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138ELQX4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      14059 | PA      | $14041.85      | 0.00%             | 2043-09-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140KNF94<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1062967 | PA      | $996949.64     | 0.00%             | 2050-09-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3128M6AP3<br>LEI: 254900HROIFWPRGM1V77 | Long             | ABS-MBS          | USGSE             | US        |     257588 | PA      | $268011.47     | 0.00%             | 2038-05-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 31292LPX7<br>LEI: 254900HROIFWPRGM1V77 | Long             | ABS-MBS          | USGSE             | US        |     426724 | PA      | $402775.75     | 0.00%             | 2042-06-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 31297VS74<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      30398 | PA      | $31562.03      | 0.00%             | 2035-10-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31412RFW2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       1402 | PA      | $1377.90       | 0.00%             | 2025-04-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae II Pool                               | CUSIP: 36179MXC9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      15143 | PA      | $14544.83      | 0.00%             | 2028-01-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 36241KQ92<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       3255 | PA      | $3415.38       | 0.00%             | 2038-02-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140X64G3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      12647 | PA      | $12055.33      | 0.00%             | 2035-02-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140ECRN1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1301463 | PA      | $1213089.90    | 0.01%             | 2046-04-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31402CPR7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        209 | PA      | $217.05        | 0.00%             | 2033-09-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae II Pool                               | CUSIP: 3622A2RT1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    7162137 | PA      | $6574020.25    | 0.03%             | 2045-12-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae II Pool                               | CUSIP: 36179SQZ3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    1060036 | PA      | $1088849.61    | 0.00%             | 2046-11-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3133A1RS3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     488945 | PA      | $457560.52     | 0.00%             | 2050-02-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3132A5G58<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     293660 | PA      | $290602.81     | 0.00%             | 2047-05-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 36294V4K3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       1017 | PA      | $1069.63       | 0.00%             | 2036-11-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140KTFA8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    2083035 | PA      | $1791752.22    | 0.01%             | 2050-11-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31384WKX7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        954 | PA      | $986.48        | 0.00%             | 2031-04-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31405PVB3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      12679 | PA      | $13512.25      | 0.00%             | 2034-09-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3133L8KR5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    2024379 | PA      | $1818593.28    | 0.01%             | 2036-07-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140Q7PG6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     993545 | PA      | $934358.12     | 0.00%             | 2032-09-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3128M6VF2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       3423 | PA      | $3561.61       | 0.00%             | 2038-10-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae II Pool                               | CUSIP: 36179MK66<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     165207 | PA      | $152170.85     | 0.00%             | 2042-08-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3128M7ME3<br>LEI: 254900HROIFWPRGM1V77 | Long             | ABS-MBS          | USGSE             | US        |    2319014 | PA      | $2320325.63    | 0.01%             | 2039-05-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31418CDN1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     437080 | PA      | $420461.77     | 0.00%             | 2046-11-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31413NX26<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      16952 | PA      | $18157.21      | 0.00%             | 2037-10-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138WKQD0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    3644382 | PA      | $3396326.70    | 0.01%             | 2047-04-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140E5Y40<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      12147 | PA      | $10984.78      | 0.00%             | 2045-12-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31371LX38<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       2516 | PA      | $2594.45       | 0.00%             | 2034-12-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3132A5CC7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       4454 | PA      | $4316.69       | 0.00%             | 2044-05-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae II Pool                               | CUSIP: 36202EK81<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        434 | PA      | $451.24        | 0.00%             | 2036-11-20      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31416CCW4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1976129 | PA      | $2017594.09    | 0.01%             | 2039-04-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138WJQ27<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    3052914 | PA      | $2845612.35    | 0.01%             | 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        |     235722 | PA      | $238269.80     | 0.00%             | 2048-12-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31371NUX1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        445 | PA      | $490.11        | 0.00%             | 2038-05-01      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 312933AN4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      66630 | PA      | $68102.97      | 0.00%             | 2039-05-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31417VUG6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       1631 | PA      | $1605.83       | 0.00%             | 2025-02-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31378TQU2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        498 | PA      | $512.69        | 0.00%             | 2028-03-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140QBFW3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     432006 | PA      | $431678.28     | 0.00%             | 2034-06-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138X2RR7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      28792 | PA      | $26285.07      | 0.00%             | 2043-08-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138YSRG3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      65852 | PA      | $63042.76      | 0.00%             | 2030-06-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138EKET8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    2896298 | PA      | $2895450.73    | 0.01%             | 2042-07-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 3620AKPE0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      15537 | PA      | $15590.66      | 0.00%             | 2040-03-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31408DK94<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      23586 | PA      | $24464.15      | 0.00%             | 2035-11-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3131YDCP7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     698570 | PA      | $676717.93     | 0.00%             | 2034-05-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3128PRPG8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       1644 | PA      | $1623.38       | 0.00%             | 2025-05-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138YJS23<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       4786 | PA      | $4626.30       | 0.00%             | 2045-03-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31374NA93<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        151 | PA      | $151.26        | 0.00%             | 2025-08-01      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3131XVS63<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     929941 | PA      | $840379.42     | 0.00%             | 2047-01-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 36296U3U2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      26573 | PA      | $26666.25      | 0.00%             | 2039-03-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 36230SZQ0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       7433 | PA      | $7458.41       | 0.00%             | 2041-01-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140X8NG8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   24560961 | PA      | $22098460.59   | 0.09%             | 2050-11-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3128M5M56<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      13728 | PA      | $14253.85      | 0.00%             | 2035-11-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140J8EY5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      96532 | PA      | $93851.23      | 0.00%             | 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        |   96260943 | PA      | $79245743.20   | 0.34%             | 2052-02-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140E45H6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       3606 | PA      | $3513.96       | 0.00%             | 2046-03-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 36292HRD7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       5040 | PA      | $5166.47       | 0.00%             | 2035-10-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 3620A2XC5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      27567 | PA      | $27663.84      | 0.00%             | 2039-06-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3132QUVE0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     247540 | PA      | $224083.58     | 0.00%             | 2045-12-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 31307UF86<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     486746 | PA      | $473658.87     | 0.00%             | 2032-07-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 36296Q6S3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        793 | PA      | $796.14        | 0.00%             | 2039-08-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140KRCZ0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    3868172 | PA      | $3323340.44    | 0.01%             | 2050-11-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 31297H4M8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       3540 | PA      | $3591.74       | 0.00%             | 2035-02-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138ERMW7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    2194722 | PA      | $2066299.79    | 0.01%             | 2031-11-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3128M62T4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       5270 | PA      | $5481.43       | 0.00%             | 2037-11-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 3620C34N9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      44406 | PA      | $43532.39      | 0.00%             | 2040-12-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138WAQ91<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       5030 | PA      | $4876.78       | 0.00%             | 2043-12-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138X3XU1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      26272 | PA      | $25473.98      | 0.00%             | 2043-09-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 31306XMG5<br>LEI: 254900HROIFWPRGM1V77 | Long             | ABS-MBS          | USGSE             | US        |     199143 | PA      | $193327.88     | 0.00%             | 2027-09-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3131Y0DQ2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    1012640 | PA      | $978038.86     | 0.00%             | 2048-02-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 36201PLF0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       2216 | PA      | $2273.94       | 0.00%             | 2032-07-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3128KWYR8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |        556 | PA      | $586.78        | 0.00%             | 2037-09-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3128L0RF1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |        476 | PA      | $502.56        | 0.00%             | 2037-11-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3132FEAH4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       2366 | PA      | $2332.00       | 0.00%             | 2025-01-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31407JWH1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        856 | PA      | $868.94        | 0.00%             | 2035-08-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31410KPC2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        437 | PA      | $454.06        | 0.00%             | 2038-07-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138Y47E3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     204067 | PA      | $196881.05     | 0.00%             | 2027-06-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3133A3VA3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     925183 | PA      | $884236.36     | 0.00%             | 2050-04-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Non Gold Pool                        | CUSIP: 3128UHER2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     327264 | PA      | $322159.67     | 0.00%             | 2041-09-01      | Floating      | 4.13%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140Q83A1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     229340 | PA      | $221169.84     | 0.00%             | 2048-05-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae II Pool                               | CUSIP: 3622AAYJ7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    2517710 | PA      | $2207804.43    | 0.01%             | 2051-02-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae II Pool                               | CUSIP: 36179SLT2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    2016384 | PA      | $1960514.21    | 0.01%             | 2046-09-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140EWCK9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     513936 | PA      | $483863.79     | 0.00%             | 2031-06-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 36176DHH9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      24624 | PA      | $24710.88      | 0.00%             | 2041-03-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 36206W6X8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |         43 | PA      | $43.93         | 0.00%             | 2026-08-15      | Fixed         | 8.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 31335BQZ2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      14000 | PA      | $13038.94      | 0.00%             | 2048-05-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31388DS33<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        555 | PA      | $574.51        | 0.00%             | 2031-08-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae                                       | CUSIP: 21H0406C2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   63288000 | PA      | $60407901.09   | 0.26%             | 2052-12-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31419ASU2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     180761 | PA      | $184336.87     | 0.00%             | 2040-09-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae II Pool                               | CUSIP: 36179WR26<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   37588938 | PA      | $33012572.77   | 0.14%             | 2051-11-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3128MDXH1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |        379 | PA      | $373.39        | 0.00%             | 2025-06-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31407M2K0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     195383 | PA      | $202653.03     | 0.00%             | 2035-09-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31412MDC9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       1702 | PA      | $1769.18       | 0.00%             | 2037-12-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 3620ARUZ2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      13830 | PA      | $13877.91      | 0.00%             | 2040-12-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31414BUX6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        280 | PA      | $285.55        | 0.00%             | 2038-02-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138WXYT8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     261545 | PA      | $254282.11     | 0.00%             | 2032-04-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140FD3R5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      30120 | PA      | $28357.89      | 0.00%             | 2031-09-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 3620AM3F7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       7250 | PA      | $7275.17       | 0.00%             | 2041-04-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31417NZY0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     461807 | PA      | $471496.99     | 0.00%             | 2039-09-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3132L6ER8<br>LEI: 254900HROIFWPRGM1V77 | Long             | ABS-MBS          | USGSE             | US        |     121634 | PA      | $107857.28     | 0.00%             | 2043-08-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31412V4G0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       1355 | PA      | $1407.76       | 0.00%             | 2037-07-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae II Pool                               | CUSIP: 36184SYG9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     204141 | PA      | $198818.56     | 0.00%             | 2045-04-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 36177QZG1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     198892 | PA      | $194487.52     | 0.00%             | 2042-02-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140KCBV3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     717333 | PA      | $692694.69     | 0.00%             | 2035-05-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31419JS41<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      17402 | PA      | $17779.33      | 0.00%             | 2040-11-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31406RLJ2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       5022 | PA      | $5208.94       | 0.00%             | 2035-11-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3133APTJ8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    7065700 | PA      | $6055273.65    | 0.03%             | 2051-08-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140K2FD1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    3390435 | PA      | $3032641.31    | 0.01%             | 2049-12-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3133A1PH9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    1674149 | PA      | $1554091.11    | 0.01%             | 2050-02-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae II Pool                               | CUSIP: 36179WLP1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |  113170908 | PA      | $99497630.61   | 0.42%             | 2051-08-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3129367L5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       2629 | PA      | $2630.66       | 0.00%             | 2039-11-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 36296YQE5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       1976 | PA      | $2008.18       | 0.00%             | 2039-08-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31418EDG2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    2840295 | PA      | $2548790.05    | 0.01%             | 2037-05-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140KFK79<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  100101564 | PA      | $86002275.68   | 0.37%             | 2050-11-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 36203UJP8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |         26 | PA      | $25.99         | 0.00%             | 2024-01-15      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 36201KAL0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       2846 | PA      | $2929.94       | 0.00%             | 2033-02-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 31292HWJ9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       1954 | PA      | $2058.41       | 0.00%             | 2033-04-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 31335A5B0<br>LEI: 254900HROIFWPRGM1V77 | Long             | ABS-MBS          | USGSE             | US        |    1306885 | PA      | $1202392.58    | 0.01%             | 2047-01-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140FPXH7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      51649 | PA      | $46674.63      | 0.00%             | 2047-01-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140FGEK1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      50818 | PA      | $44423.01      | 0.00%             | 2046-09-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3128K8CJ3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |        963 | PA      | $999.71        | 0.00%             | 2035-10-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31417GWZ5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     759406 | PA      | $693295.95     | 0.00%             | 2043-06-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140M7R60<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    7057110 | PA      | $5830955.60    | 0.02%             | 2051-12-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3128MDGE7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     176178 | PA      | $171032.67     | 0.00%             | 2027-06-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31418CA87<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     211341 | PA      | $184746.04     | 0.00%             | 2046-08-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138WFYS9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      15728 | PA      | $15056.87      | 0.00%             | 2030-11-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31418WDC1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     352027 | PA      | $345443.75     | 0.00%             | 2025-09-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3128M7HT6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      17952 | PA      | $18327.51      | 0.00%             | 2039-01-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138YXQJ7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     339694 | PA      | $331155.27     | 0.00%             | 2045-06-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31365EBB8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |          5 | PA      | $5.41          | 0.00%             | 2023-09-01      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140KGDW0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    2629237 | PA      | $2328759.47    | 0.01%             | 2050-06-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 31292HU28<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       3259 | PA      | $3359.73       | 0.00%             | 2033-03-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138E4YL9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     333893 | PA      | $330212.63     | 0.00%             | 2042-02-01      | Floating      | 2.24%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31410LTX0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     281036 | PA      | $274314.66     | 0.00%             | 2046-08-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 31296M2N8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       3704 | PA      | $3901.37       | 0.00%             | 2033-09-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3133KM7A7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    4876720 | PA      | $4179220.57    | 0.02%             | 2051-11-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138EMUJ8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    7353113 | PA      | $7344128.24    | 0.03%             | 2044-03-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3133KKQY8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    3465770 | PA      | $2964340.06    | 0.01%             | 2050-12-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31400ECS7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       4447 | PA      | $4586.07       | 0.00%             | 2034-06-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138AVQN8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       1677 | PA      | $1676.50       | 0.00%             | 2041-10-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3128PWDD7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       5014 | PA      | $4882.71       | 0.00%             | 2026-08-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31417Y2C0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      14562 | PA      | $14188.63      | 0.00%             | 2026-06-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31412HN96<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       3288 | PA      | $3353.24       | 0.00%             | 2038-04-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae II Pool                               | CUSIP: 36179T7L3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    5512216 | PA      | $5462782.69    | 0.02%             | 2048-08-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31418AD96<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      76026 | PA      | $71690.63      | 0.00%             | 2042-04-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 31293QFP3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |         42 | PA      | $43.75         | 0.00%             | 2029-05-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140KRTK5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   19271792 | PA      | $17300313.20   | 0.07%             | 2035-11-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138EGNG5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    3308997 | PA      | $3380688.93    | 0.01%             | 2041-05-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae II Pool                               | CUSIP: 36179TG58<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     873953 | PA      | $848650.60     | 0.00%             | 2047-09-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3132AAQY3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     177773 | PA      | $172623.90     | 0.00%             | 2044-12-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140F0GB4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     920803 | PA      | $858277.33     | 0.00%             | 2046-03-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3133G7AL7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    2055237 | PA      | $1945528.56    | 0.01%             | 2034-11-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae II Pool                               | CUSIP: 36179TV93<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      76741 | PA      | $79504.64      | 0.00%             | 2048-04-20      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140XBLT5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   12717794 | PA      | $12229297.07   | 0.05%             | 2049-06-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3128M5VF4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |        225 | PA      | $240.67        | 0.00%             | 2038-02-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138EKZU2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     823105 | PA      | $754772.68     | 0.00%             | 2043-04-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31417VN41<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      25690 | PA      | $25679.28      | 0.00%             | 2039-12-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31415AVN8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      12340 | PA      | $13179.94      | 0.00%             | 2038-06-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae II Pool                               | CUSIP: 36179UKZ4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    3842440 | PA      | $3883976.35    | 0.02%             | 2049-01-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140X8BA4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1897225 | PA      | $1691662.07    | 0.01%             | 2050-09-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae II Pool                               | CUSIP: 36179RXE4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    1185125 | PA      | $1154226.13    | 0.00%             | 2046-01-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140H7QS9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     208402 | PA      | $195987.22     | 0.00%             | 2032-12-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 36206LV63<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        204 | PA      | $207.42        | 0.00%             | 2025-11-15      | Fixed         | 8.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140LQBJ8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1310655 | PA      | $1086009.29    | 0.00%             | 2051-07-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 36208V6G5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |         44 | PA      | $44.77         | 0.00%             | 2028-04-15      | Fixed         | 8.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae II Pool                               | CUSIP: 36179RVB2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    6683563 | PA      | $6337471.93    | 0.03%             | 2045-12-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3128MBVR5<br>LEI: 254900HROIFWPRGM1V77 | Long             | ABS-MBS          | USGSE             | US        |          7 | PA      | $6.55          | 0.00%             | 2022-12-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 313970UN3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |         74 | PA      | $73.85         | 0.00%             | 2023-04-01      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31418AFY9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      66350 | PA      | $64348.33      | 0.00%             | 2027-06-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae II Pool                               | CUSIP: 36179W7J1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    4114251 | PA      | $3607839.13    | 0.02%             | 2052-06-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31418C5Q3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     463505 | PA      | $464429.09     | 0.00%             | 2033-12-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140XD3V6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   22879615 | PA      | $20573895.94   | 0.09%             | 2036-12-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138E5CE6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      28097 | PA      | $27089.96      | 0.00%             | 2027-02-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138W92G4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     580374 | PA      | $529849.76     | 0.00%             | 2043-10-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140FPP78<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     511664 | PA      | $480937.76     | 0.00%             | 2046-12-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 36297ABT9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        823 | PA      | $848.03        | 0.00%             | 2039-01-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140QBKN7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    3465589 | PA      | $3280491.33    | 0.01%             | 2034-07-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140EUE70<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      49990 | PA      | $46664.08      | 0.00%             | 2046-01-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3132XVEV1<br>LEI: 254900HROIFWPRGM1V77 | Long             | ABS-MBS          | USGSE             | US        |    1259321 | PA      | $1174774.16    | 0.01%             | 2047-12-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 36224WM59<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |         58 | PA      | $57.68         | 0.00%             | 2023-02-15      | Fixed         | 8.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 31283HJ71<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |         63 | PA      | $64.89         | 0.00%             | 2031-02-01      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae II Pool                               | CUSIP: 36202C5C3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        219 | PA      | $223.17        | 0.00%             | 2028-09-20      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31385JKZ0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       7336 | PA      | $7634.81       | 0.00%             | 2032-08-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138X1V94<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1713606 | PA      | $1623808.38    | 0.01%             | 2030-05-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 36295CKS9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     623460 | PA      | $572535.02     | 0.00%             | 2043-09-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3132QQH62<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     592000 | PA      | $557336.69     | 0.00%             | 2045-06-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3133AQPD3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    5068756 | PA      | $4195521.09    | 0.02%             | 2051-07-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3128MCHE8<br>LEI: 254900HROIFWPRGM1V77 | Long             | ABS-MBS          | USGSE             | US        |      26910 | PA      | $26641.75      | 0.00%             | 2024-08-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 312934VQ2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      20838 | PA      | $20849.80      | 0.00%             | 2039-08-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 31297HXF1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      24871 | PA      | $25678.33      | 0.00%             | 2035-01-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140Q9VM2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       6677 | PA      | $6598.28       | 0.00%             | 2048-10-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31382F5L9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |         88 | PA      | $90.83         | 0.00%             | 2029-01-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31414GG60<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       1670 | PA      | $1762.00       | 0.00%             | 2038-01-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3128M86L3<br>LEI: 254900HROIFWPRGM1V77 | Long             | ABS-MBS          | USGSE             | US        |       3775 | PA      | $3919.25       | 0.00%             | 2038-12-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3132GSUC1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     183339 | PA      | $173232.49     | 0.00%             | 2042-04-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3128M85S9<br>LEI: 254900HROIFWPRGM1V77 | Long             | ABS-MBS          | USGSE             | US        |    1173791 | PA      | $1221183.35    | 0.01%             | 2039-11-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 31329N6T0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     459943 | PA      | $442149.04     | 0.00%             | 2048-05-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31416BW46<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      10584 | PA      | $11164.34      | 0.00%             | 2038-11-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3128LXQD5<br>LEI: 254900HROIFWPRGM1V77 | Long             | ABS-MBS          | USGSE             | US        |     636771 | PA      | $662298.50     | 0.00%             | 2036-07-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 31297DPR3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |        407 | PA      | $429.49        | 0.00%             | 2034-08-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138ASWB4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      23685 | PA      | $23010.20      | 0.00%             | 2041-09-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31406PAU3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       8817 | PA      | $9145.49       | 0.00%             | 2035-03-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 3620ASAM1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      30223 | PA      | $30329.59      | 0.00%             | 2041-03-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3133KGTR9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     606766 | PA      | $541880.75     | 0.00%             | 2049-10-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 31335AYG7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     374625 | PA      | $374876.41     | 0.00%             | 2045-07-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3132GVG97<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    1787828 | PA      | $1736552.58    | 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        |     125816 | PA      | $124613.20     | 0.00%             | 2047-01-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 36296Q3X5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      96220 | PA      | $94547.99      | 0.00%             | 2024-08-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31413F4X7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        289 | PA      | $304.35        | 0.00%             | 2037-07-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140F0FJ8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     180279 | PA      | $168037.72     | 0.00%             | 2046-06-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae II Pool                               | CUSIP: 36179SYR2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   17003961 | PA      | $15602334.43   | 0.07%             | 2047-03-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3132KE6L4<br>LEI: 254900HROIFWPRGM1V77 | Long             | ABS-MBS          | USGSE             | US        |    1507238 | PA      | $1444298.89    | 0.01%             | 2030-07-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138ELAR4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       2758 | PA      | $2684.55       | 0.00%             | 2026-12-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 31292GTF3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |         41 | PA      | $43.03         | 0.00%             | 2027-09-01      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 36292LRZ9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       1607 | PA      | $1678.65       | 0.00%             | 2036-03-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3128PS6T9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    1034451 | PA      | $1010813.72    | 0.00%             | 2025-11-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138AJY22<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       2882 | PA      | $2799.82       | 0.00%             | 2041-09-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31410KXK5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      65800 | PA      | $68380.02      | 0.00%             | 2038-11-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 31335GDR3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |          5 | PA      | $5.22          | 0.00%             | 2024-02-01      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140QBHB7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    9493691 | PA      | $9164538.85    | 0.04%             | 2049-07-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31382FH36<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        838 | PA      | $869.00        | 0.00%             | 2029-03-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140QNFJ6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   28868112 | PA      | $24706423.53   | 0.11%             | 2052-02-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 36296XJP0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       5708 | PA      | $5970.96       | 0.00%             | 2039-01-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140M83L1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    2055069 | PA      | $1760958.39    | 0.01%             | 2051-12-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31411JPQ3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      57986 | PA      | $61147.18      | 0.00%             | 2037-02-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3128MJZG8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     311212 | PA      | $290374.54     | 0.00%             | 2047-01-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31382WYY2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        611 | PA      | $633.33        | 0.00%             | 2029-06-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 31297DCJ5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |        269 | PA      | $284.02        | 0.00%             | 2034-08-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140KLHD7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    2679465 | PA      | $2405392.91    | 0.01%             | 2035-10-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 31297SLG8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       5731 | PA      | $5824.72       | 0.00%             | 2035-08-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3128MMTW3<br>LEI: 254900HROIFWPRGM1V77 | Long             | ABS-MBS          | USGSE             | US        |      12404 | PA      | $11765.39      | 0.00%             | 2030-08-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3132QRM31<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      14721 | PA      | $14627.92      | 0.00%             | 2045-07-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31415PYM4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       2432 | PA      | $2528.26       | 0.00%             | 2038-06-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3133B4CV5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   20283734 | PA      | $18627164.27   | 0.08%             | 2052-02-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3128CUWF9<br>LEI: 254900HROIFWPRGM1V77 | Long             | ABS-MBS          | USGSE             | US        |    1547567 | PA      | $1469290.34    | 0.01%             | 2033-05-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140J9KD2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1282678 | PA      | $1290566.95    | 0.01%             | 2046-06-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 36209LLL8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        327 | PA      | $336.95        | 0.00%             | 2029-07-15      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31412APN8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      35647 | PA      | $38071.86      | 0.00%             | 2038-05-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138M5VQ9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     371279 | PA      | $350106.85     | 0.00%             | 2042-08-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3132XVR21<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    3171174 | PA      | $3008314.57    | 0.01%             | 2047-12-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140JKYD2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     161244 | PA      | $155004.87     | 0.00%             | 2049-01-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140JXBU1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     809535 | PA      | $766297.22     | 0.00%             | 2034-08-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140KUK50<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    5829144 | PA      | $5106599.30    | 0.02%             | 2035-12-01      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 36203AV29<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |         15 | PA      | $15.28         | 0.00%             | 2023-07-15      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 36296Q3G2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      24094 | PA      | $24178.45      | 0.00%             | 2039-07-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3128LXEL0<br>LEI: 254900HROIFWPRGM1V77 | Long             | ABS-MBS          | USGSE             | US        |      10214 | PA      | $10432.62      | 0.00%             | 2032-04-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31418CCM4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    3385146 | PA      | $3187067.25    | 0.01%             | 2031-10-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138Y5VV5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      26884 | PA      | $25819.30      | 0.00%             | 2029-12-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140F0JJ4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1980022 | PA      | $1789321.42    | 0.01%             | 2046-10-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 31292HKY9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       1172 | PA      | $1253.72       | 0.00%             | 2031-08-01      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31418CJS4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     228858 | PA      | $222502.48     | 0.00%             | 2032-04-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae II Pool                               | CUSIP: 36179W2U1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   41783637 | PA      | $36591621.02   | 0.16%             | 2052-04-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140E2P96<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       4537 | PA      | $4102.94       | 0.00%             | 2045-10-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140HMMY7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1566095 | PA      | $1548960.28    | 0.01%             | 2048-11-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31406PHY8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       1125 | PA      | $1184.21       | 0.00%             | 2035-02-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31414FFS5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       1742 | PA      | $1837.73       | 0.00%             | 2038-08-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138WAPT8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       5344 | PA      | $5337.66       | 0.00%             | 2043-12-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 31288H7C8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |        143 | PA      | $150.91        | 0.00%             | 2033-05-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 31307UPT9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     247319 | PA      | $232821.27     | 0.00%             | 2032-09-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3132L93U7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    1518003 | PA      | $1416364.24    | 0.01%             | 2047-01-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138AXBL4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     134318 | PA      | $134278.73     | 0.00%             | 2041-11-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140EXHC0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      66816 | PA      | $62278.78      | 0.00%             | 2046-03-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 36241LH58<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    1423487 | PA      | $1495239.92    | 0.01%             | 2040-01-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3131Y0BE1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     332822 | PA      | $302294.41     | 0.00%             | 2048-01-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae II Pool                               | CUSIP: 3622ABYU0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    2400399 | PA      | $2237343.30    | 0.01%             | 2052-03-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3128M9GS5<br>LEI: 254900HROIFWPRGM1V77 | Long             | ABS-MBS          | USGSE             | US        |    3381972 | PA      | $3448095.28    | 0.01%             | 2039-08-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3132CWXR0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   39884182 | PA      | $35829799.80   | 0.15%             | 2037-02-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae II Pool                               | CUSIP: 36179RGB9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     143536 | PA      | $143940.36     | 0.00%             | 2045-06-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3128M6VG0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |        521 | PA      | $531.44        | 0.00%             | 2038-09-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31414D4X1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       1784 | PA      | $1819.12       | 0.00%             | 2038-06-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae II Pool                               | CUSIP: 36179MMY3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     103517 | PA      | $99431.26      | 0.00%             | 2027-09-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140KQKA8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    2507548 | PA      | $2158262.13    | 0.01%             | 2050-09-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140QKHV3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   31928043 | PA      | $26268319.60   | 0.11%             | 2051-04-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31382KXC7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        829 | PA      | $859.40        | 0.00%             | 2029-06-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 312926ND6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |        382 | PA      | $403.58        | 0.00%             | 2036-12-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 36291SQM5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        570 | PA      | $581.66        | 0.00%             | 2034-11-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138YPUS9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     738341 | PA      | $699649.45     | 0.00%             | 2030-05-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3128M7MK9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      11792 | PA      | $11798.65      | 0.00%             | 2039-06-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31417F3E6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     536298 | PA      | $489610.10     | 0.00%             | 2043-04-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140HKD88<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   11443373 | PA      | $9913439.53    | 0.04%             | 2050-09-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 36202TR99<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      10752 | PA      | $11387.38      | 0.00%             | 2036-08-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 3620A63A3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       7425 | PA      | $7653.00       | 0.00%             | 2039-07-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31416J5H0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       5642 | PA      | $5637.51       | 0.00%             | 2039-01-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31419JRF7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      47631 | PA      | $46365.02      | 0.00%             | 2040-10-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae II Pool                               | CUSIP: 36179TXT7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    2926184 | PA      | $2685451.41    | 0.01%             | 2048-05-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140K8LS8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1243182 | PA      | $1198967.02    | 0.01%             | 2050-01-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3128M4JL8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       9104 | PA      | $9252.27       | 0.00%             | 2037-01-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3128M7E44<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      24595 | PA      | $25108.84      | 0.00%             | 2038-12-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140GRC93<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      49052 | PA      | $44299.52      | 0.00%             | 2047-12-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140JJGS2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    2492459 | PA      | $2417580.03    | 0.01%             | 2049-01-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 31297S6L4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |        753 | PA      | $765.61        | 0.00%             | 2035-09-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae II Pool                               | CUSIP: 36179UD90<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    1358826 | PA      | $1317380.13    | 0.01%             | 2048-10-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140QAJE1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     294622 | PA      | $291144.62     | 0.00%             | 2049-01-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140K0VT2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     769924 | PA      | $745806.27     | 0.00%             | 2034-10-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae II Pool                               | CUSIP: 36179RNZ8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      10495 | PA      | $10785.05      | 0.00%             | 2045-09-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3128FK5N1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |        423 | PA      | $424.02        | 0.00%             | 2027-02-01      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31383SPE4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        473 | PA      | $491.75        | 0.00%             | 2029-09-01      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140X5UF8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    9908280 | PA      | $8867869.03    | 0.04%             | 2050-01-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140QASP6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     234348 | PA      | $231316.45     | 0.00%             | 2049-03-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138YRE46<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      29698 | PA      | $28142.05      | 0.00%             | 2030-06-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 36209WHM7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        178 | PA      | $178.82        | 0.00%             | 2028-09-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 36208QRC2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       1726 | PA      | $1755.70       | 0.00%             | 2028-07-15      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3132AEEW2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     377354 | PA      | $380474.56     | 0.00%             | 2049-03-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3128K1W80<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       8700 | PA      | $8842.10       | 0.00%             | 2036-01-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae II Pool                               | CUSIP: 36179XBR6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   30016984 | PA      | $27088129.47   | 0.12%             | 2052-07-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 31307UCC0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     310995 | PA      | $296406.28     | 0.00%             | 2032-07-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3128MFZP6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    2255074 | PA      | $2139001.53    | 0.01%             | 2032-09-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 36296HQ69<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       1921 | PA      | $1978.71       | 0.00%             | 2038-07-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3128LEBQ4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |        302 | PA      | $318.69        | 0.00%             | 2038-08-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31419LZX4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      26369 | PA      | $25668.21      | 0.00%             | 2040-12-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138ER2G4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1071626 | PA      | $1016042.56    | 0.00%             | 2047-01-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138WWGA1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       4982 | PA      | $4548.65       | 0.00%             | 2043-06-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31371HAL2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        217 | PA      | $225.10        | 0.00%             | 2028-09-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3128MBX77<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |        365 | PA      | $363.99        | 0.00%             | 2023-07-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 36295KMF7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      23751 | PA      | $24891.07      | 0.00%             | 2038-06-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 36211AAQ9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        110 | PA      | $112.15        | 0.00%             | 2029-10-15      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140F7VR7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    6723019 | PA      | $6266506.55    | 0.03%             | 2046-11-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3128M7XG6<br>LEI: 254900HROIFWPRGM1V77 | Long             | ABS-MBS          | USGSE             | US        |     386434 | PA      | $406984.43     | 0.00%             | 2036-10-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138WJGL6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      64431 | PA      | $58742.18      | 0.00%             | 2045-04-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3128MBV53<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |         17 | PA      | $16.96         | 0.00%             | 2023-05-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3128MJPA2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       7958 | PA      | $7963.66       | 0.00%             | 2040-08-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3132Y2VK9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       7419 | PA      | $7139.67       | 0.00%             | 2048-09-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3132VMYX7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     572950 | PA      | $550344.70     | 0.00%             | 2049-02-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140JKW77<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1198034 | PA      | $1216462.13    | 0.01%             | 2049-01-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3128MMPL1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       2017 | PA      | $1961.07       | 0.00%             | 2027-02-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3128MJSS0<br>LEI: 254900HROIFWPRGM1V77 | Long             | ABS-MBS          | USGSE             | US        |     658857 | PA      | $602086.98     | 0.00%             | 2043-04-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3128MJZP8<br>LEI: 254900HROIFWPRGM1V77 | Long             | ABS-MBS          | USGSE             | US        |    3754543 | PA      | $3615206.71    | 0.02%             | 2047-02-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3131XUD79<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     298535 | PA      | $283054.83     | 0.00%             | 2046-04-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31410FG82<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        813 | PA      | $869.60        | 0.00%             | 2036-07-01      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 36176PRL2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      14441 | PA      | $13724.27      | 0.00%             | 2041-11-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3128M4LW1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |        693 | PA      | $715.06        | 0.00%             | 2035-01-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140QFFJ3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   37553814 | PA      | $32322803.12   | 0.14%             | 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        |    8079452 | PA      | $7840032.22    | 0.03%             | 2047-02-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138WKZ24<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    2897435 | PA      | $2867260.45    | 0.01%             | 2047-06-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138WPNA8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     612168 | PA      | $577030.19     | 0.00%             | 2043-05-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31410LAQ5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      15837 | PA      | $15503.28      | 0.00%             | 2025-08-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31389YHW4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       2678 | PA      | $2757.67       | 0.00%             | 2033-02-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3128MFEK0<br>LEI: 254900HROIFWPRGM1V77 | Long             | ABS-MBS          | USGSE             | US        |    1025721 | PA      | $1003450.41    | 0.00%             | 2031-05-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140JYPS9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1100923 | PA      | $1032716.84    | 0.00%             | 2049-11-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 31292GU53<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |        684 | PA      | $705.68        | 0.00%             | 2028-04-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 31292HJK1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |        271 | PA      | $280.16        | 0.00%             | 2031-04-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae II Pool                               | CUSIP: 36179S5N3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     904904 | PA      | $898437.54     | 0.00%             | 2047-05-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3131WNTF1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      56713 | PA      | $56690.44      | 0.00%             | 2039-12-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138EQNK4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    2055593 | PA      | $1990157.90    | 0.01%             | 2045-10-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140LUY70<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     237449 | PA      | $195311.17     | 0.00%             | 2051-09-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31414FJX0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       1687 | PA      | $1779.11       | 0.00%             | 2038-08-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae II Pool                               | CUSIP: 36179SEG8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   10694530 | PA      | $9812986.34    | 0.04%             | 2046-06-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140HENF5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     271810 | PA      | $268601.82     | 0.00%             | 2048-06-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140HMCP7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      43809 | PA      | $42113.39      | 0.00%             | 2048-12-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3132WF3B3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    1042905 | PA      | $959519.56     | 0.00%             | 2046-08-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31410KNG5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       2840 | PA      | $2995.78       | 0.00%             | 2038-07-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140K5LB1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    2458742 | PA      | $2414886.27    | 0.01%             | 2050-03-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138WJTD0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    6966250 | PA      | $6354604.31    | 0.03%             | 2047-01-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae II Pool                               | CUSIP: 36241LUB0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      23129 | PA      | $23769.38      | 0.00%             | 2041-02-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae II Pool                               | CUSIP: 36202FZZ2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      45314 | PA      | $45675.77      | 0.00%             | 2041-12-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140QK5E4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1006014 | PA      | $858818.94     | 0.00%             | 2051-06-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3128MJEV8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       1271 | PA      | $1363.20       | 0.00%             | 2036-08-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 36296QV48<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      16727 | PA      | $17221.55      | 0.00%             | 2039-06-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140LTSE5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     904374 | PA      | $850353.64     | 0.00%             | 2036-07-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3128MACH0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     101642 | PA      | $101616.07     | 0.00%             | 2044-07-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31417YV95<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     123204 | PA      | $119930.28     | 0.00%             | 2041-02-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31418NZW3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      61600 | PA      | $61581.34      | 0.00%             | 2040-03-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140F0KT0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     304511 | PA      | $286692.81     | 0.00%             | 2031-03-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae II Pool                               | CUSIP: 36202D5Q0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        755 | PA      | $774.80        | 0.00%             | 2034-05-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae II Pool                               | CUSIP: 36202ED30<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      14090 | PA      | $14188.98      | 0.00%             | 2035-06-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31416NFB3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      10278 | PA      | $10010.76      | 0.00%             | 2039-05-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140QP3H8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   14889902 | PA      | $14949575.36   | 0.06%             | 2052-08-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 36209R2Q5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      15776 | PA      | $15463.41      | 0.00%             | 2041-10-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31418DYX4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   29485624 | PA      | $24316574.84   | 0.10%             | 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        |     886208 | PA      | $894545.30     | 0.00%             | 2048-05-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31418BXN1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      15601 | PA      | $15079.80      | 0.00%             | 2045-12-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31410WS74<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       3055 | PA      | $3174.48       | 0.00%             | 2037-07-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138WKTU9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     915201 | PA      | $826524.43     | 0.00%             | 2047-05-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 31292HD50<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |         10 | PA      | $10.41         | 0.00%             | 2030-07-01      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140QPK55<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    4119583 | PA      | $4005239.49    | 0.02%             | 2052-06-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3128MJNG1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       6481 | PA      | $6628.19       | 0.00%             | 2040-02-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 36296GNF4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      17058 | PA      | $17938.92      | 0.00%             | 2038-05-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140Q8J97<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     202093 | PA      | $188337.58     | 0.00%             | 2048-02-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3132DMJD8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     456455 | PA      | $408524.33     | 0.00%             | 2050-02-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 31297FXJ7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       2002 | PA      | $2109.76       | 0.00%             | 2034-10-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31414U3X4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       8377 | PA      | $8707.86       | 0.00%             | 2038-05-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31368HNM1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        984 | PA      | $983.72        | 0.00%             | 2039-06-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 36177PND3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      17114 | PA      | $16387.50      | 0.00%             | 2042-03-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140KB6M1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1258835 | PA      | $1183919.29    | 0.01%             | 2035-03-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31417GHN9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1114053 | PA      | $1021548.41    | 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        |   12869690 | PA      | $11911563.84   | 0.05%             | 2035-10-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31407VTB1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        683 | PA      | $708.58        | 0.00%             | 2035-10-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae II Pool                               | CUSIP: 36179TLT0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   30633878 | PA      | $29746977.01   | 0.13%             | 2047-11-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138XT4Z5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     133290 | PA      | $132894.93     | 0.00%             | 2044-04-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31417DMV2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     494361 | PA      | $452429.13     | 0.00%             | 2042-10-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3128M4CL5<br>LEI: 254900HROIFWPRGM1V77 | Long             | ABS-MBS          | USGSE             | US        |     545521 | PA      | $554425.64     | 0.00%             | 2036-11-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31410F5J0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      44249 | PA      | $46553.01      | 0.00%             | 2035-07-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140J8M34<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    4096171 | PA      | $3900298.83    | 0.02%             | 2032-12-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 3620ABP34<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       4817 | PA      | $4834.25       | 0.00%             | 2039-11-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140J5JJ9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1447167 | PA      | $1350896.98    | 0.01%             | 2045-12-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31418DYC0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     419929 | PA      | $360351.86     | 0.00%             | 2051-04-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3128M55X4<br>LEI: 254900HROIFWPRGM1V77 | Long             | ABS-MBS          | USGSE             | US        |     505131 | PA      | $525570.65     | 0.00%             | 2038-04-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3128PYAA2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     221546 | PA      | $213744.43     | 0.00%             | 2027-02-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3133KGF60<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     118868 | PA      | $117329.18     | 0.00%             | 2049-06-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138E7HS6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      12003 | PA      | $11641.03      | 0.00%             | 2027-04-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138EJYK8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       4857 | PA      | $4728.17       | 0.00%             | 2041-09-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31385XAW7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      12803 | PA      | $12970.40      | 0.00%             | 2033-05-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3128Q0D53<br>LEI: 254900HROIFWPRGM1V77 | Long             | ABS-MBS          | USGSE             | US        |      37145 | PA      | $36060.40      | 0.00%             | 2027-05-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 31292JBG4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       3049 | PA      | $3094.28       | 0.00%             | 2034-05-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 31306YCQ2<br>LEI: 254900HROIFWPRGM1V77 | Long             | ABS-MBS          | USGSE             | US        |     417366 | PA      | $405177.80     | 0.00%             | 2027-11-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3132XVP80<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       9697 | PA      | $9045.66       | 0.00%             | 2047-12-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3132A5HM0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     349941 | PA      | $336503.67     | 0.00%             | 2047-09-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae II Pool                               | CUSIP: 36179VDN7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   23476383 | PA      | $21399830.25   | 0.09%             | 2050-01-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140XFNJ6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    7399116 | PA      | $6316516.33    | 0.03%             | 2052-01-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31381BDA4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        312 | PA      | $321.55        | 0.00%             | 2028-12-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 31292GLX2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |         13 | PA      | $12.78         | 0.00%             | 2024-04-01      | Fixed         | 8.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3128LBPF9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |        154 | PA      | $160.03        | 0.00%             | 2038-06-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31414M4W3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        241 | PA      | $239.55        | 0.00%             | 2023-11-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3128MDDM2<br>LEI: 254900HROIFWPRGM1V77 | Long             | ABS-MBS          | USGSE             | US        |       8034 | PA      | $7986.21       | 0.00%             | 2026-06-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae II Pool                               | CUSIP: 36179UGA4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    2314736 | PA      | $2124305.83    | 0.01%             | 2048-11-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae II Pool                               | CUSIP: 36202FGW0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      25919 | PA      | $26125.93      | 0.00%             | 2040-06-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138ET5N2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     379427 | PA      | $356641.69     | 0.00%             | 2046-08-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 36203R3S6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |         53 | PA      | $52.87         | 0.00%             | 2023-08-15      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31403A2N4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        339 | PA      | $347.67        | 0.00%             | 2028-08-01      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138ASR53<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     142416 | PA      | $138360.00     | 0.00%             | 2041-09-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3132QU4Z3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       4573 | PA      | $4273.21       | 0.00%             | 2045-12-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140FXFM9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    4613548 | PA      | $4471294.53    | 0.02%             | 2057-01-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3128L1JW1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      18870 | PA      | $19922.10      | 0.00%             | 2037-12-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae II Pool                               | CUSIP: 36179UCA8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    2367471 | PA      | $2236398.32    | 0.01%             | 2048-09-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140XHPW1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   33860821 | PA      | $29202926.87   | 0.12%             | 2050-03-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138E1AY3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      29914 | PA      | $29061.91      | 0.00%             | 2041-12-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31389EHC2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       1283 | PA      | $1316.69       | 0.00%             | 2032-01-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 36296UKN9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       5897 | PA      | $6131.07       | 0.00%             | 2038-12-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 36225BUB2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        772 | PA      | $820.28        | 0.00%             | 2032-03-15      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138A2VH9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     708895 | PA      | $697036.90     | 0.00%             | 2030-12-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138AFE71<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     855888 | PA      | $874462.39     | 0.00%             | 2041-05-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 3620AJK24<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      25941 | PA      | $26032.76      | 0.00%             | 2040-01-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140EXHL0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     246963 | PA      | $232511.73     | 0.00%             | 2031-04-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3128MJYD6<br>LEI: 254900HROIFWPRGM1V77 | Long             | ABS-MBS          | USGSE             | US        |    3538699 | PA      | $3407373.06    | 0.01%             | 2046-05-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31400QKT9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        791 | PA      | $814.12        | 0.00%             | 2033-03-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 36207V3U8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        547 | PA      | $564.83        | 0.00%             | 2028-06-15      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31418WLH1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       1920 | PA      | $1884.33       | 0.00%             | 2025-09-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140XDCT1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    2095609 | PA      | $1729274.06    | 0.01%             | 2051-10-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140JANZ7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     356769 | PA      | $332485.80     | 0.00%             | 2048-04-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3128MJB90<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       1589 | PA      | $1676.47       | 0.00%             | 2035-06-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140Q7JK4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      55245 | PA      | $53122.94      | 0.00%             | 2047-09-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 36201AY77<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        250 | PA      | $257.22        | 0.00%             | 2032-10-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31407KFR5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       1589 | PA      | $1648.63       | 0.00%             | 2035-09-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 31292K2Y2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      23326 | PA      | $23857.19      | 0.00%             | 2040-08-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 36206JWD2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        173 | PA      | $173.59        | 0.00%             | 2025-07-15      | Fixed         | 8.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31417LUM5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     143772 | PA      | $145649.64     | 0.00%             | 2035-01-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3133A2YQ7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    1059586 | PA      | $1032450.08    | 0.00%             | 2050-03-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3128LA7C8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       1797 | PA      | $1869.94       | 0.00%             | 2038-05-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3128PXBA3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     121780 | PA      | $117651.50     | 0.00%             | 2026-11-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 312932GN0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |        877 | PA      | $877.63        | 0.00%             | 2039-04-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138A4X75<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    2149973 | PA      | $2149329.14    | 0.01%             | 2041-01-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140FS2U6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      26420 | PA      | $26167.78      | 0.00%             | 2047-01-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138WJB31<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       8506 | PA      | $8424.34       | 0.00%             | 2046-10-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 312942XR1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      14986 | PA      | $14601.61      | 0.00%             | 2040-10-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3128PQRC7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       3965 | PA      | $3905.17       | 0.00%             | 2024-12-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140Q7XS1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1985678 | PA      | $1871703.30    | 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        |    4474042 | PA      | $4069841.88    | 0.02%             | 2046-12-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31419AGZ4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       1579 | PA      | $1538.27       | 0.00%             | 2039-12-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae II Pool                               | CUSIP: 36179RLN7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   29790773 | PA      | $27344512.19   | 0.12%             | 2045-08-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3128MMYT4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     187196 | PA      | $185037.48     | 0.00%             | 2034-01-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3132XYQT7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     300208 | PA      | $296955.41     | 0.00%             | 2048-05-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138YS4D5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     109233 | PA      | $105586.34     | 0.00%             | 2045-06-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140HBLL0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     346545 | PA      | $325675.05     | 0.00%             | 2048-03-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140XGU31<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1383165 | PA      | $1327420.08    | 0.01%             | 2051-08-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3128M6UE6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       3201 | PA      | $3380.05       | 0.00%             | 2038-07-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140X5WV1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    5454455 | PA      | $5045934.41    | 0.02%             | 2050-02-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31418NV80<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      11284 | PA      | $11085.40      | 0.00%             | 2025-03-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31415LLQ8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       3850 | PA      | $4060.99       | 0.00%             | 2038-07-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31414TNE7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      50608 | PA      | $53379.84      | 0.00%             | 2038-08-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31410FST3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      12739 | PA      | $13234.21      | 0.00%             | 2036-12-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138EMY54<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      32944 | PA      | $32934.21      | 0.00%             | 2042-09-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 36202VTF8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       1880 | PA      | $1956.94       | 0.00%             | 2033-04-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3132M6WT3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      23207 | PA      | $22512.66      | 0.00%             | 2044-05-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138WJN53<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     280249 | PA      | $263850.87     | 0.00%             | 2031-12-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3128K2RW1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       1346 | PA      | $1397.92       | 0.00%             | 2036-02-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31382LCF1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |         47 | PA      | $49.12         | 0.00%             | 2029-02-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3131YC6X9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    1912602 | PA      | $1724762.48    | 0.01%             | 2049-05-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae II Pool                               | CUSIP: 36179MAZ3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      23787 | PA      | $23976.67      | 0.00%             | 2042-04-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31402DGN4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      23734 | PA      | $24057.05      | 0.00%             | 2034-08-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31415RNR1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        520 | PA      | $530.72        | 0.00%             | 2038-07-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138WDT68<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      15197 | PA      | $14728.73      | 0.00%             | 2044-12-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140FHSP3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    2034327 | PA      | $1855710.79    | 0.01%             | 2046-11-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3132QNV48<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       2151 | PA      | $2090.61       | 0.00%             | 2045-04-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140K84L2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1091233 | PA      | $904000.22     | 0.00%             | 2050-10-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140M1Z49<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    7242968 | PA      | $6203378.87    | 0.03%             | 2051-10-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31418CQA5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     141031 | PA      | $131431.40     | 0.00%             | 2047-10-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138ET6Y7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1422794 | PA      | $1356192.68    | 0.01%             | 2031-09-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138EP4F8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     861707 | PA      | $786691.28     | 0.00%             | 2044-01-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3131XTFV7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     323337 | PA      | $315208.39     | 0.00%             | 2045-09-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31417AL49<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      11854 | PA      | $11515.96      | 0.00%             | 2041-11-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140GUUJ4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     512311 | PA      | $506975.23     | 0.00%             | 2047-07-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138YGUS9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     115238 | PA      | $109199.47     | 0.00%             | 2030-04-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3132DV4P7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      12527 | PA      | $11187.75      | 0.00%             | 2049-12-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3128M5Q52<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       1631 | PA      | $1722.40       | 0.00%             | 2038-01-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 36291MMH3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      22055 | PA      | $22661.31      | 0.00%             | 2038-06-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140X8NS2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    4407043 | PA      | $3965090.82    | 0.02%             | 2035-12-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3128M75Z5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      21321 | PA      | $21334.80      | 0.00%             | 2040-08-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 36200MWK5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      11812 | PA      | $12032.30      | 0.00%             | 2033-09-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae II Pool                               | CUSIP: 36202D7L9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        733 | PA      | $782.75        | 0.00%             | 2034-08-20      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140K1TM8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     953599 | PA      | $884176.03     | 0.00%             | 2034-12-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3128MJAX8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       1171 | PA      | $1208.75       | 0.00%             | 2034-11-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3131WRNE1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     543996 | PA      | $555776.33     | 0.00%             | 2041-03-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31410FGC3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      23547 | PA      | $24830.67      | 0.00%             | 2036-06-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140QPK48<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    3985232 | PA      | $3770726.32    | 0.02%             | 2052-06-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138WBQ57<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      12748 | PA      | $12710.31      | 0.00%             | 2044-04-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140L63P7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     874890 | PA      | $753545.64     | 0.00%             | 2051-04-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 31292GR65<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |         51 | PA      | $52.77         | 0.00%             | 2027-04-01      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 31307GXQ7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     480010 | PA      | $461433.93     | 0.00%             | 2029-04-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31402RP45<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       4465 | PA      | $4604.93       | 0.00%             | 2035-08-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31371MGE1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       1639 | PA      | $1634.89       | 0.00%             | 2035-10-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31416YLG1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      47961 | PA      | $46594.56      | 0.00%             | 2041-05-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140Q7VR5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     487964 | PA      | $482882.63     | 0.00%             | 2047-10-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 36225BVX3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        980 | PA      | $1032.87       | 0.00%             | 2032-12-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140E15W9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      34237 | PA      | $32442.49      | 0.00%             | 2030-09-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138ETQP4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    5942150 | PA      | $5807921.89    | 0.02%             | 2031-06-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31417AX53<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     735882 | PA      | $693824.48     | 0.00%             | 2042-01-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3128MJTU4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     201865 | PA      | $190465.84     | 0.00%             | 2044-01-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138X1VG8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     102566 | PA      | $97523.76      | 0.00%             | 2029-12-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3131XLAG2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     269755 | PA      | $254368.37     | 0.00%             | 2042-12-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138WJRV2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     613099 | PA      | $577223.67     | 0.00%             | 2032-01-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31374F6S3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        243 | PA      | $247.37        | 0.00%             | 2026-12-01      | Fixed         | 8.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31412S3N3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       5975 | PA      | $6302.37       | 0.00%             | 2038-05-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae II Pool                               | CUSIP: 36179RP78<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      15435 | PA      | $14593.49      | 0.00%             | 2030-10-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 36208QRW8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        536 | PA      | $546.74        | 0.00%             | 2028-08-15      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae II Pool                               | CUSIP: 36196LTZ4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     332362 | PA      | $314427.65     | 0.00%             | 2046-09-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3132D6BW9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   15238590 | PA      | $13675574.16   | 0.06%             | 2037-05-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31380BEZ9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        652 | PA      | $662.42        | 0.00%             | 2028-07-01      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae II Pool                               | CUSIP: 3617B5CZ5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    6897490 | PA      | $6515616.11    | 0.03%             | 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        |  195396269 | PA      | $160929526.24  | 0.69%             | 2051-12-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140MAD68<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    4841089 | PA      | $3985646.36    | 0.02%             | 2052-02-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138WGXY5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     534777 | PA      | $514443.61     | 0.00%             | 2046-04-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140EUUC1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      95500 | PA      | $90495.36      | 0.00%             | 2030-12-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 31292HRE6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |        699 | PA      | $727.79        | 0.00%             | 2032-08-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae II Pool                               | CUSIP: 36179BZR8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     837823 | PA      | $796670.86     | 0.00%             | 2043-01-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae II Pool                               | CUSIP: 36202FHZ2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      19832 | PA      | $20635.80      | 0.00%             | 2040-07-20      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 31346YRV7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    1039433 | PA      | $970389.43     | 0.00%             | 2049-11-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140QKTE8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    3011714 | PA      | $2763886.65    | 0.01%             | 2051-05-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140Q8K87<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     238074 | PA      | $235594.85     | 0.00%             | 2048-02-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31371M6C6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       1532 | PA      | $1674.65       | 0.00%             | 2037-01-01      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140KUCX8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     881528 | PA      | $771309.76     | 0.00%             | 2036-10-01      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140F4TE6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      81396 | PA      | $75869.02      | 0.00%             | 2046-06-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 36201VAK8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       4085 | PA      | $4176.32       | 0.00%             | 2033-09-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138ET3S3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     123305 | PA      | $112619.43     | 0.00%             | 2046-08-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3133G7B36<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     211925 | PA      | $205295.96     | 0.00%             | 2034-11-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3132M6EW6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       5298 | PA      | $5179.31       | 0.00%             | 2044-04-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140H5X97<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     893735 | PA      | $859406.16     | 0.00%             | 2048-01-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 31296N5F0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      25383 | PA      | $25743.49      | 0.00%             | 2033-10-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31414R6W0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        814 | PA      | $829.94        | 0.00%             | 2038-04-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140KLFB3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1171253 | PA      | $1052327.45    | 0.00%             | 2035-08-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae II Pool                               | CUSIP: 36179TG74<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      14515 | PA      | $14679.40      | 0.00%             | 2047-09-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138XRYQ6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      12358 | PA      | $12321.24      | 0.00%             | 2044-04-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140HPPZ4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1053335 | PA      | $1040902.85    | 0.00%             | 2048-11-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138A7HR2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      27322 | PA      | $26543.39      | 0.00%             | 2041-02-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31412U7D6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        730 | PA      | $721.83        | 0.00%             | 2024-11-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 36241KXS2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       3928 | PA      | $4113.49       | 0.00%             | 2038-11-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138ERPF1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      37574 | PA      | $37118.34      | 0.00%             | 2031-03-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140GPBU1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1110337 | PA      | $1113503.13    | 0.00%             | 2047-05-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3131WRLW3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       1138 | PA      | $1107.54       | 0.00%             | 2041-02-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140J5LF4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     330050 | PA      | $314268.01     | 0.00%             | 2032-04-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31405CU56<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       3138 | PA      | $3128.42       | 0.00%             | 2034-06-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138XVKF6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     307606 | PA      | $292483.37     | 0.00%             | 2029-06-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31402C4B5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      14105 | PA      | $14680.52      | 0.00%             | 2034-05-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 31334WUY5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    6225270 | PA      | $5759073.05    | 0.02%             | 2049-07-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140FPPT0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     482222 | PA      | $453264.32     | 0.00%             | 2046-12-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138WBB61<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     446192 | PA      | $428522.41     | 0.00%             | 2029-03-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 36225BGW2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |         67 | PA      | $70.24         | 0.00%             | 2029-11-15      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31389JVJ0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       2270 | PA      | $2362.61       | 0.00%             | 2032-02-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31402WN20<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        299 | PA      | $307.79        | 0.00%             | 2033-10-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 36180STF1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       6036 | PA      | $5542.54       | 0.00%             | 2043-05-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3132QUPT4<br>LEI: 254900HROIFWPRGM1V77 | Long             | ABS-MBS          | USGSE             | US        |      62220 | PA      | $61825.50      | 0.00%             | 2045-11-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31408JHD6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        964 | PA      | $1000.36       | 0.00%             | 2036-02-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3133B7Z68<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     483831 | PA      | $413236.84     | 0.00%             | 2052-04-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 312939DV0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       3677 | PA      | $3679.47       | 0.00%             | 2040-02-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138WUMB6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      17983 | PA      | $16417.77      | 0.00%             | 2043-05-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138EQZ70<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     139851 | PA      | $133884.31     | 0.00%             | 2030-10-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140GVHJ7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1426531 | PA      | $1371737.46    | 0.01%             | 2047-07-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3133KPTE8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     422397 | PA      | $386530.11     | 0.00%             | 2052-08-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3132DMVG7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     244105 | PA      | $240944.95     | 0.00%             | 2051-01-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31412UJ76<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       1101 | PA      | $1176.08       | 0.00%             | 2039-03-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae II Pool                               | CUSIP: 36179UGC0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   11661785 | PA      | $11306088.72   | 0.05%             | 2048-11-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138AKYA1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       2822 | PA      | $2747.60       | 0.00%             | 2026-06-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140J8HQ9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    2275762 | PA      | $2188348.66    | 0.01%             | 2048-04-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3132GF5X1<br>LEI: 254900HROIFWPRGM1V77 | Long             | ABS-MBS          | USGSE             | US        |       5565 | PA      | $5569.10       | 0.00%             | 2041-08-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3128MMTN3<br>LEI: 254900HROIFWPRGM1V77 | Long             | ABS-MBS          | USGSE             | US        |   10488972 | PA      | $9949086.26    | 0.04%             | 2030-06-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 3617HNWH8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    1193849 | PA      | $1120325.00    | 0.00%             | 2048-09-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31416LZ25<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       2788 | PA      | $2786.68       | 0.00%             | 2039-02-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3131WMXS0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      28108 | PA      | $28096.76      | 0.00%             | 2039-05-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3133G9XR5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     792171 | PA      | $733194.77     | 0.00%             | 2035-09-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3131XDKJ3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     746667 | PA      | $724895.42     | 0.00%             | 2033-03-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138MQBA0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      28631 | PA      | $26138.42      | 0.00%             | 2043-08-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 31307QMH7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      31473 | PA      | $30029.21      | 0.00%             | 2031-03-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31368HB85<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |         14 | PA      | $13.59         | 0.00%             | 2023-10-01      | Fixed         | 8.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 31307RHC2<br>LEI: 254900HROIFWPRGM1V77 | Long             | ABS-MBS          | USGSE             | US        |     391864 | PA      | $373892.74     | 0.00%             | 2031-07-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138WDDQ1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     281124 | PA      | $272455.72     | 0.00%             | 2044-11-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31418DUF7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   57428406 | PA      | $44652339.68   | 0.19%             | 2050-11-01      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae II Pool                               | CUSIP: 36179VDM9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      77110 | PA      | $67664.51      | 0.00%             | 2050-01-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 312942A21<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      36915 | PA      | $37755.93      | 0.00%             | 2040-08-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3131Y9K51<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    2103961 | PA      | $1960735.23    | 0.01%             | 2048-10-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138ERYJ3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     253731 | PA      | $244083.56     | 0.00%             | 2047-01-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140GWP31<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     518458 | PA      | $489679.37     | 0.00%             | 2047-09-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140FCP69<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      95951 | PA      | $89435.52      | 0.00%             | 2046-09-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31410LUS9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     164974 | PA      | $153745.41     | 0.00%             | 2047-09-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31407FQ86<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        882 | PA      | $895.91        | 0.00%             | 2035-08-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3128MJYM6<br>LEI: 254900HROIFWPRGM1V77 | Long             | ABS-MBS          | USGSE             | US        |   10661840 | PA      | $9644797.50    | 0.04%             | 2046-08-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31413HJU3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        369 | PA      | $383.20        | 0.00%             | 2037-08-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 36201VU91<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       4870 | PA      | $5064.53       | 0.00%             | 2033-04-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140QFRR2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     425521 | PA      | $330855.73     | 0.00%             | 2050-11-01      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 31335BAU0<br>LEI: 254900HROIFWPRGM1V77 | Long             | ABS-MBS          | USGSE             | US        |    1152560 | PA      | $1145259.27    | 0.00%             | 2046-09-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3128MCA62<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |        543 | PA      | $539.37        | 0.00%             | 2024-01-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3128MMUM3<br>LEI: 254900HROIFWPRGM1V77 | Long             | ABS-MBS          | USGSE             | US        |    3574145 | PA      | $3410228.79    | 0.01%             | 2031-02-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 36200KHS9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       2483 | PA      | $2590.59       | 0.00%             | 2032-12-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140XHTK3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   31748568 | PA      | $29539638.17   | 0.13%             | 2051-01-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31371NBC8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       8694 | PA      | $8841.39       | 0.00%             | 2037-03-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 31334Y3A3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    1999312 | PA      | $1785513.85    | 0.01%             | 2049-09-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3133ATXF3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    5234884 | PA      | $4468854.32    | 0.02%             | 2051-10-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3133G84T5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    1068421 | PA      | $1004696.61    | 0.00%             | 2035-07-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31378CQR6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        118 | PA      | $118.51        | 0.00%             | 2025-06-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 31292HS88<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       5898 | PA      | $6075.67       | 0.00%             | 2033-01-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 31296WEY9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |        440 | PA      | $439.55        | 0.00%             | 2034-03-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31416Y5R5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    3700314 | PA      | $3597611.65    | 0.02%             | 2026-09-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31417MJ46<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       4771 | PA      | $4768.68       | 0.00%             | 2039-09-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 31346YFK4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    1186920 | PA      | $1196724.29    | 0.01%             | 2049-11-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae II Pool                               | CUSIP: 36202F2V7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       5539 | PA      | $5766.76       | 0.00%             | 2042-01-20      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140QNS78<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1014257 | PA      | $897436.35     | 0.00%             | 2052-04-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae II Pool                               | CUSIP: 36179UZV7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      36225 | PA      | $35900.14      | 0.00%             | 2049-09-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3128M6FG8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       4851 | PA      | $4952.67       | 0.00%             | 2038-06-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 36183W5M0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      14790 | PA      | $14384.08      | 0.00%             | 2045-01-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3133KGJ90<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     701589 | PA      | $692506.41     | 0.00%             | 2049-08-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae II Pool                               | CUSIP: 36179MNG1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     470760 | PA      | $433612.54     | 0.00%             | 2042-09-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 36296FKC6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        436 | PA      | $463.73        | 0.00%             | 2038-08-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 31292JBU3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      19489 | PA      | $20785.02      | 0.00%             | 2034-04-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 36296KSY9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       1413 | PA      | $1462.01       | 0.00%             | 2038-07-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3132QVZW4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      11686 | PA      | $10578.39      | 0.00%             | 2046-02-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138AGKM9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       9826 | PA      | $9573.49       | 0.00%             | 2026-06-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31415YGV5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       1988 | PA      | $1985.96       | 0.00%             | 2039-01-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3128Q0E78<br>LEI: 254900HROIFWPRGM1V77 | Long             | ABS-MBS          | USGSE             | US        |     498701 | PA      | $484137.56     | 0.00%             | 2027-05-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3131XTHW3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     338086 | PA      | $326796.73     | 0.00%             | 2045-09-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 3620AAF37<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       8650 | PA      | $8680.07       | 0.00%             | 2040-03-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae II Pool                               | CUSIP: 36179TNR2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   12351278 | PA      | $11667459.78   | 0.05%             | 2047-12-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31416QEY7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       6699 | PA      | $6696.67       | 0.00%             | 2040-09-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3132AEN44<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     728873 | PA      | $700675.55     | 0.00%             | 2048-09-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3132WJZS3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       9530 | PA      | $8621.23       | 0.00%             | 2047-01-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31416CCH7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      17585 | PA      | $17577.59      | 0.00%             | 2039-04-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31418VZM7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       3342 | PA      | $3253.13       | 0.00%             | 2040-05-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 31296YUF8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      13508 | PA      | $13707.56      | 0.00%             | 2034-05-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138A7NS3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      59833 | PA      | $58305.00      | 0.00%             | 2026-02-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 36176DHD8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      53097 | PA      | $51696.01      | 0.00%             | 2026-02-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31414RN76<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      32178 | PA      | $33447.40      | 0.00%             | 2038-04-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140FEFJ8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     670510 | PA      | $629148.19     | 0.00%             | 2046-09-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140E2NP2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     408195 | PA      | $386804.33     | 0.00%             | 2030-09-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 3620AE3L2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      25393 | PA      | $25482.13      | 0.00%             | 2039-11-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 31293THW0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |        201 | PA      | $208.71        | 0.00%             | 2029-07-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3128MJKN9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       1631 | PA      | $1696.99       | 0.00%             | 2038-11-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3128MMWQ2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     677388 | PA      | $637678.73     | 0.00%             | 2032-08-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 36176KEQ6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       7840 | PA      | $7684.33       | 0.00%             | 2041-08-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 31294MDE8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       6021 | PA      | $5842.85       | 0.00%             | 2025-12-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3128KRWS9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      29333 | PA      | $29812.18      | 0.00%             | 2036-10-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140X7RH4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    6419000 | PA      | $5958622.56    | 0.03%             | 2049-12-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 36176RV25<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     113210 | PA      | $103242.79     | 0.00%             | 2047-09-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3132XV4L4<br>LEI: 254900HROIFWPRGM1V77 | Long             | ABS-MBS          | USGSE             | US        |    1901968 | PA      | $1850129.04    | 0.01%             | 2048-01-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138WCPD9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      78193 | PA      | $75096.78      | 0.00%             | 2029-08-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140H1LM0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1172074 | PA      | $1139042.63    | 0.00%             | 2047-10-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31419DNM9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      16424 | PA      | $16419.20      | 0.00%             | 2040-09-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 312945ZR2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      55369 | PA      | $56633.28      | 0.00%             | 2041-02-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140QKNS3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   13181277 | PA      | $10915519.62   | 0.05%             | 2051-05-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140KXJE7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    7111181 | PA      | $6071559.94    | 0.03%             | 2051-01-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31410D4G2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      16572 | PA      | $17752.91      | 0.00%             | 2036-08-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae II Pool                               | CUSIP: 36179SRX7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     185546 | PA      | $175637.03     | 0.00%             | 2031-12-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3132WQAT2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    1388390 | PA      | $1295177.80    | 0.01%             | 2047-08-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140L64H4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    2535372 | PA      | $2182544.65    | 0.01%             | 2051-05-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31411CC58<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       6502 | PA      | $6856.87       | 0.00%             | 2036-10-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140KA6T8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     877748 | PA      | $820038.89     | 0.00%             | 2050-03-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3132WDY24<br>LEI: 254900HROIFWPRGM1V77 | Long             | ABS-MBS          | USGSE             | US        |     171176 | PA      | $169707.18     | 0.00%             | 2046-05-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31369W3X5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        199 | PA      | $198.71        | 0.00%             | 2023-07-01      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 31296PXM9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       7636 | PA      | $8042.37       | 0.00%             | 2033-11-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140Q8WW1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    3477999 | PA      | $3436949.91    | 0.01%             | 2048-04-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3128MJX47<br>LEI: 254900HROIFWPRGM1V77 | Long             | ABS-MBS          | USGSE             | US        |     971124 | PA      | $906102.18     | 0.00%             | 2046-03-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 31292HSF2<br>LEI: 254900HROIFWPRGM1V77 | Long             | ABS-MBS          | USGSE             | US        |      10861 | PA      | $11187.50      | 0.00%             | 2032-10-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140F4NV4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     849962 | PA      | $828275.08     | 0.00%             | 2046-09-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 312940EP0<br>LEI: 254900HROIFWPRGM1V77 | Long             | ABS-MBS          | USGSE             | US        |       7989 | PA      | $7993.93       | 0.00%             | 2040-04-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 3620AJMV8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       1063 | PA      | $1067.03       | 0.00%             | 2040-02-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3132XSMS6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     807769 | PA      | $813018.67     | 0.00%             | 2047-09-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138EQT36<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     618307 | PA      | $564480.35     | 0.00%             | 2043-12-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138ENHC6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     820481 | PA      | $818050.41     | 0.00%             | 2044-08-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 36225BBD9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |         68 | PA      | $70.05         | 0.00%             | 2028-12-15      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31371J3D4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       2181 | PA      | $2307.27       | 0.00%             | 2031-05-01      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138WVC66<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      25381 | PA      | $23171.10      | 0.00%             | 2043-06-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138YPUP5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     435158 | PA      | $412354.09     | 0.00%             | 2030-06-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 36176FPV4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      14652 | PA      | $14361.21      | 0.00%             | 2041-05-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31368HJS3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        126 | PA      | $128.27        | 0.00%             | 2026-08-01      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 31298R7E0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       1186 | PA      | $1218.86       | 0.00%             | 2031-07-01      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3132XCRW7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     443574 | PA      | $405035.57     | 0.00%             | 2046-10-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3128PUT44<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |        353 | PA      | $346.84        | 0.00%             | 2026-04-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3128MJQT0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       3967 | PA      | $3857.53       | 0.00%             | 2041-11-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140J8CT8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     123234 | PA      | $117175.76     | 0.00%             | 2030-05-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140GYZ85<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     885565 | PA      | $833554.28     | 0.00%             | 2047-09-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 36213EYR1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       2035 | PA      | $2093.60       | 0.00%             | 2032-04-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 36230PV64<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      12248 | PA      | $11641.37      | 0.00%             | 2041-01-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3133A1FB3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     883827 | PA      | $790553.81     | 0.00%             | 2050-01-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 3620ASLE7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       1063 | PA      | $1067.06       | 0.00%             | 2041-06-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31417UAB1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      13675 | PA      | $13669.30      | 0.00%             | 2039-11-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3128M7ZR0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       1081 | PA      | $1125.20       | 0.00%             | 2039-03-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140KNUQ9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1421882 | PA      | $1179386.75    | 0.01%             | 2050-07-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138EGXD1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      16577 | PA      | $17227.29      | 0.00%             | 2041-09-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3128LXAK6<br>LEI: 254900HROIFWPRGM1V77 | Long             | ABS-MBS          | USGSE             | US        |     582346 | PA      | $604651.91     | 0.00%             | 2035-05-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3132J82X7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      21783 | PA      | $20552.64      | 0.00%             | 2043-04-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138YUB42<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      62231 | PA      | $59575.96      | 0.00%             | 2030-05-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140E0PR0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      18124 | PA      | $17519.15      | 0.00%             | 2045-08-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138EGHR8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      32572 | PA      | $31644.61      | 0.00%             | 2041-04-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 31329QEQ0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    2330820 | PA      | $2257908.69    | 0.01%             | 2034-03-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae II Pool                               | CUSIP: 36179WFH6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    1454588 | PA      | $1318408.27    | 0.01%             | 2051-05-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140EU4M8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      27075 | PA      | $26816.17      | 0.00%             | 2046-04-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138WKUB9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    3500825 | PA      | $3262540.90    | 0.01%             | 2047-05-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 36176RJF0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      13598 | PA      | $13328.15      | 0.00%             | 2041-10-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31377Z4D1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        182 | PA      | $182.81        | 0.00%             | 2027-09-01      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3128MDLH4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      78092 | PA      | $75811.55      | 0.00%             | 2027-09-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 312939NC1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     120728 | PA      | $120808.60     | 0.00%             | 2040-02-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3132GE7K0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      17349 | PA      | $17360.55      | 0.00%             | 2041-07-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31371KKL4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        359 | PA      | $372.04        | 0.00%             | 2032-02-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140JGNP6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     363030 | PA      | $368614.15     | 0.00%             | 2048-09-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140E1GC1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       7023 | PA      | $6654.94       | 0.00%             | 2030-08-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31379D7G8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |         72 | PA      | $74.01         | 0.00%             | 2028-02-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3132L7PH6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     971853 | PA      | $940317.98     | 0.00%             | 2046-02-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31413BWG2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       2828 | PA      | $2982.57       | 0.00%             | 2037-08-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31417QRZ9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       7594 | PA      | $7591.03       | 0.00%             | 2040-01-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3131XXDR9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       4775 | PA      | $4725.70       | 0.00%             | 2047-07-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 36200M2Y8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       2716 | PA      | $2823.18       | 0.00%             | 2033-11-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3128M5SP6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       5300 | PA      | $5595.44       | 0.00%             | 2038-01-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3128PQKA8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       1695 | PA      | $1669.50       | 0.00%             | 2024-11-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 3617G7LJ2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     177626 | PA      | $166686.29     | 0.00%             | 2048-02-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3128MJ2T6<br>LEI: 254900HROIFWPRGM1V77 | Long             | ABS-MBS          | USGSE             | US        |     454053 | PA      | $437031.86     | 0.00%             | 2047-10-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 36209FPK9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        121 | PA      | $123.46        | 0.00%             | 2029-05-15      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31371HHT8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        930 | PA      | $964.24        | 0.00%             | 2029-04-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31419J5H7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        770 | PA      | $750.99        | 0.00%             | 2025-11-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae II Pool                               | CUSIP: 36179UKW1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    2741598 | PA      | $2589811.63    | 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        |   24403502 | PA      | $21740532.17   | 0.09%             | 2050-10-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3128MJSN1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     779622 | PA      | $712446.05     | 0.00%             | 2043-03-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 31335BCZ7<br>LEI: 254900HROIFWPRGM1V77 | Long             | ABS-MBS          | USGSE             | US        |   16018276 | PA      | $14598865.08   | 0.06%             | 2047-05-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31402E2V9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      22260 | PA      | $22550.81      | 0.00%             | 2033-08-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31378UV41<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        230 | PA      | $236.53        | 0.00%             | 2028-11-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138X9ZC6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      50840 | PA      | $48176.21      | 0.00%             | 2030-05-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 31307REU5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     666458 | PA      | $635893.18     | 0.00%             | 2031-06-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3131WQQ83<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     536492 | PA      | $536330.90     | 0.00%             | 2040-09-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31402DGM6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     112065 | PA      | $117900.84     | 0.00%             | 2034-08-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31417GY34<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     150934 | PA      | $144760.53     | 0.00%             | 2028-06-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140EBVC2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      12288 | PA      | $11878.17      | 0.00%             | 2046-02-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138YTYP3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      21769 | PA      | $20627.94      | 0.00%             | 2030-07-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31410GAF0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        757 | PA      | $768.63        | 0.00%             | 2036-08-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae II Pool                               | CUSIP: 36179QL90<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      33586 | PA      | $34968.91      | 0.00%             | 2044-08-20      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Non Gold Pool                        | CUSIP: 31326FW61<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      34323 | PA      | $34124.56      | 0.00%             | 2043-08-01      | Floating      | 2.39%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3132D6N48<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   33977992 | PA      | $30552858.15   | 0.13%             | 2036-05-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 31339SZG3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    1704854 | PA      | $1522543.86    | 0.01%             | 2049-10-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 36205KY89<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |         57 | PA      | $58.77         | 0.00%             | 2027-01-15      | Fixed         | 8.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3128L6QZ5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       3543 | PA      | $3612.29       | 0.00%             | 2038-02-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138YYMW0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1826802 | PA      | $1714111.07    | 0.01%             | 2046-02-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31376EN22<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        114 | PA      | $113.94        | 0.00%             | 2025-12-01      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3132M7RC4<br>LEI: 254900HROIFWPRGM1V77 | Long             | ABS-MBS          | USGSE             | US        |    1399569 | PA      | $1360340.13    | 0.01%             | 2044-07-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3128ME7E5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      80848 | PA      | $77140.14      | 0.00%             | 2032-02-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 31292LEB7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      24536 | PA      | $23859.76      | 0.00%             | 2042-01-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140XDRQ1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    4205169 | PA      | $3601226.42    | 0.02%             | 2051-11-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 36295FHW7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       1390 | PA      | $1446.00       | 0.00%             | 2037-05-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140QKHM3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   43455172 | PA      | $35819264.30   | 0.15%             | 2051-04-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 31307EX58<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     167438 | PA      | $162526.35     | 0.00%             | 2028-10-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138ASTB8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     572560 | PA      | $560538.51     | 0.00%             | 2026-09-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 36198KKH3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     205258 | PA      | $195123.62     | 0.00%             | 2044-09-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31414DGW0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |         44 | PA      | $43.81         | 0.00%             | 2023-05-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3132JM5V7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      14925 | PA      | $14082.19      | 0.00%             | 2043-08-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140HEXQ0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      62969 | PA      | $62280.21      | 0.00%             | 2048-02-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138XDAX8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     133579 | PA      | $130837.13     | 0.00%             | 2028-12-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3133KM4Q5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    1981305 | PA      | $1691377.07    | 0.01%             | 2051-11-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31412QSE0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       1129 | PA      | $1111.76       | 0.00%             | 2024-11-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138WHZ21<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     187546 | PA      | $185752.59     | 0.00%             | 2046-09-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31390NTA0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |         91 | PA      | $95.23         | 0.00%             | 2032-07-01      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3128MJU32<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      22906 | PA      | $22221.26      | 0.00%             | 2044-08-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31416BL63<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      18863 | PA      | $19565.02      | 0.00%             | 2038-02-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138WA5G8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       6251 | PA      | $6061.69       | 0.00%             | 2029-02-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138MDZA3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     221920 | PA      | $209265.60     | 0.00%             | 2042-10-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3128M9NX6<br>LEI: 254900HROIFWPRGM1V77 | Long             | ABS-MBS          | USGSE             | US        |     176441 | PA      | $161309.61     | 0.00%             | 2043-02-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3128PQYW5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |        361 | PA      | $355.65        | 0.00%             | 2025-02-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31419HXN7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      25168 | PA      | $24499.14      | 0.00%             | 2040-10-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140L1UQ6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1283395 | PA      | $1058805.18    | 0.00%             | 2051-03-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae II Pool                               | CUSIP: 36179WXJ2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    9730707 | PA      | $8539996.54    | 0.04%             | 2052-02-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 31334XVC0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      34654 | PA      | $33255.82      | 0.00%             | 2049-07-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 36177XLR7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     129107 | PA      | $122730.45     | 0.00%             | 2042-07-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 36296JD69<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        151 | PA      | $157.70        | 0.00%             | 2039-01-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31400EU57<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        446 | PA      | $466.54        | 0.00%             | 2033-02-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140FEEM2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1538036 | PA      | $1401249.99    | 0.01%             | 2046-10-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140KKFP4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    2316750 | PA      | $2011317.07    | 0.01%             | 2050-05-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 31283H6G5<br>LEI: 254900HROIFWPRGM1V77 | Long             | ABS-MBS          | USGSE             | US        |     383655 | PA      | $396103.89     | 0.00%             | 2035-02-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 36296XKA1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       1209 | PA      | $1269.45       | 0.00%             | 2039-01-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 36176WJA0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      49936 | PA      | $47469.45      | 0.00%             | 2042-03-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31385W2S7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      15130 | PA      | $15819.62      | 0.00%             | 2033-03-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3131XJM25<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     412477 | PA      | $400250.28     | 0.00%             | 2042-05-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138WHGJ5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      57373 | PA      | $55457.85      | 0.00%             | 2046-03-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31417DG72<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     374705 | PA      | $353337.67     | 0.00%             | 2042-10-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140F5HQ9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     768976 | PA      | $771804.83     | 0.00%             | 2046-05-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31380LLE6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        271 | PA      | $276.83        | 0.00%             | 2028-10-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140X6ZS3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     622722 | PA      | $606725.01     | 0.00%             | 2050-06-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140HPPW1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     174050 | PA      | $175652.93     | 0.00%             | 2048-10-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 36208HSK3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        273 | PA      | $282.00        | 0.00%             | 2027-10-15      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 3620C5MF1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      12335 | PA      | $12378.50      | 0.00%             | 2041-06-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3128PST64<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      16622 | PA      | $16237.98      | 0.00%             | 2025-10-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31417FQW1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     438888 | PA      | $400680.41     | 0.00%             | 2043-02-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 312928XJ8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |        509 | PA      | $544.40        | 0.00%             | 2038-10-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 36208YLG2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        576 | PA      | $587.31        | 0.00%             | 2028-09-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140QEQ96<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     190145 | PA      | $185260.33     | 0.00%             | 2050-08-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3132XWC90<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     532708 | PA      | $496943.34     | 0.00%             | 2048-01-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3133L7QX8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      25089 | PA      | $23168.29      | 0.00%             | 2032-01-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140XCSU3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   48326772 | PA      | $37609533.86   | 0.16%             | 2051-07-01      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31389EYJ8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       1128 | PA      | $1174.10       | 0.00%             | 2032-03-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138YTSS4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     233276 | PA      | $221051.21     | 0.00%             | 2030-07-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31414DZN9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        999 | PA      | $1053.34       | 0.00%             | 2038-05-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31417VQ30<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       7436 | PA      | $7591.58       | 0.00%             | 2040-01-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138WHP48<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      23970 | PA      | $22567.09      | 0.00%             | 2031-08-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138WJR75<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    3935295 | PA      | $3751081.94    | 0.02%             | 2032-01-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae II Pool                               | CUSIP: 36202FZV1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      69020 | PA      | $66374.40      | 0.00%             | 2026-12-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31382QVY8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |         86 | PA      | $88.26         | 0.00%             | 2029-03-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31414AV74<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       3695 | PA      | $3897.41       | 0.00%             | 2038-01-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3133BPXV5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    7668000 | PA      | $7636443.84    | 0.03%             | 2052-11-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 3620AWFD7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      47458 | PA      | $48976.96      | 0.00%             | 2040-05-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3132D6AX8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    1940503 | PA      | $1697919.36    | 0.01%             | 2036-10-01      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138WJTG3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   15932312 | PA      | $14397834.90   | 0.06%             | 2047-01-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31414CFV5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      15913 | PA      | $16228.16      | 0.00%             | 2038-03-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138WECQ0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    2515116 | PA      | $2451897.58    | 0.01%             | 2045-03-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 31334YXN2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     544760 | PA      | $537707.58     | 0.00%             | 2049-09-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3128M5WC0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       4996 | PA      | $5197.32       | 0.00%             | 2038-02-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31412XCY8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       1676 | PA      | $1741.86       | 0.00%             | 2037-06-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 31306XJ79<br>LEI: 254900HROIFWPRGM1V77 | Long             | ABS-MBS          | USGSE             | US        |     125257 | PA      | $121599.28     | 0.00%             | 2027-09-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3128M7F35<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |        622 | PA      | $622.25        | 0.00%             | 2039-02-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31391N6U0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       4841 | PA      | $4980.71       | 0.00%             | 2032-12-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae II Pool                               | CUSIP: 3617B3YB9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   16677785 | PA      | $15754433.01   | 0.07%             | 2047-09-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 36211RCH0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |         48 | PA      | $49.31         | 0.00%             | 2030-01-15      | Fixed         | 8.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3132WJEA5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      96722 | PA      | $90245.98      | 0.00%             | 2046-11-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140EBXN6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     106705 | PA      | $96496.24      | 0.00%             | 2045-12-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3128KGKY3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       2451 | PA      | $2549.00       | 0.00%             | 2036-11-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31418CSB1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      75847 | PA      | $76473.57      | 0.00%             | 2047-11-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3133ACR75<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    7771734 | PA      | $6420524.58    | 0.03%             | 2050-12-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138YNA56<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      70276 | PA      | $65600.80      | 0.00%             | 2045-06-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae II Pool                               | CUSIP: 36179WZA9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     109337 | PA      | $98729.31      | 0.00%             | 2052-03-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 3620AEJR2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       1178 | PA      | $1154.45       | 0.00%             | 2041-10-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31418CZ56<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    2052719 | PA      | $2027166.92    | 0.01%             | 2033-09-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3132D6CL2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    4865271 | PA      | $4489488.07    | 0.02%             | 2037-09-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31412XX33<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       8007 | PA      | $8445.92       | 0.00%             | 2037-07-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140J9VV0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     602069 | PA      | $567286.52     | 0.00%             | 2047-03-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 31296YCU5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       1804 | PA      | $1830.36       | 0.00%             | 2034-05-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3131XVWA9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     737500 | PA      | $666472.19     | 0.00%             | 2047-01-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3128K8NN2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |        812 | PA      | $825.42        | 0.00%             | 2035-11-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 36213DGZ5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        264 | PA      | $281.01        | 0.00%             | 2031-08-15      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 312944TR2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     148877 | PA      | $145060.87     | 0.00%             | 2040-12-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138EGZ49<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      23365 | PA      | $23358.26      | 0.00%             | 2041-10-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140L8DY3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1506259 | PA      | $1353087.62    | 0.01%             | 2036-05-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140J7UN3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    2419824 | PA      | $2274511.57    | 0.01%             | 2046-12-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 36292JMG1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       2271 | PA      | $2347.45       | 0.00%             | 2036-04-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3133KNKS1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    4645954 | PA      | $4119647.67    | 0.02%             | 2052-01-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31418CRJ5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     163538 | PA      | $155718.21     | 0.00%             | 2032-11-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 36178CLX9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     118906 | PA      | $113032.73     | 0.00%             | 2042-06-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3128K8GL4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       6087 | PA      | $6186.46       | 0.00%             | 2035-10-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 31335GHQ1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |         22 | PA      | $22.29         | 0.00%             | 2024-11-01      | Fixed         | 8.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140QDDQ4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   11938241 | PA      | $10644743.21   | 0.05%             | 2050-04-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140QFU98<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    9259487 | PA      | $8308835.05    | 0.04%             | 2050-05-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140J7L94<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    2011457 | PA      | $2002725.36    | 0.01%             | 2047-11-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31374TW39<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        277 | PA      | $287.43        | 0.00%             | 2029-08-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138WJYT9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     191118 | PA      | $183851.35     | 0.00%             | 2047-02-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31391TD39<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       1164 | PA      | $1197.87       | 0.00%             | 2032-12-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae II Pool                               | CUSIP: 36179SUT2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    4562629 | PA      | $4073149.83    | 0.02%             | 2047-01-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31418AUP1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     275936 | PA      | $251914.82     | 0.00%             | 2043-07-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31418MML3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       4034 | PA      | $4192.61       | 0.00%             | 2039-10-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 3620ARC74<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       7171 | PA      | $7403.63       | 0.00%             | 2040-05-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 36207ECH5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        978 | PA      | $979.72        | 0.00%             | 2026-04-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140MYAS1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1593992 | PA      | $1624655.33    | 0.01%             | 2052-08-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3128LXUP3<br>LEI: 254900HROIFWPRGM1V77 | Long             | ABS-MBS          | USGSE             | US        |     271142 | PA      | $286231.86     | 0.00%             | 2036-09-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 36192SX62<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     424087 | PA      | $412290.08     | 0.00%             | 2046-04-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140L7HD7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    2319199 | PA      | $2061530.48    | 0.01%             | 2051-05-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140QDB86<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    6089964 | PA      | $5636399.13    | 0.02%             | 2035-03-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31410LMP4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       7109 | PA      | $6489.75       | 0.00%             | 2043-12-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31419F2X3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       8421 | PA      | $8360.38       | 0.00%             | 2024-03-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31412SPB5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       3216 | PA      | $3342.63       | 0.00%             | 2038-03-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140F8AF4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      38490 | PA      | $37026.12      | 0.00%             | 2046-07-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140QBPT9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      44170 | PA      | $43598.15      | 0.00%             | 2049-08-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140FE5H3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1668475 | PA      | $1515421.26    | 0.01%             | 2047-04-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 31296N2H9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      42326 | PA      | $42926.38      | 0.00%             | 2033-10-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3131XRV76<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    1479999 | PA      | $1392012.36    | 0.01%             | 2045-06-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140JPXY6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     343144 | PA      | $309444.00     | 0.00%             | 2049-04-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140J7N27<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    4887413 | PA      | $4881441.56    | 0.02%             | 2046-08-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31406VX84<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       2998 | PA      | $3109.24       | 0.00%             | 2035-06-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31407DZH1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       1818 | PA      | $1885.60       | 0.00%             | 2035-05-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 31307JWX7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     111654 | PA      | $107333.50     | 0.00%             | 2029-10-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31416YYV4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      20280 | PA      | $20273.96      | 0.00%             | 2041-08-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140HDFJ8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     481034 | PA      | $448292.83     | 0.00%             | 2048-02-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140MWYH3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    2073030 | PA      | $2104000.82    | 0.01%             | 2052-11-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140H9TM5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     577917 | PA      | $521828.14     | 0.00%             | 2049-04-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 31296SWL6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       9349 | PA      | $9636.86       | 0.00%             | 2034-01-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31419E5A3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      93873 | PA      | $91378.51      | 0.00%             | 2040-10-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 312932F68<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       5303 | PA      | $5170.25       | 0.00%             | 2039-04-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 31292LD28<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      14491 | PA      | $13677.15      | 0.00%             | 2041-10-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae II Pool                               | CUSIP: 3622AAP40<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    2415048 | PA      | $2216365.74    | 0.01%             | 2049-04-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 36206VZ42<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        697 | PA      | $717.71        | 0.00%             | 2029-03-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140KLK84<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     989014 | PA      | $915354.75     | 0.00%             | 2035-08-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140JKTW6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     840020 | PA      | $808608.12     | 0.00%             | 2049-01-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140EW6J9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       9246 | PA      | $8355.45       | 0.00%             | 2046-02-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae II Pool                               | CUSIP: 3617J32W0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     517048 | PA      | $518961.72     | 0.00%             | 2048-11-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31380WD76<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |         29 | PA      | $30.16         | 0.00%             | 2028-11-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140QMRT3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   28543542 | PA      | $24444142.42   | 0.10%             | 2051-12-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 36213EAG1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        740 | PA      | $771.04        | 0.00%             | 2032-05-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3128MCQF5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |        312 | PA      | $307.13        | 0.00%             | 2025-07-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 31296NT98<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |        463 | PA      | $487.63        | 0.00%             | 2033-10-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138WHFN7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1766270 | PA      | $1596156.93    | 0.01%             | 2046-06-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140QGUQ8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   28159039 | PA      | $25335158.97   | 0.11%             | 2036-01-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31413BYC9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        687 | PA      | $725.11        | 0.00%             | 2037-07-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3128PSXK8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |        835 | PA      | $815.63        | 0.00%             | 2025-11-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31403KUF8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       7298 | PA      | $7527.11       | 0.00%             | 2034-03-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 36213CJ50<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        154 | PA      | $163.49        | 0.00%             | 2031-08-15      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 36200WHZ7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      10269 | PA      | $10677.94      | 0.00%             | 2034-04-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae II Pool                               | CUSIP: 36241KDC9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     812667 | PA      | $843132.66     | 0.00%             | 2034-11-20      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae II Pool                               | CUSIP: 3622A2TM4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     177266 | PA      | $172644.32     | 0.00%             | 2045-08-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae II Pool                               | CUSIP: 36179VX21<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     788348 | PA      | $740690.95     | 0.00%             | 2050-11-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140QFMW6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   33936076 | PA      | $29199792.76   | 0.12%             | 2050-10-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31415RE91<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       5240 | PA      | $5446.56       | 0.00%             | 2038-07-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140K1JD9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     475920 | PA      | $441272.95     | 0.00%             | 2034-09-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140QQBR5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1238888 | PA      | $1143154.68    | 0.00%             | 2037-05-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3132A3DB3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      89370 | PA      | $87043.45      | 0.00%             | 2039-11-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138WRP20<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    8005617 | PA      | $7308687.59    | 0.03%             | 2043-03-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31412SAQ8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       1032 | PA      | $1088.23       | 0.00%             | 2037-10-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140Q8DN2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     603881 | PA      | $584245.04     | 0.00%             | 2048-01-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140QMCQ5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     997367 | PA      | $885320.11     | 0.00%             | 2051-10-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 31293MFR8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |         39 | PA      | $39.78         | 0.00%             | 2029-03-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31382FYN3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       1887 | PA      | $1943.85       | 0.00%             | 2029-01-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140J83Q4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       9047 | PA      | $8677.38       | 0.00%             | 2028-09-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31385XAZ0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     546481 | PA      | $562686.36     | 0.00%             | 2033-05-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 36294QD40<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       7349 | PA      | $7824.45       | 0.00%             | 2036-11-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138YTQ72<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      17010 | PA      | $16118.93      | 0.00%             | 2030-06-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 3620AMA44<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      12862 | PA      | $13324.62      | 0.00%             | 2040-05-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae II Pool                               | CUSIP: 36179V7E4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   79190955 | PA      | $69770093.78   | 0.30%             | 2051-02-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 36182LDS3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      33044 | PA      | $32136.11      | 0.00%             | 2044-07-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140HKV47<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     679835 | PA      | $678237.90     | 0.00%             | 2048-08-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31419AA64<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      32253 | PA      | $34011.59      | 0.00%             | 2039-10-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 31307VVV5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    1059062 | PA      | $1029134.15    | 0.00%             | 2033-03-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140JMK43<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     539533 | PA      | $523323.77     | 0.00%             | 2049-02-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140H9TD5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     325544 | PA      | $328228.27     | 0.00%             | 2049-03-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3128MJWV8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     291536 | PA      | $272401.17     | 0.00%             | 2045-08-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae II Pool                               | CUSIP: 3622A2SG8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   10943548 | PA      | $10044921.57   | 0.04%             | 2046-02-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 31283G3Y1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |        595 | PA      | $614.92        | 0.00%             | 2027-12-01      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140XBDT4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   10290227 | PA      | $10177640.99   | 0.04%             | 2049-04-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3128MJ4B3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    2090330 | PA      | $2011493.77    | 0.01%             | 2048-06-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31418MUK6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       2930 | PA      | $2929.22       | 0.00%             | 2039-12-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 31288D5W5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      25600 | PA      | $26368.98      | 0.00%             | 2032-12-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3133B2X95<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     708456 | PA      | $606944.02     | 0.00%             | 2052-01-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31371HLU0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        517 | PA      | $535.70        | 0.00%             | 2029-05-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140FPQW2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     446532 | PA      | $416211.07     | 0.00%             | 2047-01-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae II Pool                               | CUSIP: 36179VTW0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    2549910 | PA      | $2247642.02    | 0.01%             | 2050-09-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140FVZF6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     378685 | PA      | $356443.62     | 0.00%             | 2047-04-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 36207KU57<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        105 | PA      | $107.37        | 0.00%             | 2029-08-15      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3133B3RH2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    5913849 | PA      | $5430865.93    | 0.02%             | 2052-02-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140N4DG9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1996365 | PA      | $1987521.02    | 0.01%             | 2052-10-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 3620AAVX3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      47229 | PA      | $48697.32      | 0.00%             | 2039-09-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 31297NH33<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       1786 | PA      | $1854.91       | 0.00%             | 2035-05-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31384VV58<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        157 | PA      | $163.26        | 0.00%             | 2030-02-01      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 36296XMK7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     172852 | PA      | $178096.44     | 0.00%             | 2039-02-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 31287N6S2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       1926 | PA      | $1992.44       | 0.00%             | 2032-02-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140HGF51<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    2111958 | PA      | $1803144.61    | 0.01%             | 2050-08-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31418CSF2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     660333 | PA      | $620996.09     | 0.00%             | 2032-12-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31409CZP3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       3006 | PA      | $3122.77       | 0.00%             | 2036-02-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 31292GX68<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       1422 | PA      | $1474.88       | 0.00%             | 2029-01-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31383JWB2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       1546 | PA      | $1591.65       | 0.00%             | 2029-07-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3132WEUP5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      16177 | PA      | $14634.04      | 0.00%             | 2046-07-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 31293THV2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |        165 | PA      | $168.24        | 0.00%             | 2029-07-01      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138E2KR5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     364301 | PA      | $353924.79     | 0.00%             | 2042-01-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31371JFZ2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |         75 | PA      | $80.99         | 0.00%             | 2030-04-01      | Fixed         | 8.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140Q8KE4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    2267210 | PA      | $2203314.26    | 0.01%             | 2048-02-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 36207J4P5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        114 | PA      | $114.41        | 0.00%             | 2028-06-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31402GSH7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        988 | PA      | $1000.89       | 0.00%             | 2033-07-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 31292GYH3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |        484 | PA      | $501.62        | 0.00%             | 2029-02-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3128M8FM1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      97637 | PA      | $101588.27     | 0.00%             | 2038-12-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140J9D65<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1772889 | PA      | $1689899.58    | 0.01%             | 2032-02-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31380WKC7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        163 | PA      | $165.93        | 0.00%             | 2028-12-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31418CR97<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     877740 | PA      | $844025.18     | 0.00%             | 2047-12-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138WHM66<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      24722 | PA      | $22341.11      | 0.00%             | 2046-07-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140K9BJ7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     406347 | PA      | $401090.10     | 0.00%             | 2050-02-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae II Pool                               | CUSIP: 36179UV74<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    5513930 | PA      | $5038445.06    | 0.02%             | 2049-07-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138WKTX3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     539864 | PA      | $509027.07     | 0.00%             | 2047-05-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 31288HEK2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |        592 | PA      | $610.08        | 0.00%             | 2033-04-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31417BA80<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       6821 | PA      | $6626.92       | 0.00%             | 2042-02-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3131XVW92<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      47673 | PA      | $43081.52      | 0.00%             | 2047-01-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31416M3Z5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     403379 | PA      | $411843.36     | 0.00%             | 2039-03-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae II Pool                               | CUSIP: 36179VSH4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   11319880 | PA      | $10297980.80   | 0.04%             | 2050-08-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 36295H6M7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       1215 | PA      | $1299.82       | 0.00%             | 2037-08-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 31283H5J0<br>LEI: 254900HROIFWPRGM1V77 | Long             | ABS-MBS          | USGSE             | US        |     954523 | PA      | $985494.92     | 0.00%             | 2035-01-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3132CWM27<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    4110408 | PA      | $3890994.19    | 0.02%             | 2035-02-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138XC4L3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     440801 | PA      | $427459.69     | 0.00%             | 2028-11-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 36213EPN0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       2054 | PA      | $2061.88       | 0.00%             | 2031-12-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 312938AR4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      11604 | PA      | $11312.94      | 0.00%             | 2039-12-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140XGG94<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     318147 | PA      | $286085.09     | 0.00%             | 2037-04-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3128M9UC4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      27903 | PA      | $27188.03      | 0.00%             | 2041-02-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138WGPM0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     296842 | PA      | $276685.10     | 0.00%             | 2046-02-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3128MJSQ4<br>LEI: 254900HROIFWPRGM1V77 | Long             | ABS-MBS          | USGSE             | US        |      94508 | PA      | $83812.98      | 0.00%             | 2043-03-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 31306YMG3<br>LEI: 254900HROIFWPRGM1V77 | Long             | ABS-MBS          | USGSE             | US        |      55902 | PA      | $54269.30      | 0.00%             | 2027-11-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 31329JPT8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      53444 | PA      | $50395.96      | 0.00%             | 2042-07-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3131XKWW5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    3154762 | PA      | $2881559.84    | 0.01%             | 2042-11-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3132LKA83<br>LEI: 254900HROIFWPRGM1V77 | Long             | ABS-MBS          | USGSE             | US        |    1924020 | PA      | $1849563.58    | 0.01%             | 2030-06-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140X66B2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    7849938 | PA      | $7626352.34    | 0.03%             | 2045-03-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140X4HX7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    3769248 | PA      | $3619985.98    | 0.02%             | 2032-09-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140JKRL2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1010796 | PA      | $1004428.27    | 0.00%             | 2049-01-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31415P3Y2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      17584 | PA      | $18105.53      | 0.00%             | 2034-04-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31379JGY6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        178 | PA      | $180.87        | 0.00%             | 2027-12-01      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3131XBMB2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      50755 | PA      | $48589.99      | 0.00%             | 2030-07-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138ASS78<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     122055 | PA      | $118674.44     | 0.00%             | 2026-09-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31371KTD3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       7027 | PA      | $7313.80       | 0.00%             | 2032-09-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3128MMPU1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       9502 | PA      | $9224.44       | 0.00%             | 2027-05-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 31297FJQ7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       1326 | PA      | $1368.67       | 0.00%             | 2034-10-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31418CG65<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     432536 | PA      | $390877.84     | 0.00%             | 2047-03-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3128MMTJ2<br>LEI: 254900HROIFWPRGM1V77 | Long             | ABS-MBS          | USGSE             | US        |    1951863 | PA      | $1870357.08    | 0.01%             | 2030-05-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae II Pool                               | CUSIP: 36202EHF9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     170750 | PA      | $177691.49     | 0.00%             | 2036-03-20      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3128M86F6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      17774 | PA      | $18063.74      | 0.00%             | 2037-01-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3131Y9HH9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    1247167 | PA      | $1232448.75    | 0.01%             | 2049-02-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 3617BBCR0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      11497 | PA      | $11395.29      | 0.00%             | 2047-08-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140X9CL7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    8090529 | PA      | $7487967.48    | 0.03%             | 2035-10-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31417LD36<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      29583 | PA      | $28813.97      | 0.00%             | 2039-09-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138W4UG4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1214851 | PA      | $1165159.46    | 0.00%             | 2028-02-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140K26E9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     797877 | PA      | $739790.48     | 0.00%             | 2034-11-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3128MJMN7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     185643 | PA      | $185748.05     | 0.00%             | 2039-09-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3131XR6D1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     158125 | PA      | $148988.73     | 0.00%             | 2045-07-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138M9X97<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      31999 | PA      | $28346.78      | 0.00%             | 2042-12-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 36294UUY6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     262825 | PA      | $257005.28     | 0.00%             | 2042-03-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 36210PUD4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        127 | PA      | $129.70        | 0.00%             | 2029-02-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140QADS6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      67868 | PA      | $68460.09      | 0.00%             | 2048-12-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3133KPLY2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    3917185 | PA      | $3706408.09    | 0.02%             | 2052-06-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 36207XBB7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |         31 | PA      | $31.57         | 0.00%             | 2027-01-15      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3132DWEC3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    4847965 | PA      | $4713304.77    | 0.02%             | 2052-07-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3131XPQK7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     823427 | PA      | $798447.71     | 0.00%             | 2044-01-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 36183XQ60<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       2233 | PA      | $2040.47       | 0.00%             | 2045-03-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 36291GY26<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        986 | PA      | $990.67        | 0.00%             | 2034-05-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 36295WJ73<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       3025 | PA      | $3110.90       | 0.00%             | 2038-04-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138WD2F7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     205828 | PA      | $194188.26     | 0.00%             | 2045-02-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 313615US3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        193 | PA      | $193.38        | 0.00%             | 2024-02-01      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3132GRJA0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      15232 | PA      | $14377.56      | 0.00%             | 2042-02-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae II Pool                               | CUSIP: 36202EQA0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      19449 | PA      | $20589.38      | 0.00%             | 2037-11-20      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3131Y3UU8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     234778 | PA      | $232007.09     | 0.00%             | 2048-10-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 36290RXX6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       1504 | PA      | $1561.71       | 0.00%             | 2033-08-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 36181BRN2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     231893 | PA      | $220529.47     | 0.00%             | 2043-08-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138WJWG9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   41745656 | PA      | $38008050.95   | 0.16%             | 2047-02-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31418CYN8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     124914 | PA      | $123439.24     | 0.00%             | 2048-07-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 36296QRL5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      14550 | PA      | $14601.70      | 0.00%             | 2039-04-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 36202SAZ1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       4634 | PA      | $4787.27       | 0.00%             | 2033-02-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3132DN2C6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   15220326 | PA      | $14433420.61   | 0.06%             | 2052-09-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3132M8QJ8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      12497 | PA      | $12471.94      | 0.00%             | 2044-08-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140J5U49<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      29162 | PA      | $28331.51      | 0.00%             | 2043-10-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 31307U5Z7<br>LEI: 254900HROIFWPRGM1V77 | Long             | ABS-MBS          | USGSE             | US        |     729161 | PA      | $694956.79     | 0.00%             | 2032-11-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 3622A2FW7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    8854420 | PA      | $8417080.40    | 0.04%             | 2043-06-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 31335AGJ1<br>LEI: 254900HROIFWPRGM1V77 | Long             | ABS-MBS          | USGSE             | US        |     763257 | PA      | $761736.28     | 0.00%             | 2044-12-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138XXX84<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      75596 | PA      | $77070.22      | 0.00%             | 2044-08-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3128M43N1<br>LEI: 254900HROIFWPRGM1V77 | Long             | ABS-MBS          | USGSE             | US        |       1091 | PA      | $1124.70       | 0.00%             | 2035-07-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 31292KZX8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      26082 | PA      | $26658.86      | 0.00%             | 2040-02-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31385JPY8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       1929 | PA      | $2086.21       | 0.00%             | 2032-05-01      | Fixed         | 8.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140J5NU9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     254692 | PA      | $232329.76     | 0.00%             | 2047-02-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138YSQY5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    4163260 | PA      | $3764966.64    | 0.02%             | 2045-05-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3132D6CY4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   32040969 | PA      | $30115237.45   | 0.13%             | 2037-11-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3132AEEY8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    2026004 | PA      | $1874280.58    | 0.01%             | 2049-05-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 36210BBC8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |         44 | PA      | $45.69         | 0.00%             | 2029-03-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3128LDH98<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      89824 | PA      | $93264.59      | 0.00%             | 2036-05-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138YH3E8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      15337 | PA      | $14864.10      | 0.00%             | 2045-01-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138XJ5X1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      59562 | PA      | $57725.88      | 0.00%             | 2044-04-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140JRUM1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     659155 | PA      | $609786.19     | 0.00%             | 2049-05-01      | 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        |      60825 | PA      | $60535.01      | 0.00%             | 2041-08-01      | Floating      | 3.77%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31371MGF8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       2501 | PA      | $2538.74       | 0.00%             | 2035-10-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31406YTT7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       1053 | PA      | $1069.25       | 0.00%             | 2035-04-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3128MCRS6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       4289 | PA      | $4235.66       | 0.00%             | 2025-08-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31378WS33<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        284 | PA      | $285.64        | 0.00%             | 2028-04-01      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31402RFW4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      79382 | PA      | $80463.75      | 0.00%             | 2035-06-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3131XUJZ1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     336460 | PA      | $326040.28     | 0.00%             | 2046-04-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31373UBZ9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        111 | PA      | $110.71        | 0.00%             | 2025-08-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae II Pool                               | CUSIP: 36179TLR4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   13359676 | PA      | $12260595.98   | 0.05%             | 2047-11-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140JAAZ1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   11847247 | PA      | $11171664.44   | 0.05%             | 2046-12-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140XDRM0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    6590489 | PA      | $5645757.52    | 0.02%             | 2051-11-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae II Pool                               | CUSIP: 36179NJE9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      20707 | PA      | $21530.75      | 0.00%             | 2043-07-20      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31412WRH1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       1260 | PA      | $1283.08       | 0.00%             | 2037-05-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31401C5R0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       4830 | PA      | $5027.38       | 0.00%             | 2033-03-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 36202W2G3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      14542 | PA      | $15158.16      | 0.00%             | 2033-06-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3128CUWB8<br>LEI: 254900HROIFWPRGM1V77 | Long             | ABS-MBS          | USGSE             | US        |     785906 | PA      | $746154.69     | 0.00%             | 2033-05-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3132WDD35<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      86951 | PA      | $78656.33      | 0.00%             | 2046-04-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140JAJ58<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     208782 | PA      | $194892.98     | 0.00%             | 2046-06-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138YNDM6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     108835 | PA      | $104191.25     | 0.00%             | 2030-04-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 312937BJ3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      11140 | PA      | $11146.04      | 0.00%             | 2039-11-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140QEEC2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1293123 | PA      | $1196628.14    | 0.01%             | 2050-07-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140LP6T4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    3061320 | PA      | $2730325.48    | 0.01%             | 2051-06-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138WXLE5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     150366 | PA      | $137276.02     | 0.00%             | 2043-08-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 3620A93H2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     110147 | PA      | $110534.49     | 0.00%             | 2040-01-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31416KCR7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      32364 | PA      | $33042.63      | 0.00%             | 2039-03-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31403DGZ6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     270439 | PA      | $280501.93     | 0.00%             | 2036-05-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae II Pool                               | CUSIP: 3617ANZP4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    3640107 | PA      | $3534719.78    | 0.02%             | 2047-08-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138E67H3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      11774 | PA      | $11348.99      | 0.00%             | 2027-02-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 312931R42<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |        257 | PA      | $257.19        | 0.00%             | 2039-03-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 3620AC3F9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      84954 | PA      | $87704.87      | 0.00%             | 2039-09-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 36176VNG4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      87654 | PA      | $83324.47      | 0.00%             | 2042-07-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 3620A9ZD6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      13762 | PA      | $14193.63      | 0.00%             | 2039-12-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138YJLS3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     297573 | PA      | $284876.95     | 0.00%             | 2030-05-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138WEGR4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      63353 | PA      | $59138.69      | 0.00%             | 2045-04-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140KLH47<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     148372 | PA      | $127982.10     | 0.00%             | 2050-10-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31418RSB8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      12398 | PA      | $12069.03      | 0.00%             | 2040-05-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3128M7DJ2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     115139 | PA      | $117547.16     | 0.00%             | 2039-01-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 36207D7E0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |          6 | PA      | $5.80          | 0.00%             | 2026-03-15      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 312942QF5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      11462 | PA      | $11168.40      | 0.00%             | 2040-10-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 31293FUX3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |        306 | PA      | $317.57        | 0.00%             | 2028-12-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3132DN5V1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    4992846 | PA      | $4746009.58    | 0.02%             | 2052-10-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 3617B6KW1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      29647 | PA      | $27036.57      | 0.00%             | 2047-12-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3133A4TV8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     611543 | PA      | $610630.79     | 0.00%             | 2050-05-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae II Pool                               | CUSIP: 3617A8Q44<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    4165559 | PA      | $3949856.38    | 0.02%             | 2045-09-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31386SWP8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        706 | PA      | $730.85        | 0.00%             | 2031-03-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138WFJL1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       8427 | PA      | $8145.35       | 0.00%             | 2045-08-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138W9SB7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     339909 | PA      | $301063.94     | 0.00%             | 2043-08-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31402Q2V2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      42660 | PA      | $43241.50      | 0.00%             | 2035-03-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31418CQB3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    5356039 | PA      | $5150310.95    | 0.02%             | 2047-10-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138A1L33<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       2494 | PA      | $2446.85       | 0.00%             | 2026-01-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140M2R61<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    5397777 | PA      | $4952172.10    | 0.02%             | 2052-01-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3128MJYA2<br>LEI: 254900HROIFWPRGM1V77 | Long             | ABS-MBS          | USGSE             | US        |     289893 | PA      | $287405.76     | 0.00%             | 2046-04-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31418RGS4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      48267 | PA      | $48252.58      | 0.00%             | 2040-04-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 36241LTS5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      29148 | PA      | $29249.12      | 0.00%             | 2041-03-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138EHGD8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      33480 | PA      | $35314.35      | 0.00%             | 2040-04-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140HBAA6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     326742 | PA      | $317213.83     | 0.00%             | 2033-11-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 31307U2R8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    2200156 | PA      | $2096949.59    | 0.01%             | 2032-11-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3131WCSL3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     311138 | PA      | $315201.47     | 0.00%             | 2033-08-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138XCCD2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      32513 | PA      | $32416.27      | 0.00%             | 2044-06-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31416NSE3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        476 | PA      | $486.17        | 0.00%             | 2039-04-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 31339UQJ2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    2245460 | PA      | $2005339.23    | 0.01%             | 2049-10-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31401PEU4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       1473 | PA      | $1517.16       | 0.00%             | 2033-05-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140K1JP2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     599050 | PA      | $555438.28     | 0.00%             | 2034-09-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31403DJX8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       2151 | PA      | $2302.58       | 0.00%             | 2036-02-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140QFF61<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    3373763 | PA      | $3004957.39    | 0.01%             | 2050-10-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31414CCS5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       1181 | PA      | $1204.86       | 0.00%             | 2038-03-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae II Pool                               | CUSIP: 36202DS44<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       7357 | PA      | $7766.41       | 0.00%             | 2032-05-20      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31371L4Q9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       1856 | PA      | $1925.14       | 0.00%             | 2035-03-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138EHN24<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       2667 | PA      | $2856.76       | 0.00%             | 2039-05-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3132M4MS1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      10520 | PA      | $10210.60      | 0.00%             | 2044-01-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 36206WYW9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        210 | PA      | $214.78        | 0.00%             | 2026-06-15      | Fixed         | 8.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3131XUTT4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    1489728 | PA      | $1388602.01    | 0.01%             | 2046-07-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138WPGY4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     622458 | PA      | $568269.45     | 0.00%             | 2043-04-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 36297GV98<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      30741 | PA      | $27327.23      | 0.00%             | 2043-04-15      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140EUQ51<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     381104 | PA      | $355751.68     | 0.00%             | 2045-12-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31402Q3E9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        809 | PA      | $806.58        | 0.00%             | 2028-11-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140F4NA0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     417280 | PA      | $388945.48     | 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        |    3411192 | PA      | $2912857.61    | 0.01%             | 2052-05-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138XC2J0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        692 | PA      | $687.66        | 0.00%             | 2026-01-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31418SAP4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      18226 | PA      | $18220.15      | 0.00%             | 2040-05-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138YSSM9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     134436 | PA      | $128700.69     | 0.00%             | 2030-05-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138AVS89<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      16681 | PA      | $16676.11      | 0.00%             | 2041-10-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31418VQY1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       5564 | PA      | $5416.22       | 0.00%             | 2040-08-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140JH6J7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1282258 | PA      | $1267123.69    | 0.01%             | 2049-01-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3128M5XF2<br>LEI: 254900HROIFWPRGM1V77 | Long             | ABS-MBS          | USGSE             | US        |    1103331 | PA      | $1126403.31    | 0.00%             | 2038-03-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3128MJXX3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      87008 | PA      | $81297.75      | 0.00%             | 2046-03-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140EU2A6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      34128 | PA      | $33878.49      | 0.00%             | 2045-12-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140QAHH6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1787966 | PA      | $1663567.14    | 0.01%             | 2048-11-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3128K3XA0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       4834 | PA      | $5019.32       | 0.00%             | 2036-02-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138EKFR1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       1496 | PA      | $1523.12       | 0.00%             | 2039-11-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3133BGDA3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    4890229 | PA      | $4912802.92    | 0.02%             | 2052-07-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140JXCD8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     462604 | PA      | $466417.89     | 0.00%             | 2049-08-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140X4MW3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   17764915 | PA      | $17211112.55   | 0.07%             | 2049-07-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3132DWC68<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   10411026 | PA      | $8558495.53    | 0.04%             | 2052-02-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31373URD1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        364 | PA      | $369.46        | 0.00%             | 2026-05-01      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140HPBK2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     426346 | PA      | $421038.47     | 0.00%             | 2033-10-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31404RYS0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       1858 | PA      | $1916.09       | 0.00%             | 2034-04-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31417NNL1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       1586 | PA      | $1582.27       | 0.00%             | 2039-09-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31401BLH6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       3479 | PA      | $3582.14       | 0.00%             | 2033-04-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3132XSDX5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     693002 | PA      | $651825.53     | 0.00%             | 2047-08-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31369TN77<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |          4 | PA      | $4.17          | 0.00%             | 2023-06-01      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31418DKJ0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1509323 | PA      | $1399443.18    | 0.01%             | 2035-01-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140HH4K8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    2548605 | PA      | $2449988.81    | 0.01%             | 2048-05-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31414Q4W4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        952 | PA      | $1004.54       | 0.00%             | 2038-02-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae II Pool                               | CUSIP: 36184Q2N3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      87409 | PA      | $82882.74      | 0.00%             | 2045-05-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3128M84T8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      26849 | PA      | $26161.13      | 0.00%             | 2041-12-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 31297PKL4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       1283 | PA      | $1331.66       | 0.00%             | 2035-03-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3132HPHK3<br>LEI: 254900HROIFWPRGM1V77 | Long             | ABS-MBS          | USGSE             | US        |     985701 | PA      | $902991.88     | 0.00%             | 2042-11-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138A7QM3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      31669 | PA      | $30767.39      | 0.00%             | 2041-02-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31416CE85<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     123855 | PA      | $128739.93     | 0.00%             | 2038-11-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140QPAY3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   15334888 | PA      | $14502295.06   | 0.06%             | 2052-05-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138WHSA1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      23144 | PA      | $22060.50      | 0.00%             | 2031-08-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138Y5AP1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      20077 | PA      | $18304.47      | 0.00%             | 2045-01-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae II Pool                               | CUSIP: 36179TQN8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   38658625 | PA      | $35478239.74   | 0.15%             | 2048-01-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140EBNN7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      42000 | PA      | $40081.89      | 0.00%             | 2045-12-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3132JAVK8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      19336 | PA      | $17669.92      | 0.00%             | 2043-06-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138XMXN5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       2447 | PA      | $2452.07       | 0.00%             | 2044-03-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140XHGX9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   13104721 | PA      | $12328163.88   | 0.05%             | 2037-05-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140KPWC3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1337907 | PA      | $1110090.72    | 0.00%             | 2050-11-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140QCT97<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1167887 | PA      | $1113217.73    | 0.00%             | 2033-10-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31378XZJ8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |         37 | PA      | $37.49         | 0.00%             | 2028-01-01      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140J9W56<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     529168 | PA      | $517214.19     | 0.00%             | 2032-09-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3132KFPE6<br>LEI: 254900HROIFWPRGM1V77 | Long             | ABS-MBS          | USGSE             | US        |     489850 | PA      | $461635.47     | 0.00%             | 2031-10-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3128PSDS3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       1814 | PA      | $1782.65       | 0.00%             | 2025-08-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138E0SD2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1582778 | PA      | $1527920.75    | 0.01%             | 2026-12-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3132QSGY8<br>LEI: 254900HROIFWPRGM1V77 | Long             | ABS-MBS          | USGSE             | US        |     698474 | PA      | $656406.98     | 0.00%             | 2045-08-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3133ASBC6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    1284320 | PA      | $1096383.66    | 0.00%             | 2051-09-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31418DXK3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  157210887 | PA      | $129699459.47  | 0.55%             | 2051-03-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140Q8GQ2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1275217 | PA      | $1239804.93    | 0.01%             | 2032-12-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140H3XW1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    2094391 | PA      | $1951836.30    | 0.01%             | 2047-12-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31412MLU0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       2803 | PA      | $2913.40       | 0.00%             | 2038-02-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140X4Z66<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     348098 | PA      | $341067.18     | 0.00%             | 2032-07-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140K3BP6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     116934 | PA      | $104430.12     | 0.00%             | 2050-01-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 36230NJM8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     335965 | PA      | $329357.92     | 0.00%             | 2041-02-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3128KXMQ1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       3848 | PA      | $4062.91       | 0.00%             | 2037-10-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3128K85V4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |        431 | PA      | $438.40        | 0.00%             | 2035-12-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae II Pool                               | CUSIP: 36202F3P9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      55289 | PA      | $55730.14      | 0.00%             | 2042-02-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3128M7LH7<br>LEI: 254900HROIFWPRGM1V77 | Long             | ABS-MBS          | USGSE             | US        |     479854 | PA      | $486662.11     | 0.00%             | 2033-12-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140X5U35<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    2473512 | PA      | $2409266.23    | 0.01%             | 2032-11-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31419BJT3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      58663 | PA      | $57591.09      | 0.00%             | 2025-07-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140E7LM0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       3194 | PA      | $2981.47       | 0.00%             | 2045-12-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3131YCLK0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    1592267 | PA      | $1473025.37    | 0.01%             | 2049-05-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 31292HAA2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |        126 | PA      | $135.68        | 0.00%             | 2029-12-01      | Fixed         | 8.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31414L4Z8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      12849 | PA      | $13084.72      | 0.00%             | 2038-03-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3128MMS61<br>LEI: 254900HROIFWPRGM1V77 | Long             | ABS-MBS          | USGSE             | US        |      84093 | PA      | $79764.82      | 0.00%             | 2030-02-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140FB7H7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      83370 | PA      | $80276.07      | 0.00%             | 2029-10-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3133G9JQ3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     446570 | PA      | $413323.29     | 0.00%             | 2035-08-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 36290QVY8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       1574 | PA      | $1609.27       | 0.00%             | 2033-06-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3129357C7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       3682 | PA      | $3684.05       | 0.00%             | 2039-09-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140X8V46<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     167205 | PA      | $160782.58     | 0.00%             | 2049-01-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 31292LGW9<br>LEI: 254900HROIFWPRGM1V77 | Long             | ABS-MBS          | USGSE             | US        |     652707 | PA      | $616075.95     | 0.00%             | 2042-04-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3128M83H5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      35515 | PA      | $34536.26      | 0.00%             | 2041-10-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae II Pool                               | CUSIP: 36179MVS6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   11074778 | PA      | $10530801.44   | 0.04%             | 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        |    1292999 | PA      | $1341112.77    | 0.01%             | 2036-04-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138A9L93<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     265346 | PA      | $260065.20     | 0.00%             | 2026-03-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3128KTA26<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       3481 | PA      | $3674.81       | 0.00%             | 2037-07-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31410LB68<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       6439 | PA      | $6789.80       | 0.00%             | 2038-12-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140JX5R5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     944980 | PA      | $888525.74     | 0.00%             | 2035-01-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3133G6TV7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    1000500 | PA      | $947093.49     | 0.00%             | 2034-09-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140MXKM5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    5862702 | PA      | $5918823.47    | 0.03%             | 2052-08-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 36178DPF2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    2471252 | PA      | $2269494.13    | 0.01%             | 2042-11-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138EKZ24<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      22873 | PA      | $20890.35      | 0.00%             | 2043-05-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140GSSZ6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     459122 | PA      | $446183.17     | 0.00%             | 2047-10-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae II Pool                               | CUSIP: 36179NNB0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      23745 | PA      | $23219.89      | 0.00%             | 2043-09-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138MPWW1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     360008 | PA      | $345437.81     | 0.00%             | 2027-12-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31416XEF3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      15921 | PA      | $15447.38      | 0.00%             | 2025-12-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3131XANJ6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     624619 | PA      | $599899.56     | 0.00%             | 2029-06-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3128MMU35<br>LEI: 254900HROIFWPRGM1V77 | Long             | ABS-MBS          | USGSE             | US        |    5318880 | PA      | $5074948.14    | 0.02%             | 2031-05-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31402DF70<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     198324 | PA      | $208828.27     | 0.00%             | 2034-08-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31412MNS3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        198 | PA      | $202.13        | 0.00%             | 2038-04-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31413CF53<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      10066 | PA      | $10617.40      | 0.00%             | 2037-07-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 36203LD74<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |         36 | PA      | $35.85         | 0.00%             | 2023-06-15      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31411JJH0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       2682 | PA      | $2786.71       | 0.00%             | 2037-02-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140EY2N0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      22306 | PA      | $20791.46      | 0.00%             | 2046-04-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140H5AN1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    2857625 | PA      | $2708221.25    | 0.01%             | 2048-01-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140QPA98<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    4541822 | PA      | $4490915.16    | 0.02%             | 2052-05-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140E9J23<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     103571 | PA      | $100113.68     | 0.00%             | 2046-01-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140KKEX8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     531608 | PA      | $476843.46     | 0.00%             | 2050-03-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3128M9DE9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     806056 | PA      | $760818.82     | 0.00%             | 2042-04-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 36178ENX3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      19467 | PA      | $18512.88      | 0.00%             | 2043-06-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31418C2J2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   11571229 | PA      | $11518673.40   | 0.05%             | 2038-09-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 31306YZQ7<br>LEI: 254900HROIFWPRGM1V77 | Long             | ABS-MBS          | USGSE             | US        |     156465 | PA      | $151895.84     | 0.00%             | 2027-12-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3128PMUQ1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |        220 | PA      | $216.96        | 0.00%             | 2024-05-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3128MJAN0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       1307 | PA      | $1393.61       | 0.00%             | 2034-09-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 31307RGR0<br>LEI: 254900HROIFWPRGM1V77 | Long             | ABS-MBS          | USGSE             | US        |     857963 | PA      | $808545.46     | 0.00%             | 2031-06-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 36180HSP4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       3893 | PA      | $3575.23       | 0.00%             | 2043-05-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 31292HZN7<br>LEI: 254900HROIFWPRGM1V77 | Long             | ABS-MBS          | USGSE             | US        |     103125 | PA      | $106297.44     | 0.00%             | 2033-10-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31418TNG8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       2341 | PA      | $2301.77       | 0.00%             | 2025-05-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3128MMT37<br>LEI: 254900HROIFWPRGM1V77 | Long             | ABS-MBS          | USGSE             | US        |    1727601 | PA      | $1655459.52    | 0.01%             | 2030-09-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3133AGEU9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    2575937 | PA      | $2127185.12    | 0.01%             | 2051-03-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140J8MD2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    2812834 | PA      | $2681164.08    | 0.01%             | 2032-12-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140KNLB2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    5929085 | PA      | $4914227.99    | 0.02%             | 2050-10-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3128MMSP9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       4422 | PA      | $4327.82       | 0.00%             | 2029-09-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138Y64A9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1418215 | PA      | $1417800.14    | 0.01%             | 2042-01-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31411RBT4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        511 | PA      | $511.52        | 0.00%             | 2037-04-01      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140JAN46<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     456705 | PA      | $431980.81     | 0.00%             | 2048-11-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae II Pool                               | CUSIP: 36202EWE5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    1378661 | PA      | $1463919.81    | 0.01%             | 2038-09-20      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31417SCT5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       1206 | PA      | $1191.93       | 0.00%             | 2024-11-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3128MMR47<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      11196 | PA      | $10958.50      | 0.00%             | 2029-03-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138AFKQ2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      33231 | PA      | $32311.41      | 0.00%             | 2026-05-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 31297UVE7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       2415 | PA      | $2515.72       | 0.00%             | 2035-01-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 36200MWG4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      13150 | PA      | $13770.48      | 0.00%             | 2033-09-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31414EQX5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        311 | PA      | $310.71        | 0.00%             | 2038-06-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 36291FVR6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       9924 | PA      | $10234.05      | 0.00%             | 2034-03-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 36241LJY3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      16774 | PA      | $17572.18      | 0.00%             | 2039-09-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140KXSY3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    4566376 | PA      | $3782419.66    | 0.02%             | 2051-01-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31412LWT3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       7731 | PA      | $8280.89       | 0.00%             | 2037-09-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31382KV70<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |         71 | PA      | $73.53         | 0.00%             | 2029-06-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138YWZ75<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       4511 | PA      | $4360.16       | 0.00%             | 2045-07-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138E0L56<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      28598 | PA      | $27783.87      | 0.00%             | 2042-01-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3133A1QG0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    1341334 | PA      | $1213146.27    | 0.01%             | 2050-02-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138M7WU5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      39416 | PA      | $36000.23      | 0.00%             | 2042-08-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3128MJZ86<br>LEI: 254900HROIFWPRGM1V77 | Long             | ABS-MBS          | USGSE             | US        |     163886 | PA      | $152883.51     | 0.00%             | 2047-06-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 36176QEN0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      14548 | PA      | $14259.60      | 0.00%             | 2041-09-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31382G3K1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       1879 | PA      | $1935.17       | 0.00%             | 2029-02-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138WXYD3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    2856149 | PA      | $2692210.33    | 0.01%             | 2043-06-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3132XVUV3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     735236 | PA      | $674301.43     | 0.00%             | 2047-12-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138WLCK7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     353099 | PA      | $339536.51     | 0.00%             | 2047-07-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31408DQA5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       1790 | PA      | $1816.97       | 0.00%             | 2035-11-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae II Pool                               | CUSIP: 3617JLZ20<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     770662 | PA      | $758485.31     | 0.00%             | 2049-04-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3132QVGC9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      32863 | PA      | $31796.52      | 0.00%             | 2046-01-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138ER2X7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    2565213 | PA      | $2455767.82    | 0.01%             | 2031-12-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140HKA24<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     376444 | PA      | $365135.08     | 0.00%             | 2048-08-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae II Pool                               | CUSIP: 3617J47J2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    1036435 | PA      | $1047638.50    | 0.00%             | 2048-11-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3132CWC85<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    4302024 | PA      | $4290929.49    | 0.02%             | 2034-07-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae II Pool                               | CUSIP: 36179MAH3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      38529 | PA      | $37062.49      | 0.00%             | 2027-04-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3128KHEY8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       3072 | PA      | $3194.91       | 0.00%             | 2036-06-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 31287YND2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |        734 | PA      | $756.06        | 0.00%             | 2032-09-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140QBKR8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     855020 | PA      | $809353.33     | 0.00%             | 2034-07-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140FQTZ0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    2962331 | PA      | $2765268.10    | 0.01%             | 2046-11-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 31292HQC1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |        160 | PA      | $166.93        | 0.00%             | 2032-05-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3128MJAS9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       3214 | PA      | $3387.57       | 0.00%             | 2034-10-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae II Pool                               | CUSIP: 36179WQB7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    2105816 | PA      | $1905738.53    | 0.01%             | 2051-10-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31418CR89<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     753038 | PA      | $701782.82     | 0.00%             | 2047-12-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31411AJE6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        337 | PA      | $361.24        | 0.00%             | 2036-11-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31418NJC5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      10435 | PA      | $10250.28      | 0.00%             | 2025-05-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140QCYW0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   22013572 | PA      | $19731713.59   | 0.08%             | 2050-02-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3132QRBV1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     258260 | PA      | $233787.84     | 0.00%             | 2045-07-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31418UC28<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       4166 | PA      | $4093.79       | 0.00%             | 2025-05-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31416RNM1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     129083 | PA      | $129030.40     | 0.00%             | 2039-07-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140F0NL4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    2226597 | PA      | $2013581.27    | 0.01%             | 2046-04-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3128M4EK5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       5640 | PA      | $6142.55       | 0.00%             | 2036-12-01      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140HEAG7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1897219 | PA      | $1765219.03    | 0.01%             | 2048-07-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3128PREC9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       2356 | PA      | $2316.42       | 0.00%             | 2025-03-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138EPUP7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    7946207 | PA      | $7926720.32    | 0.03%             | 2045-02-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3128PPK85<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |        214 | PA      | $212.01        | 0.00%             | 2024-07-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 36295YGB3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       1013 | PA      | $1062.09       | 0.00%             | 2038-02-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140X4TL0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     277475 | PA      | $266244.60     | 0.00%             | 2028-09-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3128M9KG6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       5779 | PA      | $5782.29       | 0.00%             | 2042-03-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138EJGM4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       4726 | PA      | $4585.66       | 0.00%             | 2042-06-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae II Pool                               | CUSIP: 36179U6X5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     940556 | PA      | $932121.45     | 0.00%             | 2049-11-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3128KUTP2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |        223 | PA      | $234.93        | 0.00%             | 2037-08-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 36198VLY1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      47220 | PA      | $44888.61      | 0.00%             | 2044-07-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140FH7C5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    2467235 | PA      | $2120658.43    | 0.01%             | 2050-07-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 31283GPX9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |          8 | PA      | $7.82          | 0.00%             | 2025-12-01      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 36209W3L4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |         10 | PA      | $9.50          | 0.00%             | 2028-08-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3133KKLM9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   30677268 | PA      | $26240047.01   | 0.11%             | 2050-11-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31414HA31<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       2360 | PA      | $2489.44       | 0.00%             | 2037-12-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae II Pool                               | CUSIP: 36179WDQ8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    2405229 | PA      | $2051497.66    | 0.01%             | 2051-04-20      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140H9PK3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1986102 | PA      | $1847917.66    | 0.01%             | 2049-02-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 36200NRD5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       2222 | PA      | $2271.63       | 0.00%             | 2034-04-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140QGLY1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   22448058 | PA      | $18550827.95   | 0.08%             | 2051-01-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138WARA7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      49194 | PA      | $49134.36      | 0.00%             | 2043-12-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 312945LK2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     587714 | PA      | $588107.42     | 0.00%             | 2041-02-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 3620ASDV8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    1117299 | PA      | $1095138.09    | 0.00%             | 2041-04-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3133AT6P1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    3730321 | PA      | $3077668.87    | 0.01%             | 2051-10-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae II Pool                               | CUSIP: 36179USU7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    1565058 | PA      | $1509514.45    | 0.01%             | 2049-05-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3132QR6F2<br>LEI: 254900HROIFWPRGM1V77 | Long             | ABS-MBS          | USGSE             | US        |     437302 | PA      | $399016.72     | 0.00%             | 2045-08-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31417EFA4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   20193811 | PA      | $18443648.94   | 0.08%             | 2042-12-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 31283HS89<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |        205 | PA      | $213.60        | 0.00%             | 2032-08-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140FUUU0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     437050 | PA      | $424913.95     | 0.00%             | 2032-07-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138MBMB9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      15015 | PA      | $13713.95      | 0.00%             | 2042-09-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3129302P4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      48537 | PA      | $50500.80      | 0.00%             | 2039-02-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31419AGR2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      19212 | PA      | $19153.48      | 0.00%             | 2033-11-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140FCXJ2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      21061 | PA      | $20859.82      | 0.00%             | 2046-07-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 31297VC63<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       2276 | PA      | $2313.04       | 0.00%             | 2035-11-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31368HKZ5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |         94 | PA      | $97.06         | 0.00%             | 2031-04-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3132AARQ9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    1391361 | PA      | $1310972.21    | 0.01%             | 2045-10-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31410GAR4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        640 | PA      | $648.68        | 0.00%             | 2035-09-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3128KRJD7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |        518 | PA      | $555.58        | 0.00%             | 2036-09-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae II Pool                               | CUSIP: 36179UQ70<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     655082 | PA      | $662163.40     | 0.00%             | 2049-04-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3128MJZE3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     935317 | PA      | $818383.28     | 0.00%             | 2046-12-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 3620AY6G6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      45369 | PA      | $44469.06      | 0.00%             | 2041-09-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae II Pool                               | CUSIP: 36179RTE9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     174855 | PA      | $186845.13     | 0.00%             | 2040-04-20      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 3620AHM59<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      15902 | PA      | $15956.88      | 0.00%             | 2040-03-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3133GDHR4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    2786135 | PA      | $2502913.12    | 0.01%             | 2036-05-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140J5LM9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      12467 | PA      | $12210.62      | 0.00%             | 2031-11-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3133BAFQ9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    8045119 | PA      | $7119476.09    | 0.03%             | 2052-04-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140K1V37<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1384552 | PA      | $1238439.74    | 0.01%             | 2050-01-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140FNX25<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     804348 | PA      | $783456.17     | 0.00%             | 2031-12-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 31292VT37<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |        356 | PA      | $369.45        | 0.00%             | 2028-06-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31418EAN0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   60990885 | PA      | $52252741.98   | 0.22%             | 2052-01-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 36209CUG9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        158 | PA      | $160.99        | 0.00%             | 2028-04-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3132VLWD5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     875834 | PA      | $890334.97     | 0.00%             | 2049-01-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31418EG38<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   24863328 | PA      | $21738161.91   | 0.09%             | 2037-07-01      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31418CGA6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     328222 | PA      | $309016.76     | 0.00%             | 2031-12-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 36188QHV5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      45738 | PA      | $45340.93      | 0.00%             | 2045-10-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 36177NQW3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      30969 | PA      | $29432.82      | 0.00%             | 2042-01-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 3620AAFW3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      22679 | PA      | $22758.91      | 0.00%             | 2040-02-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31391PNA0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       2733 | PA      | $2857.31       | 0.00%             | 2032-09-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31418CZZ0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      38698 | PA      | $38774.96      | 0.00%             | 2033-07-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 36201BNF9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       1156 | PA      | $1197.88       | 0.00%             | 2032-06-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138YBAX1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       8116 | PA      | $7866.23       | 0.00%             | 2044-12-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 31307PXL8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      12355 | PA      | $11718.98      | 0.00%             | 2030-12-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31402C4J8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      12581 | PA      | $12954.11      | 0.00%             | 2034-04-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 36179BN75<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       6472 | PA      | $6297.52       | 0.00%             | 2043-05-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 36241LX84<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     178775 | PA      | $169907.24     | 0.00%             | 2041-09-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 31339SV36<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    5591799 | PA      | $5042620.36    | 0.02%             | 2049-10-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31416WEW8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      56532 | PA      | $56515.54      | 0.00%             | 2040-05-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140KHJN2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    4368823 | PA      | $3870601.33    | 0.02%             | 2050-07-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 31283H6H3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |        955 | PA      | $969.24        | 0.00%             | 2035-02-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140E26C0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     260552 | PA      | $251853.74     | 0.00%             | 2045-08-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140Q9W74<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     977558 | PA      | $939732.07     | 0.00%             | 2048-10-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140XB3V0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   78650835 | PA      | $67661057.81   | 0.29%             | 2051-08-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae II Pool                               | CUSIP: 36179QL41<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   20592994 | PA      | $18968461.22   | 0.08%             | 2044-08-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140QHCQ6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    2049486 | PA      | $1951482.81    | 0.01%             | 2033-09-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140E14G5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     632518 | PA      | $599372.65     | 0.00%             | 2030-08-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140KPNB5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    2236633 | PA      | $2012336.41    | 0.01%             | 2035-09-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31402N4X3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        874 | PA      | $871.01        | 0.00%             | 2033-08-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31410GGK3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     503173 | PA      | $538936.12     | 0.00%             | 2037-08-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 36207MYC4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |         17 | PA      | $16.91         | 0.00%             | 2026-07-15      | Fixed         | 8.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138WALT2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1755434 | PA      | $1753288.64    | 0.01%             | 2043-11-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae                                       | CUSIP: 21H0306C3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |  120812000 | PA      | $109102279.99  | 0.47%             | 2052-12-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3132A8T66<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    1537417 | PA      | $1465464.02    | 0.01%             | 2032-03-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 36176XFG9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    2419961 | PA      | $2366375.43    | 0.01%             | 2042-03-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3133L7GL5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     563904 | PA      | $563477.74     | 0.00%             | 2034-08-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 31307US33<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     419263 | PA      | $399595.50     | 0.00%             | 2032-10-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3133AJEH2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    5452131 | PA      | $4834430.29    | 0.02%             | 2051-03-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3133KMXU4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   35376934 | PA      | $29187433.66   | 0.12%             | 2051-10-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 31335CAP9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    2870122 | PA      | $2695783.27    | 0.01%             | 2048-09-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3128PQQZ7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |        899 | PA      | $892.36        | 0.00%             | 2024-12-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 36188KK28<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     112291 | PA      | $109204.88     | 0.00%             | 2045-09-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31417LCP8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      24004 | PA      | $23994.78      | 0.00%             | 2039-09-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31378AW51<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        287 | PA      | $288.93        | 0.00%             | 2027-07-01      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 36241KTY4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       7744 | PA      | $8125.27       | 0.00%             | 2038-07-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140KBTT1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     647325 | PA      | $612466.66     | 0.00%             | 2035-04-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140MAEB6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    2979294 | PA      | $2453462.15    | 0.01%             | 2052-02-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3128MJUC2<br>LEI: 254900HROIFWPRGM1V77 | Long             | ABS-MBS          | USGSE             | US        |     348756 | PA      | $348061.60     | 0.00%             | 2044-03-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 36295GQM7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       8877 | PA      | $9290.07       | 0.00%             | 2039-01-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 31283GPV3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |         35 | PA      | $35.11         | 0.00%             | 2025-06-01      | Fixed         | 9.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140Q8QG3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    7463179 | PA      | $7002363.79    | 0.03%             | 2048-03-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138X4L40<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       8338 | PA      | $7996.67       | 0.00%             | 2028-08-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31405EPF6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      29976 | PA      | $30384.76      | 0.00%             | 2034-05-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140XHJL2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     388124 | PA      | $369291.96     | 0.00%             | 2052-06-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 3620AGJD8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      19511 | PA      | $19124.05      | 0.00%             | 2041-07-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3128LXB90<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       5837 | PA      | $5919.50       | 0.00%             | 2034-01-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31414APL0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       3416 | PA      | $3549.80       | 0.00%             | 2038-01-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3128M7ZN9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       1742 | PA      | $1743.30       | 0.00%             | 2040-05-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 3622A2JY9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      10059 | PA      | $9859.30       | 0.00%             | 2044-03-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140HPPS0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     565006 | PA      | $570998.54     | 0.00%             | 2048-10-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138XSAG2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     133986 | PA      | $129854.90     | 0.00%             | 2044-04-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138ENTC3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      41897 | PA      | $42666.09      | 0.00%             | 2044-01-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 31283G5H6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |        127 | PA      | $129.49        | 0.00%             | 2026-12-01      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140GUMA2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     110434 | PA      | $102917.37     | 0.00%             | 2047-11-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 31307NBE3<br>LEI: 254900HROIFWPRGM1V77 | Long             | ABS-MBS          | USGSE             | US        |      13533 | PA      | $12968.06      | 0.00%             | 2030-06-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140KCAV4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     938402 | PA      | $892275.83     | 0.00%             | 2050-04-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31371G5U0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        239 | PA      | $247.29        | 0.00%             | 2028-08-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 31297PCE9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       3638 | PA      | $3777.25       | 0.00%             | 2035-03-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138WHER9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      21603 | PA      | $19522.63      | 0.00%             | 2046-06-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140E9JT4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      18598 | PA      | $17804.43      | 0.00%             | 2031-01-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138YAFD2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     205578 | PA      | $199239.72     | 0.00%             | 2044-12-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31410KMQ4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        746 | PA      | $775.66        | 0.00%             | 2038-06-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 31287XX35<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       2714 | PA      | $2840.50       | 0.00%             | 2032-09-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138ERX39<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    9459144 | PA      | $8628618.40    | 0.04%             | 2047-01-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31418XES3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       4101 | PA      | $4004.49       | 0.00%             | 2025-08-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 312934FS6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      34329 | PA      | $34348.72      | 0.00%             | 2039-07-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3128L3PV2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       2958 | PA      | $3171.55       | 0.00%             | 2037-08-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 3620A15B0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       1797 | PA      | $1803.02       | 0.00%             | 2039-06-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3133A4N85<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     649374 | PA      | $605908.14     | 0.00%             | 2050-05-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140F3KB3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1513254 | PA      | $1455717.32    | 0.01%             | 2046-09-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3133GBBR4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    6814343 | PA      | $6130097.14    | 0.03%             | 2035-12-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140KQMG3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    7386265 | PA      | $6408354.44    | 0.03%             | 2050-10-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3132D6A59<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     879334 | PA      | $789946.24     | 0.00%             | 2036-11-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 3620ADDK5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      41811 | PA      | $43110.99      | 0.00%             | 2039-11-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 36201SNQ8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       6704 | PA      | $6911.38       | 0.00%             | 2032-12-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31418CP57<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     421887 | PA      | $381009.18     | 0.00%             | 2047-09-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3128LCJN7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      17036 | PA      | $17588.64      | 0.00%             | 2036-05-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31419LZM8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1336092 | PA      | $1335691.62    | 0.01%             | 2040-12-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 31293UAU8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |        866 | PA      | $897.92        | 0.00%             | 2029-08-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 31307FJK8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       1121 | PA      | $1109.59       | 0.00%             | 2023-11-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31415BN96<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        342 | PA      | $341.80        | 0.00%             | 2038-04-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138ERTJ9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1012370 | PA      | $986075.82     | 0.00%             | 2031-08-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140MRR90<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    2544975 | PA      | $2288425.69    | 0.01%             | 2037-05-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 31292HCY8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |         80 | PA      | $84.68         | 0.00%             | 2030-05-01      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae II Pool                               | CUSIP: 36202EW39<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      25330 | PA      | $26373.02      | 0.00%             | 2038-10-20      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140KM4D9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    5028814 | PA      | $4514372.60    | 0.02%             | 2035-10-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140QAZ94<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     502346 | PA      | $469962.45     | 0.00%             | 2049-05-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31382Y3Q9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        318 | PA      | $329.14        | 0.00%             | 2029-06-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31418MDD1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      15182 | PA      | $15658.36      | 0.00%             | 2038-12-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140Q8KB0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       6856 | PA      | $6389.10       | 0.00%             | 2048-02-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138ASSE3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      21178 | PA      | $21171.96      | 0.00%             | 2041-09-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138WD3H2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     498179 | PA      | $454193.60     | 0.00%             | 2045-02-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138YFSF2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      63085 | PA      | $57049.83      | 0.00%             | 2045-05-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31415PM96<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      49617 | PA      | $51574.06      | 0.00%             | 2038-08-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140JAD39<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      20729 | PA      | $19321.70      | 0.00%             | 2048-07-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140HEMT6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1490873 | PA      | $1487371.18    | 0.01%             | 2048-05-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 36296QZC6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       1354 | PA      | $1359.20       | 0.00%             | 2039-05-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140Q7BW6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      20560 | PA      | $18984.18      | 0.00%             | 2032-07-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 31335A6G8<br>LEI: 254900HROIFWPRGM1V77 | Long             | ABS-MBS          | USGSE             | US        |    1821303 | PA      | $1829746.83    | 0.01%             | 2046-07-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138YE6L6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      11966 | PA      | $11931.03      | 0.00%             | 2045-01-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| UMBS, TBA                                      | Uniform Mortgage-Backed Security, TBA            | CUSIP: 01F0304C9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   17125000 | PA      | $16115474.74   | 0.07%             | 2037-12-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3128MJ2M1<br>LEI: 254900HROIFWPRGM1V77 | Long             | ABS-MBS          | USGSE             | US        |   12529625 | PA      | $11688422.07   | 0.05%             | 2047-09-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 36180MX69<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      19838 | PA      | $18865.83      | 0.00%             | 2043-03-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31412QEM7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        499 | PA      | $491.90        | 0.00%             | 2024-08-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae II Pool                               | CUSIP: 36202FCN4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     406860 | PA      | $409864.15     | 0.00%             | 2039-11-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140JXQF8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     455690 | PA      | $431352.02     | 0.00%             | 2034-07-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138A5YL0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       5638 | PA      | $5635.87       | 0.00%             | 2041-02-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae II Pool                               | CUSIP: 36179QJR3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     567112 | PA      | $521892.22     | 0.00%             | 2044-07-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31416HJJ5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      15220 | PA      | $15520.69      | 0.00%             | 2039-02-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138YRCX4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       8008 | PA      | $7588.52       | 0.00%             | 2030-08-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31407M7K5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       2941 | PA      | $3050.21       | 0.00%             | 2035-10-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31390BPV4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        283 | PA      | $300.37        | 0.00%             | 2032-04-01      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 31335GK20<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |          3 | PA      | $2.86          | 0.00%             | 2025-05-01      | Fixed         | 8.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140E1UF8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     565167 | PA      | $511098.22     | 0.00%             | 2046-01-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138Y9BX5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       3391 | PA      | $3380.86       | 0.00%             | 2044-11-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31402QYV7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       8995 | PA      | $9261.32       | 0.00%             | 2035-02-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 36225AZP8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        157 | PA      | $163.04        | 0.00%             | 2027-12-15      | Fixed         | 8.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 312936NA1<br>LEI: 254900HROIFWPRGM1V77 | Long             | ABS-MBS          | USGSE             | US        |    2126813 | PA      | $2128015.71    | 0.01%             | 2039-10-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31385JRP5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        428 | PA      | $461.57        | 0.00%             | 2032-10-01      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31412SEU5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        247 | PA      | $256.64        | 0.00%             | 2037-10-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 3622A2N81<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      68426 | PA      | $62839.29      | 0.00%             | 2043-07-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 31329QYG0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   13203418 | PA      | $12352367.67   | 0.05%             | 2049-06-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3132JQE48<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       4557 | PA      | $4555.86       | 0.00%             | 2043-11-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3133KK3U1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   48921191 | PA      | $42067765.46   | 0.18%             | 2051-01-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138W1MF1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     291625 | PA      | $266883.76     | 0.00%             | 2043-04-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31418PYD1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        485 | PA      | $476.70        | 0.00%             | 2025-04-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140X3AT5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1947486 | PA      | $1872129.09    | 0.01%             | 2049-03-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140HEP63<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     282529 | PA      | $274041.39     | 0.00%             | 2048-09-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140QMCH5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   57914399 | PA      | $49595147.07   | 0.21%             | 2051-10-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31417JTR1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       3493 | PA      | $3439.66       | 0.00%             | 2024-10-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31371FH39<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        139 | PA      | $140.48        | 0.00%             | 2026-05-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140X7JX8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    6056273 | PA      | $5252203.13    | 0.02%             | 2050-07-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3128MDW90<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |         66 | PA      | $65.96         | 0.00%             | 2024-07-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31385XNP8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        580 | PA      | $600.39        | 0.00%             | 2033-05-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3128MDDW0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       9732 | PA      | $9403.35       | 0.00%             | 2027-01-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140J9LV1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1440449 | PA      | $1391362.13    | 0.01%             | 2048-10-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 36203N7D4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |         55 | PA      | $55.19         | 0.00%             | 2023-11-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae II Pool                               | CUSIP: 36179RBW8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     242631 | PA      | $222707.32     | 0.00%             | 2045-04-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 31307WPM0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     503427 | PA      | $479113.99     | 0.00%             | 2033-08-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140JRFL0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1129856 | PA      | $1094462.74    | 0.00%             | 2034-05-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3133G6DE2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     631593 | PA      | $597878.64     | 0.00%             | 2034-06-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140JUC51<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     966406 | PA      | $953904.32     | 0.00%             | 2049-11-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 3617BGEN6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     430921 | PA      | $404617.15     | 0.00%             | 2047-09-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140X8V95<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     123424 | PA      | $124445.12     | 0.00%             | 2049-09-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 36210AZG5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       4428 | PA      | $4534.12       | 0.00%             | 2029-01-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 36294NFF0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       2459 | PA      | $2623.55       | 0.00%             | 2036-11-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138E8KU5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      23093 | PA      | $22396.30      | 0.00%             | 2027-03-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 36211FLA1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       2829 | PA      | $2905.65       | 0.00%             | 2030-08-15      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 3617BLHA0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     905668 | PA      | $850384.90     | 0.00%             | 2047-10-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140F5CW1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1506600 | PA      | $1423524.19    | 0.01%             | 2046-12-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 312938J38<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      45842 | PA      | $45867.43      | 0.00%             | 2039-12-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 36295WZA8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       4867 | PA      | $5138.00       | 0.00%             | 2039-01-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138ENJU4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      34970 | PA      | $34866.16      | 0.00%             | 2044-08-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140HAFM7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     117370 | PA      | $116147.85     | 0.00%             | 2048-02-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae II Pool                               | CUSIP: 36179NXB9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       9077 | PA      | $8730.69       | 0.00%             | 2029-01-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140FF7M7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      63829 | PA      | $59495.12      | 0.00%             | 2046-07-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 36296QL23<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        455 | PA      | $468.54        | 0.00%             | 2039-03-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138A36X0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       5983 | PA      | $5824.12       | 0.00%             | 2041-01-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140J8RQ8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    2496421 | PA      | $2255985.42    | 0.01%             | 2043-03-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140E44U8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      33083 | PA      | $31978.52      | 0.00%             | 2045-11-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 31307UC30<br>LEI: 254900HROIFWPRGM1V77 | Long             | ABS-MBS          | USGSE             | US        |     878382 | PA      | $854764.31     | 0.00%             | 2032-07-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31418WCL2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     318200 | PA      | $325093.87     | 0.00%             | 2040-08-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3133G6NS0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    1348736 | PA      | $1276740.62    | 0.01%             | 2034-08-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140JHHQ9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     306484 | PA      | $309160.11     | 0.00%             | 2048-10-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 36206VLJ4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        133 | PA      | $133.58        | 0.00%             | 2026-04-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 31297FKG7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       3903 | PA      | $4029.54       | 0.00%             | 2034-10-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138EPN75<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     113627 | PA      | $112103.16     | 0.00%             | 2027-01-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138LXN70<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      12362 | PA      | $12003.76      | 0.00%             | 2042-06-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138ERJH4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    2450891 | PA      | $2231455.56    | 0.01%             | 2046-10-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140XD5R3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   22043450 | PA      | $18818167.65   | 0.08%             | 2051-12-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3132D6BD1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     298036 | PA      | $260778.12     | 0.00%             | 2037-01-01      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 36241KYN2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       2323 | PA      | $2476.81       | 0.00%             | 2038-12-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140LVR76<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     809438 | PA      | $666909.21     | 0.00%             | 2051-10-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140JUEJ9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1222615 | PA      | $1157314.72    | 0.00%             | 2034-07-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31418CKG8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     193832 | PA      | $180638.76     | 0.00%             | 2047-05-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138X4TM2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      53996 | PA      | $49295.66      | 0.00%             | 2043-11-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 36200EBW0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      10094 | PA      | $10485.81      | 0.00%             | 2033-04-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3133A1UF7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    1207598 | PA      | $1191964.65    | 0.01%             | 2050-02-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140KLWR9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     428954 | PA      | $380564.72     | 0.00%             | 2050-09-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140J8DM2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    3562700 | PA      | $3114369.41    | 0.01%             | 2047-04-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 36197F2Q5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    1479800 | PA      | $1389471.48    | 0.01%             | 2047-12-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3128MFBC1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    2753223 | PA      | $2626955.57    | 0.01%             | 2032-03-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140XDUC8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   83348960 | PA      | $68740832.56   | 0.29%             | 2051-12-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3131XQBQ8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     138452 | PA      | $141167.60     | 0.00%             | 2044-06-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 36179A3K0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      25454 | PA      | $23375.06      | 0.00%             | 2043-04-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138WB7G4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      23654 | PA      | $22182.35      | 0.00%             | 2044-06-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3128PMUD0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |        130 | PA      | $128.58        | 0.00%             | 2024-04-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3128K64X5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |        194 | PA      | $204.50        | 0.00%             | 2035-07-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138Y3SR3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     105925 | PA      | $101730.04     | 0.00%             | 2029-10-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3132GKHC3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      11524 | PA      | $11205.87      | 0.00%             | 2041-10-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31413B6L0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       1288 | PA      | $1358.40       | 0.00%             | 2037-08-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31410QNT4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      10181 | PA      | $10576.95      | 0.00%             | 2036-10-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3128KLAK3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       7396 | PA      | $7694.96       | 0.00%             | 2037-02-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 36203HPE5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        132 | PA      | $131.99        | 0.00%             | 2023-08-15      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 36176MFJ7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       5639 | PA      | $5659.17       | 0.00%             | 2041-08-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138WF3F1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     629577 | PA      | $587696.06     | 0.00%             | 2045-11-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae II Pool                               | CUSIP: 36179QBK6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      35449 | PA      | $36890.59      | 0.00%             | 2044-04-20      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3133L7U96<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    4640355 | PA      | $4294888.44    | 0.02%             | 2035-07-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31418CXT6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     302950 | PA      | $296607.37     | 0.00%             | 2038-06-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 312938R62<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      13162 | PA      | $13169.46      | 0.00%             | 2040-01-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 36210RW22<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |         95 | PA      | $98.11         | 0.00%             | 2029-11-15      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3132DV6Q3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     140632 | PA      | $116290.23     | 0.00%             | 2050-07-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31416RRG0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      18037 | PA      | $18029.55      | 0.00%             | 2039-06-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140F8H75<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      45860 | PA      | $41443.24      | 0.00%             | 2046-08-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140X8WQ6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   26651155 | PA      | $22089387.49   | 0.09%             | 2050-12-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3128PT7B5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      90121 | PA      | $87929.18      | 0.00%             | 2026-02-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 36203PD75<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |         16 | PA      | $15.77         | 0.00%             | 2024-06-15      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140HDQB3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     318230 | PA      | $320853.78     | 0.00%             | 2049-10-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138YWSL2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       1312 | PA      | $1267.90       | 0.00%             | 2045-09-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140XASF0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   11181749 | PA      | $9636250.84    | 0.04%             | 2051-04-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31417WTW1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      39211 | PA      | $39195.50      | 0.00%             | 2040-02-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3128M7KY1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       2730 | PA      | $2927.80       | 0.00%             | 2039-01-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138Y2BR3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      68479 | PA      | $65767.09      | 0.00%             | 2029-08-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3132DVKZ7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     806377 | PA      | $722788.26     | 0.00%             | 2050-02-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31410LVR0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     190468 | PA      | $184758.07     | 0.00%             | 2047-03-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138MBNA0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      18905 | PA      | $17826.67      | 0.00%             | 2042-09-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31416WTT9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      19343 | PA      | $18828.79      | 0.00%             | 2040-09-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 36176W7G0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      16120 | PA      | $15320.47      | 0.00%             | 2042-01-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 3620APKC8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       5629 | PA      | $5648.61       | 0.00%             | 2040-04-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3128KKQV4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       1365 | PA      | $1441.28       | 0.00%             | 2037-01-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31409WV81<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        855 | PA      | $901.78        | 0.00%             | 2036-05-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31404TP23<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        197 | PA      | $199.58        | 0.00%             | 2034-05-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31404C6R6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      23344 | PA      | $24036.70      | 0.00%             | 2034-01-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3131YBS82<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    1190109 | PA      | $1100983.83    | 0.00%             | 2049-04-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 31294NSB6<br>LEI: 254900HROIFWPRGM1V77 | Long             | ABS-MBS          | USGSE             | US        |     256712 | PA      | $246557.43     | 0.00%             | 2027-11-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3133KGF45<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     893179 | PA      | $881616.40     | 0.00%             | 2049-07-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31414HF93<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       2190 | PA      | $2275.47       | 0.00%             | 2038-01-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140HHLK9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     495711 | PA      | $494546.46     | 0.00%             | 2048-05-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140QBHU5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1909008 | PA      | $1884313.58    | 0.01%             | 2049-07-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| UMBS, TBA                                      | Uniform Mortgage-Backed Security, TBA            | CUSIP: 01F0526C1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   29250000 | PA      | $29582050.97   | 0.13%             | 2052-12-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140H72F3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1198825 | PA      | $1152777.87    | 0.00%             | 2048-01-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3132QPWZ3<br>LEI: 254900HROIFWPRGM1V77 | Long             | ABS-MBS          | USGSE             | US        |    2566832 | PA      | $2342106.30    | 0.01%             | 2045-05-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3133G77F4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    7955402 | PA      | $7363136.18    | 0.03%             | 2035-03-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140EVJR9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     429843 | PA      | $400655.02     | 0.00%             | 2046-06-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31418DZ21<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   35559084 | PA      | $31945381.51   | 0.14%             | 2036-06-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31405SKV5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       1441 | PA      | $1463.16       | 0.00%             | 2035-04-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae II Pool                               | CUSIP: 36180M2R7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      36153 | PA      | $34357.92      | 0.00%             | 2043-03-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138A34P9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      42279 | PA      | $41449.20      | 0.00%             | 2025-12-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3128MMUS0<br>LEI: 254900HROIFWPRGM1V77 | Long             | ABS-MBS          | USGSE             | US        |    2031894 | PA      | $1938707.82    | 0.01%             | 2031-03-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3132J8DU1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    2017470 | PA      | $1958100.90    | 0.01%             | 2043-04-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31403DUB3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       1033 | PA      | $1073.21       | 0.00%             | 2036-10-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31371J7A6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        659 | PA      | $682.96        | 0.00%             | 2031-07-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31371MWV5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        946 | PA      | $1037.80       | 0.00%             | 2036-08-01      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 36295QXL9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       3091 | PA      | $3265.42       | 0.00%             | 2037-11-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3131Y3JQ0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    1342580 | PA      | $1249296.38    | 0.01%             | 2048-09-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138WE3W7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    4519785 | PA      | $4251102.07    | 0.02%             | 2045-07-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138ATUD0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     560031 | PA      | $559770.89     | 0.00%             | 2041-10-01      | Floating      | 4.07%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 36209RB28<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       1860 | PA      | $1932.73       | 0.00%             | 2029-12-15      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 31307M2E5<br>LEI: 254900HROIFWPRGM1V77 | Long             | ABS-MBS          | USGSE             | US        |     114528 | PA      | $108633.02     | 0.00%             | 2030-06-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31419GPR9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     432250 | PA      | $424203.26     | 0.00%             | 2025-10-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 36241KTF5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       2593 | PA      | $2713.50       | 0.00%             | 2038-06-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140X4Z33<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   13352881 | PA      | $12696433.79   | 0.05%             | 2033-01-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31415QFJ0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        361 | PA      | $380.59        | 0.00%             | 2038-08-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31380Q5T0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |         97 | PA      | $100.37        | 0.00%             | 2028-11-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 36201DAB8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       1467 | PA      | $1523.84       | 0.00%             | 2032-07-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138WGF41<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     693760 | PA      | $671675.16     | 0.00%             | 2046-01-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138Y7CU4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     406109 | PA      | $388782.72     | 0.00%             | 2030-10-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138EHBC5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       5531 | PA      | $5651.02       | 0.00%             | 2041-02-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31414HBA4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       7245 | PA      | $7641.84       | 0.00%             | 2037-12-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae II Pool                               | CUSIP: 36179UPC0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   10094964 | PA      | $10204088.96   | 0.04%             | 2049-03-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3128PQ3H2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       5148 | PA      | $5065.21       | 0.00%             | 2025-02-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 36294UWN8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     224470 | PA      | $206144.27     | 0.00%             | 2042-09-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 36177JUD9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      18504 | PA      | $18093.78      | 0.00%             | 2042-04-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3128M62Q0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       2413 | PA      | $2579.80       | 0.00%             | 2038-12-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3133AAMT6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    7773188 | PA      | $6690554.78    | 0.03%             | 2050-10-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140H1AD2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1460127 | PA      | $1360743.68    | 0.01%             | 2047-11-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140KPZN6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     919861 | PA      | $827614.21     | 0.00%             | 2035-12-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138X1DS2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      91076 | PA      | $83147.05      | 0.00%             | 2043-08-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138XHUR0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       7400 | PA      | $7176.43       | 0.00%             | 2028-12-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31416XYQ7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      13533 | PA      | $13262.03      | 0.00%             | 2026-03-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31402C3J9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       8020 | PA      | $8346.62       | 0.00%             | 2034-01-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138WJ5W4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    3544676 | PA      | $3423523.61    | 0.01%             | 2047-03-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 36213UUP3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        294 | PA      | $303.82        | 0.00%             | 2031-09-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 31335AWW4<br>LEI: 254900HROIFWPRGM1V77 | Long             | ABS-MBS          | USGSE             | US        |     121508 | PA      | $116998.69     | 0.00%             | 2046-07-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140QCUL8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     737633 | PA      | $718474.63     | 0.00%             | 2033-04-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31410GN90<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      36615 | PA      | $37977.54      | 0.00%             | 2037-03-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31374PQN0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |         46 | PA      | $46.00         | 0.00%             | 2025-08-01      | Fixed         | 8.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 31292HNN0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       2717 | PA      | $2816.97       | 0.00%             | 2032-02-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 36200NYP0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       8211 | PA      | $8543.50       | 0.00%             | 2034-07-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138EGH23<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    2437621 | PA      | $2490434.37    | 0.01%             | 2041-04-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3132QVEF4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      12300 | PA      | $11492.30      | 0.00%             | 2046-01-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 31292GSN7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |        100 | PA      | $104.58        | 0.00%             | 2027-06-01      | Fixed         | 8.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 36296Q3Y3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       8860 | PA      | $8743.17       | 0.00%             | 2024-08-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138YR5K0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      16762 | PA      | $15158.59      | 0.00%             | 2045-07-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 36178XCG0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     548252 | PA      | $521385.10     | 0.00%             | 2043-05-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138WWNF2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     866644 | PA      | $791197.84     | 0.00%             | 2043-08-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31416BRM2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      39998 | PA      | $40605.62      | 0.00%             | 2038-02-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 36296Q6R5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       2080 | PA      | $2087.51       | 0.00%             | 2039-08-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3133GABL9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     825138 | PA      | $780684.02     | 0.00%             | 2035-10-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138ENX20<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   12417708 | PA      | $11341821.80   | 0.05%             | 2044-02-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138EGKU7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      19120 | PA      | $18740.22      | 0.00%             | 2026-06-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 31287QUP4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |        107 | PA      | $111.89        | 0.00%             | 2032-03-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31386PRL9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        464 | PA      | $470.92        | 0.00%             | 2031-06-01      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138EMBM2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   12421576 | PA      | $11749228.06   | 0.05%             | 2043-07-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3132XTB80<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     140858 | PA      | $131401.35     | 0.00%             | 2047-09-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae II Pool                               | CUSIP: 36202E6E4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      24580 | PA      | $25247.92      | 0.00%             | 2039-06-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31418DHD7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    6578880 | PA      | $6099930.50    | 0.03%             | 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        |    2780024 | PA      | $2512273.61    | 0.01%             | 2046-11-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3132AD3V8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     294206 | PA      | $296639.40     | 0.00%             | 2049-02-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140FTXM8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     800284 | PA      | $762015.71     | 0.00%             | 2032-02-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 31296PA51<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      32164 | PA      | $33153.15      | 0.00%             | 2033-10-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138YPWU2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     620858 | PA      | $594368.70     | 0.00%             | 2030-04-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 36203CJQ6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        183 | PA      | $183.18        | 0.00%             | 2023-11-15      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3128MFKV9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    1740203 | PA      | $1638191.02    | 0.01%             | 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        |    6802382 | PA      | $6216257.32    | 0.03%             | 2046-09-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138EQAD4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     285795 | PA      | $268805.39     | 0.00%             | 2045-08-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140F7WC9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     511959 | PA      | $509736.64     | 0.00%             | 2047-04-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138XSAE7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      29539 | PA      | $27843.11      | 0.00%             | 2044-04-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3132QT3G9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     828836 | PA      | $801941.81     | 0.00%             | 2045-11-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 312945CZ9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       2317 | PA      | $2318.87       | 0.00%             | 2041-01-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 31307EMG6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     152998 | PA      | $144797.85     | 0.00%             | 2028-08-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31417KUQ8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     155496 | PA      | $151456.18     | 0.00%             | 2039-08-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140K2VM3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     562674 | PA      | $521710.54     | 0.00%             | 2034-10-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3132A5HQ1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     216193 | PA      | $201476.25     | 0.00%             | 2047-10-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31411CJ28<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        589 | PA      | $620.69        | 0.00%             | 2036-11-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140FGAD1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     797246 | PA      | $720461.13     | 0.00%             | 2046-10-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31414P7J2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       6758 | PA      | $6891.34       | 0.00%             | 2038-04-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31418VWW8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      39301 | PA      | $40152.57      | 0.00%             | 2040-06-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31383LMQ5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      10056 | PA      | $10423.04      | 0.00%             | 2029-06-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31391FKJ6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |         49 | PA      | $50.48         | 0.00%             | 2032-10-01      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140F7AU3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     426991 | PA      | $388761.58     | 0.00%             | 2046-09-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31418DEB4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     111991 | PA      | $103837.89     | 0.00%             | 2034-07-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3128M64L9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       1385 | PA      | $1462.59       | 0.00%             | 2038-09-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 3620ALYU2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    2308861 | PA      | $2110043.26    | 0.01%             | 2045-05-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138XEFH6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      12840 | PA      | $12576.21      | 0.00%             | 2028-12-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138WQQS4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     401402 | PA      | $366457.63     | 0.00%             | 2043-04-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138YNZX8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      11652 | PA      | $11263.20      | 0.00%             | 2045-09-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31416XXF2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     472376 | PA      | $472237.66     | 0.00%             | 2041-03-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31418D3H3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   34510478 | PA      | $29592941.45   | 0.13%             | 2051-08-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3132M7UJ5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      60280 | PA      | $58477.37      | 0.00%             | 2044-07-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31410GAN3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       6338 | PA      | $6685.25       | 0.00%             | 2037-06-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 31288CLY5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      28404 | PA      | $29730.48      | 0.00%             | 2032-12-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31402QLK5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       6094 | PA      | $6075.47       | 0.00%             | 2033-08-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 31335GMW2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |         46 | PA      | $47.11         | 0.00%             | 2026-01-01      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3128PWJ58<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       8175 | PA      | $7958.70       | 0.00%             | 2026-09-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae II Pool                               | CUSIP: 36179VKK5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   15169303 | PA      | $13371124.43   | 0.06%             | 2050-04-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3132L7GP8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     346311 | PA      | $344117.53     | 0.00%             | 2045-10-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140J9ZB0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    4955933 | PA      | $4744488.22    | 0.02%             | 2031-05-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140GSRV6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     541300 | PA      | $504456.23     | 0.00%             | 2047-10-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3128M5DD9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       2285 | PA      | $2376.34       | 0.00%             | 2037-03-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 3620A55N5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      37087 | PA      | $38262.66      | 0.00%             | 2039-06-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140KXYW0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1933758 | PA      | $1733461.57    | 0.01%             | 2051-01-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31414HHX8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        253 | PA      | $271.09        | 0.00%             | 2037-10-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138WEJL4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     840690 | PA      | $796635.19     | 0.00%             | 2030-04-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138YL2F7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      22472 | PA      | $20322.20      | 0.00%             | 2045-04-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140EWWS0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      12704 | PA      | $12221.36      | 0.00%             | 2046-02-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31371FE99<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |         35 | PA      | $35.66         | 0.00%             | 2026-02-01      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 31292GVY9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |        708 | PA      | $734.48        | 0.00%             | 2028-07-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 31283GMQ7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |         28 | PA      | $28.08         | 0.00%             | 2025-04-01      | Fixed         | 10.00%                | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3128MMT29<br>LEI: 254900HROIFWPRGM1V77 | Long             | ABS-MBS          | USGSE             | US        |     229199 | PA      | $217401.35     | 0.00%             | 2030-09-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 31292HAL8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |         52 | PA      | $56.15         | 0.00%             | 2030-01-01      | Fixed         | 8.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 36290VCP7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      26104 | PA      | $27108.76      | 0.00%             | 2033-11-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 3617BLGA1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     287240 | PA      | $269706.13     | 0.00%             | 2047-10-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3132WGYK7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     163743 | PA      | $148123.16     | 0.00%             | 2046-10-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31418VSB9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      15865 | PA      | $16490.77      | 0.00%             | 2039-01-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3133ALJP4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   21276413 | PA      | $17568785.82   | 0.07%             | 2051-05-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31414HBQ9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       4704 | PA      | $4961.55       | 0.00%             | 2037-12-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138E0QY8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      19054 | PA      | $19048.59      | 0.00%             | 2041-12-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31414TQ46<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       8154 | PA      | $8314.83       | 0.00%             | 2038-04-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138YWSN8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      12443 | PA      | $11791.24      | 0.00%             | 2030-09-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae II Pool                               | CUSIP: 36179MVQ0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     456733 | PA      | $404408.20     | 0.00%             | 2042-12-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140KVZF0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     829570 | PA      | $767785.52     | 0.00%             | 2036-01-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae II Pool                               | CUSIP: 36179MNH9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   13476833 | PA      | $12814871.95   | 0.05%             | 2042-09-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31416XJ68<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1307736 | PA      | $1272989.27    | 0.01%             | 2041-01-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138ENLY3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       9026 | PA      | $9002.79       | 0.00%             | 2029-07-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3132A5GA7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   35037132 | PA      | $31662746.89   | 0.14%             | 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        |      25112 | PA      | $24874.88      | 0.00%             | 2047-06-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3133G7NB5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     855192 | PA      | $792869.01     | 0.00%             | 2034-12-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31405VCC9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       8711 | PA      | $8984.22       | 0.00%             | 2034-12-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31402EXQ6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       4749 | PA      | $4810.98       | 0.00%             | 2033-08-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3132JBH89<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      23110 | PA      | $21118.78      | 0.00%             | 2043-07-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3128LXRW2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |        402 | PA      | $409.04        | 0.00%             | 2036-07-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140K5W78<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     665211 | PA      | $613869.09     | 0.00%             | 2035-01-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138ER5K2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    5694803 | PA      | $5367929.36    | 0.02%             | 2046-01-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31374TFV6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       1152 | PA      | $1193.38       | 0.00%             | 2028-10-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31402DK58<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     150115 | PA      | $158065.86     | 0.00%             | 2034-05-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3133KNHG1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    1072559 | PA      | $985128.88     | 0.00%             | 2052-01-01      | 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        |    4761766 | PA      | $4370022.68    | 0.02%             | 2048-02-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3128MDRM7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     451262 | PA      | $438084.39     | 0.00%             | 2028-06-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31383EYX3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       1138 | PA      | $1179.41       | 0.00%             | 2029-07-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 31307VB21<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      26353 | PA      | $25252.41      | 0.00%             | 2032-09-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140QFVQ9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    8310150 | PA      | $7183367.09    | 0.03%             | 2050-05-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 3620AL3R3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      31307 | PA      | $31417.78      | 0.00%             | 2041-06-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3132LAW32<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   18806483 | PA      | $18097199.12   | 0.08%             | 2049-02-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31416PEE3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        234 | PA      | $231.14        | 0.00%             | 2024-04-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31371NKG9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        476 | PA      | $494.99        | 0.00%             | 2037-09-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3132D6BK5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     737741 | PA      | $682031.56     | 0.00%             | 2037-02-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138W9T91<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     262565 | PA      | $268268.84     | 0.00%             | 2043-09-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae II Pool                               | CUSIP: 36179WG28<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    3888858 | PA      | $3314527.07    | 0.01%             | 2051-06-20      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3131XRN91<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     761010 | PA      | $693712.75     | 0.00%             | 2045-04-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138ERHX1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    5469060 | PA      | $5686159.49    | 0.02%             | 2044-05-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3132A5KC8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     171944 | PA      | $169914.79     | 0.00%             | 2048-09-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 36225BA81<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        877 | PA      | $909.23        | 0.00%             | 2028-12-15      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 312930RM4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       7641 | PA      | $8168.79       | 0.00%             | 2039-01-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138XDJ92<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     200170 | PA      | $188680.33     | 0.00%             | 2043-11-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140JL6K5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    2348296 | PA      | $2320580.18    | 0.01%             | 2049-01-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138WDRS2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    7961810 | PA      | $8004192.23    | 0.03%             | 2044-12-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140QE5Y4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    5056072 | PA      | $4549128.80    | 0.02%             | 2035-09-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140J75K7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    2379293 | PA      | $2299865.07    | 0.01%             | 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        |    6034303 | PA      | $5681210.30    | 0.02%             | 2032-01-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 36200FNY0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       8084 | PA      | $8331.36       | 0.00%             | 2033-04-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3132L9HB4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    1128344 | PA      | $1086044.32    | 0.00%             | 2047-12-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3128MJVQ0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       7301 | PA      | $6661.08       | 0.00%             | 2045-01-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138EN4H9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      37265 | PA      | $37219.82      | 0.00%             | 2044-08-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 36296DD88<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        784 | PA      | $821.76        | 0.00%             | 2038-08-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140X7BU2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   12109629 | PA      | $10467670.42   | 0.04%             | 2050-06-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3132JNFY8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      94471 | PA      | $86330.68      | 0.00%             | 2043-08-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140K9RX9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1057258 | PA      | $946241.80     | 0.00%             | 2049-12-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140FFC41<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    3328359 | PA      | $3007797.59    | 0.01%             | 2046-09-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 312939JE2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      19016 | PA      | $19028.69      | 0.00%             | 2040-02-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 36200NTS0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       1809 | PA      | $1846.71       | 0.00%             | 2034-06-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140QEHC9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     379031 | PA      | $358620.32     | 0.00%             | 2035-07-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138WGB86<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     100287 | PA      | $99554.34      | 0.00%             | 2045-12-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140F2HJ2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       9627 | PA      | $8972.97       | 0.00%             | 2046-05-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138WV3K5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      70408 | PA      | $64278.84      | 0.00%             | 2043-06-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31414CS90<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       4487 | PA      | $4664.06       | 0.00%             | 2038-03-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3132XYEL7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     687488 | PA      | $661559.88     | 0.00%             | 2048-04-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31410GKP7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     749314 | PA      | $802571.95     | 0.00%             | 2037-08-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3132JASE6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       9344 | PA      | $8609.98       | 0.00%             | 2043-06-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31390TM63<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       3740 | PA      | $3892.54       | 0.00%             | 2032-08-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31417Y3H8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      19150 | PA      | $18755.85      | 0.00%             | 2026-07-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3132WPRH2<br>LEI: 254900HROIFWPRGM1V77 | Long             | ABS-MBS          | USGSE             | US        |    1452778 | PA      | $1466440.29    | 0.01%             | 2047-07-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140X8TA5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    3331547 | PA      | $2747676.20    | 0.01%             | 2050-12-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140LTG65<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    2285477 | PA      | $1971582.33    | 0.01%             | 2051-09-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3133KKLP2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   16966187 | PA      | $14512164.42   | 0.06%             | 2050-11-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae II Pool                               | CUSIP: 36179UZW5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    1049193 | PA      | $1060703.38    | 0.00%             | 2049-09-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3128MMVG5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     294193 | PA      | $277248.05     | 0.00%             | 2031-10-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140FAW57<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       4300 | PA      | $4136.49       | 0.00%             | 2046-08-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138ERLF5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     562170 | PA      | $512810.40     | 0.00%             | 2046-11-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140FBAP5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     264054 | PA      | $260937.06     | 0.00%             | 2048-05-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140KFP41<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     984410 | PA      | $885689.97     | 0.00%             | 2035-11-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3132AAYE8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     355898 | PA      | $354800.81     | 0.00%             | 2046-04-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31415VZW8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |         45 | PA      | $44.41         | 0.00%             | 2023-09-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3131XXU90<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     314401 | PA      | $302328.22     | 0.00%             | 2047-09-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138YJY34<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     942283 | PA      | $902080.72     | 0.00%             | 2030-05-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31418BX43<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      19366 | PA      | $18539.91      | 0.00%             | 2031-01-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 31335ALX4<br>LEI: 254900HROIFWPRGM1V77 | Long             | ABS-MBS          | USGSE             | US        |    1950750 | PA      | $1952056.90    | 0.01%             | 2042-05-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 36207EKX1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       8337 | PA      | $8538.68       | 0.00%             | 2033-11-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140GRDD3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     205696 | PA      | $195859.72     | 0.00%             | 2032-07-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31405QLC0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      15735 | PA      | $16568.51      | 0.00%             | 2034-09-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138YNEP8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      35218 | PA      | $33372.51      | 0.00%             | 2030-05-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3132AAR30<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      96219 | PA      | $90660.18      | 0.00%             | 2045-10-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3133BHQ66<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    8633047 | PA      | $8393250.61    | 0.04%             | 2052-08-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140K1H33<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     468351 | PA      | $443336.21     | 0.00%             | 2034-09-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31388PMX6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        774 | PA      | $800.30        | 0.00%             | 2031-11-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140X4LX2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     225119 | PA      | $210041.42     | 0.00%             | 2049-08-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 31287RD89<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       2155 | PA      | $2245.08       | 0.00%             | 2032-04-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 36210KV69<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        376 | PA      | $384.28        | 0.00%             | 2029-06-15      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140H6DC0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    2222178 | PA      | $2036521.38    | 0.01%             | 2048-01-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138WGX90<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     418445 | PA      | $378143.69     | 0.00%             | 2046-04-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 36225ABA7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |         86 | PA      | $86.05         | 0.00%             | 2024-07-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140KBGT5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1255116 | PA      | $1156498.65    | 0.00%             | 2050-03-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138Y9N38<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1867122 | PA      | $1702270.03    | 0.01%             | 2045-02-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 31292HD76<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |        192 | PA      | $209.92        | 0.00%             | 2030-07-01      | Fixed         | 8.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140M7R52<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     467447 | PA      | $386422.76     | 0.00%             | 2051-12-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140X6QT1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     416043 | PA      | $363688.30     | 0.00%             | 2047-12-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3131WNZQ0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      14401 | PA      | $14395.05      | 0.00%             | 2040-02-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138ANND1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      45906 | PA      | $46901.76      | 0.00%             | 2041-07-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3132AEA48<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    4252707 | PA      | $3843133.72    | 0.02%             | 2047-07-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140LUGF2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1281850 | PA      | $1151611.42    | 0.00%             | 2036-08-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140KBXC3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    2775931 | PA      | $2481752.58    | 0.01%             | 2050-05-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140J8JE4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1518865 | PA      | $1429990.09    | 0.01%             | 2032-06-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae II Pool                               | CUSIP: 36179UCC4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     733378 | PA      | $726800.67     | 0.00%             | 2048-09-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3132A8ZR3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      83415 | PA      | $80905.37      | 0.00%             | 2027-11-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138YKFW8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1007243 | PA      | $945680.72     | 0.00%             | 2045-06-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138YN3W5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1080833 | PA      | $1024194.61    | 0.00%             | 2030-05-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31419B5R2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      12892 | PA      | $12888.57      | 0.00%             | 2040-09-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31416VB78<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     774440 | PA      | $784551.59     | 0.00%             | 2035-02-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 31334WRZ6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     267885 | PA      | $247823.76     | 0.00%             | 2049-06-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae II Pool                               | CUSIP: 3622A26S6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    7531603 | PA      | $7114622.11    | 0.03%             | 2048-04-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae II Pool                               | CUSIP: 3617HP7D0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    1486183 | PA      | $1440852.91    | 0.01%             | 2048-11-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 31292L5D3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     303622 | PA      | $277584.54     | 0.00%             | 2043-01-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 36225BPH5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       1321 | PA      | $1392.72       | 0.00%             | 2031-07-15      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31384AGR3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |         78 | PA      | $80.87         | 0.00%             | 2030-01-01      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3128M5K90<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       1746 | PA      | $1872.25       | 0.00%             | 2037-10-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31418BVV5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     412663 | PA      | $391038.23     | 0.00%             | 2030-10-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138WJ4U9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      88800 | PA      | $81311.10      | 0.00%             | 2047-03-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 312938FW8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       1295 | PA      | $1323.36       | 0.00%             | 2039-12-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31382PCE5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        367 | PA      | $380.28        | 0.00%             | 2029-04-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140QBSK5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1953539 | PA      | $1744641.14    | 0.01%             | 2049-09-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31418CUH5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     956970 | PA      | $911209.08     | 0.00%             | 2033-02-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138W9SE1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    9285002 | PA      | $8476695.45    | 0.04%             | 2043-09-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 312934HK1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      16239 | PA      | $16597.75      | 0.00%             | 2039-07-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 31292G4U7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |        184 | PA      | $191.15        | 0.00%             | 2029-07-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3129355F2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       8405 | PA      | $8194.35       | 0.00%             | 2039-09-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 36295DQC6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      10481 | PA      | $10998.48      | 0.00%             | 2037-04-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140FUGZ5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      78807 | PA      | $77986.47      | 0.00%             | 2047-04-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31402E2Y3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        454 | PA      | $460.11        | 0.00%             | 2033-08-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3132QN5W5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      79539 | PA      | $72575.43      | 0.00%             | 2045-04-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138AS3E0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       6160 | PA      | $5984.58       | 0.00%             | 2041-09-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31415P4E5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      84094 | PA      | $88473.79      | 0.00%             | 2034-05-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138WFCF1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     246791 | PA      | $238561.24     | 0.00%             | 2045-07-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31407ADJ7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       4518 | PA      | $4756.83       | 0.00%             | 2034-12-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31415QPB6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        851 | PA      | $884.63        | 0.00%             | 2038-10-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 36296GP39<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        413 | PA      | $417.86        | 0.00%             | 2038-05-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae II Pool                               | CUSIP: 36179SNU7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    8587791 | PA      | $7879904.58    | 0.03%             | 2046-10-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 36292L4Q4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      13906 | PA      | $14652.00      | 0.00%             | 2036-04-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 31288FE59<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       5139 | PA      | $5379.11       | 0.00%             | 2033-02-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138WF2G0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     232035 | PA      | $226793.05     | 0.00%             | 2030-11-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 31292HQY3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       1070 | PA      | $1151.36       | 0.00%             | 2032-06-01      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 36194RR44<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     249404 | PA      | $236210.31     | 0.00%             | 2046-07-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3128MBXK8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |          2 | PA      | $2.26          | 0.00%             | 2023-04-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3132A5HL2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    1124827 | PA      | $1048255.59    | 0.00%             | 2047-09-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31410FUP8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        264 | PA      | $274.44        | 0.00%             | 2037-01-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3128M4WW9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      24655 | PA      | $25643.27      | 0.00%             | 2037-05-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138WQXT4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     299507 | PA      | $273433.34     | 0.00%             | 2043-08-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae II Pool                               | CUSIP: 36179SJV0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       9909 | PA      | $9936.86       | 0.00%             | 2046-08-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3128PXH25<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      15296 | PA      | $14760.29      | 0.00%             | 2026-12-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae II Pool                               | CUSIP: 36179NQB7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      62778 | PA      | $59372.06      | 0.00%             | 2028-10-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae II Pool                               | CUSIP: 36179QRZ6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    4349883 | PA      | $4242620.16    | 0.02%             | 2044-10-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae II Pool                               | CUSIP: 36179VXX3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   25268869 | PA      | $21597388.32   | 0.09%             | 2050-11-20      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138XQVZ1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       4795 | PA      | $4689.14       | 0.00%             | 2029-03-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140K22X1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     843463 | PA      | $850417.40     | 0.00%             | 2049-10-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3133WKAK2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    1473948 | PA      | $1443130.92    | 0.01%             | 2037-09-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140X8H83<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   38685477 | PA      | $36479459.40   | 0.16%             | 2047-07-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140GQN93<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     100494 | PA      | $93654.33      | 0.00%             | 2047-07-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3128MJ3J7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      10922 | PA      | $10188.66      | 0.00%             | 2048-02-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 36297FR61<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      19084 | PA      | $19151.64      | 0.00%             | 2039-07-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 36207FYT2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |         23 | PA      | $22.81         | 0.00%             | 2026-08-15      | Fixed         | 8.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138WEAF6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     385419 | PA      | $370156.64     | 0.00%             | 2030-02-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae II Pool                               | CUSIP: 36202EMX4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        882 | PA      | $904.26        | 0.00%             | 2037-04-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140FRTD7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       3480 | PA      | $3446.88       | 0.00%             | 2047-02-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae II Pool                               | CUSIP: 3617BKPT2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    1988271 | PA      | $1927626.33    | 0.01%             | 2048-04-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31414TCL3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        831 | PA      | $847.28        | 0.00%             | 2038-06-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae II Pool                               | CUSIP: 36179WRZ3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   36999422 | PA      | $31477888.59   | 0.13%             | 2051-11-20      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140FE2G8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     257804 | PA      | $232974.65     | 0.00%             | 2047-03-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3132QQSH6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      36158 | PA      | $32992.34      | 0.00%             | 2045-06-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140LQBQ2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    3089738 | PA      | $2557677.30    | 0.01%             | 2051-07-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 36200JMA5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       7429 | PA      | $7736.61       | 0.00%             | 2036-03-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140X6PY1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   19245897 | PA      | $18121661.27   | 0.08%             | 2048-11-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3128MFKU1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    2207661 | PA      | $2078245.69    | 0.01%             | 2033-01-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31416T2N8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       5028 | PA      | $4961.41       | 0.00%             | 2024-07-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138XY7E8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      11452 | PA      | $11418.86      | 0.00%             | 2044-07-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 36219RF55<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       1275 | PA      | $1287.38       | 0.00%             | 2029-02-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140X8MH7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   37180624 | PA      | $32001980.98   | 0.14%             | 2050-11-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138WF4E3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    2204643 | PA      | $2138556.41    | 0.01%             | 2045-11-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae II Pool                               | CUSIP: 36179VKP4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    3474840 | PA      | $3404874.90    | 0.01%             | 2050-04-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140LQBS8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    5826621 | PA      | $4822097.89    | 0.02%             | 2051-07-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 31296PEJ7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      10521 | PA      | $10670.54      | 0.00%             | 2033-10-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 36290QBM6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       5231 | PA      | $5436.74       | 0.00%             | 2033-12-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3132D6CM0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    4861705 | PA      | $4569505.70    | 0.02%             | 2037-09-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae II Pool                               | CUSIP: 36179RVD8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     147083 | PA      | $147346.57     | 0.00%             | 2045-12-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3128MMSY0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     176986 | PA      | $170137.29     | 0.00%             | 2029-12-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3132HQYV8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     454886 | PA      | $415876.92     | 0.00%             | 2043-01-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 36176WYJ4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      14721 | PA      | $14429.44      | 0.00%             | 2041-11-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3133L8WV3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    5953739 | PA      | $5209457.90    | 0.02%             | 2037-01-01      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3128CUJL1<br>LEI: 254900HROIFWPRGM1V77 | Long             | ABS-MBS          | USGSE             | US        |     240889 | PA      | $239016.16     | 0.00%             | 2025-08-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138ERCB4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    2120503 | PA      | $2030031.75    | 0.01%             | 2031-09-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 31292HR89<br>LEI: 254900HROIFWPRGM1V77 | Long             | ABS-MBS          | USGSE             | US        |      21322 | PA      | $21962.92      | 0.00%             | 2032-09-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3131XXEF4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     526226 | PA      | $506018.71     | 0.00%             | 2047-07-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138WP3B8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    2878838 | PA      | $2713596.73    | 0.01%             | 2043-06-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae II Pool                               | CUSIP: 36179TV51<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    6537916 | PA      | $6175949.84    | 0.03%             | 2048-04-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 36241KDR6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       2154 | PA      | $2270.56       | 0.00%             | 2034-11-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 36213CYZ7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       1047 | PA      | $1094.82       | 0.00%             | 2035-11-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31405NTU9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       1394 | PA      | $1413.26       | 0.00%             | 2034-10-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 3620AGXX8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       3223 | PA      | $3234.59       | 0.00%             | 2040-02-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3128MJYE4<br>LEI: 254900HROIFWPRGM1V77 | Long             | ABS-MBS          | USGSE             | US        |     230312 | PA      | $228335.93     | 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        |   13758422 | PA      | $12396376.73   | 0.05%             | 2052-05-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 31307S4P5<br>LEI: 254900HROIFWPRGM1V77 | Long             | ABS-MBS          | USGSE             | US        |     450295 | PA      | $439013.68     | 0.00%             | 2032-01-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3133KGGQ5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    6040277 | PA      | $5587933.29    | 0.02%             | 2049-07-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 36210B6C4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       3636 | PA      | $3751.16       | 0.00%             | 2039-04-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3131XUB30<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     583271 | PA      | $561107.32     | 0.00%             | 2046-03-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140J8RJ4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    2997294 | PA      | $2869414.25    | 0.01%             | 2032-06-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3132WF2F5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    1558409 | PA      | $1420314.84    | 0.01%             | 2046-08-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31417EVX6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      26188 | PA      | $25128.13      | 0.00%             | 2028-02-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3132WDRR7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    9331525 | PA      | $8706726.06    | 0.04%             | 2046-05-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138WGFP4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     146919 | PA      | $132863.10     | 0.00%             | 2046-01-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 36241LUR5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       6698 | PA      | $7134.03       | 0.00%             | 2040-12-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138YN3X3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     112056 | PA      | $106184.40     | 0.00%             | 2030-05-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140F5BH5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     593785 | PA      | $559039.81     | 0.00%             | 2031-11-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3132D6BH2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   25158453 | PA      | $22013377.69   | 0.09%             | 2037-02-01      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 36180F2G6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     718349 | PA      | $659673.72     | 0.00%             | 2043-09-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3128MJP95<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      37046 | PA      | $37071.59      | 0.00%             | 2041-05-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 36290SQB0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      27364 | PA      | $28825.78      | 0.00%             | 2033-12-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140XGXL8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    5024106 | PA      | $4508291.43    | 0.02%             | 2050-08-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138XYG40<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       4654 | PA      | $4469.52       | 0.00%             | 2029-09-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140FBJ68<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      82052 | PA      | $77250.69      | 0.00%             | 2031-08-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138EKKN4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    9273852 | PA      | $8745015.99    | 0.04%             | 2042-12-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3133A4L20<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    7591282 | PA      | $6715115.25    | 0.03%             | 2050-05-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140Q8KK0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     463537 | PA      | $447693.69     | 0.00%             | 2048-02-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 36213MWF1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       2105 | PA      | $2162.00       | 0.00%             | 2031-07-15      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138XDJ43<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      74531 | PA      | $73001.31      | 0.00%             | 2028-11-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 36296AK60<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       4363 | PA      | $4464.65       | 0.00%             | 2039-01-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31419E2E8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      14124 | PA      | $13748.80      | 0.00%             | 2040-10-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140KNFK9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     780681 | PA      | $727906.42     | 0.00%             | 2050-08-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31402CVV1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     359762 | PA      | $378497.77     | 0.00%             | 2034-03-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138Y2WS8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      37045 | PA      | $35104.01      | 0.00%             | 2030-02-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 36206F5Q1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        296 | PA      | $300.02        | 0.00%             | 2028-03-15      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31379FPH1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |         79 | PA      | $81.25         | 0.00%             | 2028-04-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31414QWV5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       5830 | PA      | $6149.58       | 0.00%             | 2038-03-01      | 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        |   84133339 | PA      | $73703846.65   | 0.31%             | 2052-03-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31411E2C0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       3015 | PA      | $3132.38       | 0.00%             | 2037-01-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3128LCUQ7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       9804 | PA      | $10201.20      | 0.00%             | 2038-06-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae II Pool                               | CUSIP: 36179XLG9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    5100000 | PA      | $4988740.39    | 0.02%             | 2052-11-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3128PS2J5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       1098 | PA      | $1072.04       | 0.00%             | 2025-11-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138YJRU2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       7731 | PA      | $7326.16       | 0.00%             | 2030-03-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3133A1KG6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    1105284 | PA      | $996772.68     | 0.00%             | 2050-01-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140KUDH2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    3877430 | PA      | $3187098.53    | 0.01%             | 2050-11-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138Y6ZD9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      48567 | PA      | $47492.55      | 0.00%             | 2029-11-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3132MAHZ7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       4974 | PA      | $4825.23       | 0.00%             | 2044-11-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 31335BPY6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    2390307 | PA      | $2162293.84    | 0.01%             | 2047-08-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3132WPUY1<br>LEI: 254900HROIFWPRGM1V77 | Long             | ABS-MBS          | USGSE             | US        |     337078 | PA      | $324441.65     | 0.00%             | 2047-07-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3132A4N95<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     272525 | PA      | $272193.19     | 0.00%             | 2044-06-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31385H7M8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       1360 | PA      | $1408.36       | 0.00%             | 2032-03-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae II Pool                               | CUSIP: 36179TAL9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   22822050 | PA      | $22161314.66   | 0.09%             | 2047-06-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31416BRV2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       1688 | PA      | $1807.86       | 0.00%             | 2037-03-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3132QLQY2<br>LEI: 254900HROIFWPRGM1V77 | Long             | ABS-MBS          | USGSE             | US        |     633325 | PA      | $614386.07     | 0.00%             | 2044-12-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| BLACKROCK CASH FUNDS TREASURY SL AGENCY SHARES | BlackRock Cash Funds: Treasury, SL Agency Shares | CUSIP: 066922477<br>LEI: 5493008LW2651I1QB503 | Long             | STIV             | RF                | US        |     100000 | NS      | $100000.00     | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3133AQN78<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    8625885 | PA      | $7647275.78    | 0.03%             | 2051-08-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 36206MZZ3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |         26 | PA      | $26.33         | 0.00%             | 2025-11-15      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140JQDH3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     557154 | PA      | $537334.45     | 0.00%             | 2049-04-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae II Pool                               | CUSIP: 36179QD32<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     226215 | PA      | $232476.94     | 0.00%             | 2044-05-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 31294MAX9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |        398 | PA      | $391.61        | 0.00%             | 2025-09-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31371HHR2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       1021 | PA      | $1051.54       | 0.00%             | 2029-04-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3133A8RV1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    8958637 | PA      | $8022972.58    | 0.03%             | 2050-08-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31406STV5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       2793 | PA      | $2881.13       | 0.00%             | 2035-02-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae II Pool                               | CUSIP: 36179MS35<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      41797 | PA      | $43459.43      | 0.00%             | 2042-11-20      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31410KJ47<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      23685 | PA      | $24007.86      | 0.00%             | 2036-07-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3128MJQH6<br>LEI: 254900HROIFWPRGM1V77 | Long             | ABS-MBS          | USGSE             | US        |      21718 | PA      | $21119.70      | 0.00%             | 2041-07-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 31283HBT1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       1457 | PA      | $1502.44       | 0.00%             | 2028-06-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31403MUX5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       5368 | PA      | $5647.27       | 0.00%             | 2033-12-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3131XUJN8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     545007 | PA      | $512289.03     | 0.00%             | 2046-05-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31407YAH2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       1178 | PA      | $1222.06       | 0.00%             | 2035-11-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 36176XKK4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    1305204 | PA      | $1276302.36    | 0.01%             | 2042-04-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 31298BJE2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       3652 | PA      | $3763.49       | 0.00%             | 2029-05-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140J56M6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     889694 | PA      | $881266.12     | 0.00%             | 2047-07-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31414C3P1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        429 | PA      | $437.31        | 0.00%             | 2038-04-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138WPHS6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      43953 | PA      | $40126.85      | 0.00%             | 2043-04-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31418ELM0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1081396 | PA      | $1016427.27    | 0.00%             | 2037-12-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140H2JE9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1770768 | PA      | $1678187.91    | 0.01%             | 2048-01-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3128M7FY7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       5832 | PA      | $6067.44       | 0.00%             | 2039-01-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 36205HFH7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |         12 | PA      | $11.60         | 0.00%             | 2024-04-15      | Fixed         | 8.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3131XQC53<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       5768 | PA      | $5590.06       | 0.00%             | 2044-06-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 31335AYJ1<br>LEI: 254900HROIFWPRGM1V77 | Long             | ABS-MBS          | USGSE             | US        |    1532301 | PA      | $1442580.92    | 0.01%             | 2046-09-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 36200NWW7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      10217 | PA      | $10622.54      | 0.00%             | 2034-11-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 312939R78<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       3971 | PA      | $3869.29       | 0.00%             | 2040-03-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31410LD74<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      35602 | PA      | $36998.07      | 0.00%             | 2040-01-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31383SD72<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        560 | PA      | $581.27        | 0.00%             | 2029-08-01      | Fixed         | 8.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 36210YTX3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |         65 | PA      | $65.25         | 0.00%             | 2029-04-15      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 36181AKM3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      13038 | PA      | $12398.88      | 0.00%             | 2043-06-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3132L7TX7<br>LEI: 254900HROIFWPRGM1V77 | Long             | ABS-MBS          | USGSE             | US        |     330144 | PA      | $329486.69     | 0.00%             | 2045-03-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3132GFUJ4<br>LEI: 254900HROIFWPRGM1V77 | Long             | ABS-MBS          | USGSE             | US        |       4890 | PA      | $4893.02       | 0.00%             | 2041-07-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 312936PJ0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       2704 | PA      | $2764.25       | 0.00%             | 2039-10-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31417YTF4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       9022 | PA      | $8898.04       | 0.00%             | 2025-09-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae II Pool                               | CUSIP: 36202DYK1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       1080 | PA      | $1107.37       | 0.00%             | 2033-07-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140KQWW7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   11869065 | PA      | $9803675.85    | 0.04%             | 2050-12-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3128MDU43<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       1490 | PA      | $1475.38       | 0.00%             | 2023-10-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 31296PXR8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      19784 | PA      | $20065.05      | 0.00%             | 2033-10-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140JKTU0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     138468 | PA      | $139365.25     | 0.00%             | 2049-01-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae II Pool                               | CUSIP: 3617KDG27<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    4018054 | PA      | $3843022.27    | 0.02%             | 2049-07-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 3620AQR88<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       2570 | PA      | $2639.19       | 0.00%             | 2039-09-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 3620AYU79<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      61484 | PA      | $58447.28      | 0.00%             | 2042-02-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3133KMSJ5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    2632761 | PA      | $2256031.88    | 0.01%             | 2051-09-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140K8LQ2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     935083 | PA      | $900483.60     | 0.00%             | 2050-01-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31410LC26<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       6307 | PA      | $6305.01       | 0.00%             | 2041-02-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138M2BC9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     160659 | PA      | $155897.99     | 0.00%             | 2042-07-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae II Pool                               | CUSIP: 36179TQP3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   12751357 | PA      | $12045388.25   | 0.05%             | 2048-01-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31412TYZ0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       2648 | PA      | $2752.74       | 0.00%             | 2038-11-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140QKL89<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     843171 | PA      | $792842.90     | 0.00%             | 2036-04-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 3620A8NL3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      10673 | PA      | $10999.67      | 0.00%             | 2039-09-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31418RDQ1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       9416 | PA      | $9620.41       | 0.00%             | 2040-03-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140KBYH1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1133917 | PA      | $1020203.72    | 0.00%             | 2035-06-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 3622A2VB5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      75530 | PA      | $74868.35      | 0.00%             | 2046-09-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140H7UM7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1668370 | PA      | $1588590.93    | 0.01%             | 2032-12-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31410F6B6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     419707 | PA      | $459249.11     | 0.00%             | 2037-04-01      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 31307AZA3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       1801 | PA      | $1793.39       | 0.00%             | 2023-02-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3132DMRV9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    3048919 | PA      | $2743441.75    | 0.01%             | 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        |     728462 | PA      | $735315.38     | 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        |    7149869 | PA      | $6527436.86    | 0.03%             | 2047-02-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31368HJA2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        703 | PA      | $705.02        | 0.00%             | 2024-02-01      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31418DFL1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     213249 | PA      | $210638.51     | 0.00%             | 2034-08-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31404KXY3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       2529 | PA      | $2662.77       | 0.00%             | 2034-04-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3132VPFV5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     177379 | PA      | $177821.81     | 0.00%             | 2049-04-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae II Pool                               | CUSIP: 3622A2SC7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     324802 | PA      | $298131.04     | 0.00%             | 2046-02-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31406NQS6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       1102 | PA      | $1143.20       | 0.00%             | 2035-04-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138AA4V0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      24104 | PA      | $24096.73      | 0.00%             | 2041-04-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 36295LTZ4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      29578 | PA      | $29682.48      | 0.00%             | 2039-05-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31402QTR2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      96399 | PA      | $101505.01     | 0.00%             | 2034-11-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 36241K4Y1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       3567 | PA      | $3733.79       | 0.00%             | 2038-12-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3132GKX76<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      14987 | PA      | $14996.88      | 0.00%             | 2041-11-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138W7RV8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1571747 | PA      | $1438403.91    | 0.01%             | 2043-04-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 31292SAG5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      56594 | PA      | $53417.59      | 0.00%             | 2042-08-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 36210APZ4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        144 | PA      | $145.44        | 0.00%             | 2028-09-15      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138YU5U1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     768057 | PA      | $727808.44     | 0.00%             | 2030-06-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140X4DF0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    2278684 | PA      | $2123584.97    | 0.01%             | 2048-11-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 36225AQR4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        232 | PA      | $235.90        | 0.00%             | 2026-11-15      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 31297NLS3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       1075 | PA      | $1109.56       | 0.00%             | 2035-01-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 36292GJ97<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       1104 | PA      | $1155.98       | 0.00%             | 2035-11-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 36290XJA9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       4013 | PA      | $4087.67       | 0.00%             | 2033-08-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31411JZT6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       4045 | PA      | $4203.34       | 0.00%             | 2037-03-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140QAV64<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    7268293 | PA      | $6975363.83    | 0.03%             | 2049-04-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 36290SNA5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       2249 | PA      | $2323.88       | 0.00%             | 2033-11-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31418MP22<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     165061 | PA      | $174102.88     | 0.00%             | 2039-10-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3128M8UE2<br>LEI: 254900HROIFWPRGM1V77 | Long             | ABS-MBS          | USGSE             | US        |    3392213 | PA      | $3394485.99    | 0.01%             | 2041-05-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31418DHS4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     271199 | PA      | $270993.97     | 0.00%             | 2034-09-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 36290R2Q5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       5092 | PA      | $5191.66       | 0.00%             | 2033-09-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 3620A5QK8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      14361 | PA      | $14411.79      | 0.00%             | 2039-09-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3128PMQX1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       5972 | PA      | $5919.11       | 0.00%             | 2024-04-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3128MMQT3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      17419 | PA      | $16722.23      | 0.00%             | 2028-05-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3132A5HF5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    1527529 | PA      | $1423543.90    | 0.01%             | 2047-08-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae II Pool                               | CUSIP: 36179WBY3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     114467 | PA      | $100813.95     | 0.00%             | 2051-03-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140X7NM7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1916476 | PA      | $1786031.09    | 0.01%             | 2049-01-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3131XYKG3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     298564 | PA      | $288362.25     | 0.00%             | 2047-11-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 313976RW4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |         20 | PA      | $19.89         | 0.00%             | 2023-07-01      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31412NZ41<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      19788 | PA      | $20179.24      | 0.00%             | 2039-02-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31414GGZ6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       2001 | PA      | $2111.14       | 0.00%             | 2037-12-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138WPGA6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     107897 | PA      | $98548.92      | 0.00%             | 2043-04-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3132WDDB7<br>LEI: 254900HROIFWPRGM1V77 | Long             | ABS-MBS          | USGSE             | US        |      45993 | PA      | $45598.39      | 0.00%             | 2046-04-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 31307CV62<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       9694 | PA      | $9305.91       | 0.00%             | 2028-06-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3133AFE23<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    3130703 | PA      | $2585421.85    | 0.01%             | 2051-02-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae                                       | CUSIP: 21H0526C7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   50275000 | PA      | $50871260.49   | 0.22%             | 2052-12-20      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138EMQ87<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      87389 | PA      | $90815.35      | 0.00%             | 2041-07-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31418BL79<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      68383 | PA      | $65675.05      | 0.00%             | 2030-01-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3128KWFU2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |        935 | PA      | $987.40        | 0.00%             | 2037-09-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 36178DDU2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     474365 | PA      | $463860.94     | 0.00%             | 2042-08-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31418BZG4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       5857 | PA      | $5296.33       | 0.00%             | 2046-02-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140E9KP0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      23692 | PA      | $22901.13      | 0.00%             | 2046-02-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 36295QJV3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       2273 | PA      | $2380.63       | 0.00%             | 2038-06-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3133KPMB1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    2810987 | PA      | $2658414.72    | 0.01%             | 2052-06-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140JRQM6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     142129 | PA      | $137677.10     | 0.00%             | 2034-04-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140GSN73<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     333233 | PA      | $335987.43     | 0.00%             | 2047-09-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3128MFDL9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     487536 | PA      | $474427.12     | 0.00%             | 2032-07-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 31307VAV8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    1047642 | PA      | $998498.08     | 0.00%             | 2032-12-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 36241KVQ8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       4114 | PA      | $4308.38       | 0.00%             | 2038-10-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31418CYZ1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     108855 | PA      | $107499.53     | 0.00%             | 2033-07-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 31292HN34<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |        186 | PA      | $193.25        | 0.00%             | 2032-03-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 36213DZ76<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       2919 | PA      | $3024.31       | 0.00%             | 2031-09-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 31292LCR4<br>LEI: 254900HROIFWPRGM1V77 | Long             | ABS-MBS          | USGSE             | US        |    1115212 | PA      | $1140678.81    | 0.00%             | 2041-08-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31406RDJ1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       3208 | PA      | $3256.93       | 0.00%             | 2035-08-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140J8DW0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     794968 | PA      | $770907.88     | 0.00%             | 2032-04-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140HE4L3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     922212 | PA      | $886528.06     | 0.00%             | 2048-05-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140H5XU0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     326230 | PA      | $308122.12     | 0.00%             | 2048-01-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3128M5R93<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |        629 | PA      | $654.59        | 0.00%             | 2038-02-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 36225BXE3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       1570 | PA      | $1649.52       | 0.00%             | 2033-03-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae II Pool                               | CUSIP: 36179UUK6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     539903 | PA      | $520741.70     | 0.00%             | 2049-06-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140QGXX0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   16928379 | PA      | $15230746.57   | 0.06%             | 2036-02-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138ENNY1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     126411 | PA      | $123615.08     | 0.00%             | 2029-09-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31412LKH2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       1336 | PA      | $1388.12       | 0.00%             | 2037-05-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140H1YS3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1085552 | PA      | $1054958.20    | 0.00%             | 2047-10-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31416S6J5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       9588 | PA      | $9584.07       | 0.00%             | 2039-07-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 36202VVV0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       1547 | PA      | $1606.16       | 0.00%             | 2033-07-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 31292JBJ8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       8791 | PA      | $9266.33       | 0.00%             | 2034-05-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31415BXU8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       4805 | PA      | $4741.00       | 0.00%             | 2024-06-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 31329QWK3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    3163325 | PA      | $3035713.65    | 0.01%             | 2049-05-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31418CFD1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    2327983 | PA      | $2103769.63    | 0.01%             | 2047-01-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140FNA95<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       6404 | PA      | $5968.20       | 0.00%             | 2047-07-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140J5SM2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     209517 | PA      | $197257.18     | 0.00%             | 2032-05-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 31329P6A6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     725663 | PA      | $717099.19     | 0.00%             | 2049-01-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3128MMXM0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     711398 | PA      | $665618.23     | 0.00%             | 2033-04-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31419ADT1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      42135 | PA      | $41039.96      | 0.00%             | 2040-07-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140J8K93<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    2285245 | PA      | $2175968.40    | 0.01%             | 2033-02-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3128KCVK0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       1430 | PA      | $1509.77       | 0.00%             | 2036-07-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138LY2J5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     420977 | PA      | $408278.05     | 0.00%             | 2027-06-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 31307JEQ2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     167750 | PA      | $164187.62     | 0.00%             | 2029-08-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140GPQF8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     819350 | PA      | $787878.69     | 0.00%             | 2047-06-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138WBSA4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      59529 | PA      | $57171.21      | 0.00%             | 2029-05-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3132QSCE6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      21049 | PA      | $20365.87      | 0.00%             | 2045-08-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3128M7CC8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      22277 | PA      | $22280.30      | 0.00%             | 2039-02-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140FLH27<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     651868 | PA      | $645634.08     | 0.00%             | 2046-12-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3131XYTN9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    1008044 | PA      | $969335.72     | 0.00%             | 2047-12-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31419BPC3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       3004 | PA      | $2953.71       | 0.00%             | 2025-07-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 36209CQT6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        965 | PA      | $991.85        | 0.00%             | 2029-03-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3131WLLC0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      41897 | PA      | $41862.18      | 0.00%             | 2038-05-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31374TGU7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        427 | PA      | $439.73        | 0.00%             | 2028-12-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3132QUNJ8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     549947 | PA      | $532121.94     | 0.00%             | 2045-12-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140KSCB1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    7432489 | PA      | $6434189.36    | 0.03%             | 2050-11-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140EY3T6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     364275 | PA      | $347223.00     | 0.00%             | 2031-03-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31418BTJ5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      10255 | PA      | $9572.56       | 0.00%             | 2045-08-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3132KFWH1<br>LEI: 254900HROIFWPRGM1V77 | Long             | ABS-MBS          | USGSE             | US        |    6650303 | PA      | $6267253.81    | 0.03%             | 2032-02-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3128KRJH8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       8893 | PA      | $9023.82       | 0.00%             | 2036-04-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 36296QPR4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        351 | PA      | $364.63        | 0.00%             | 2039-01-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 31292GRZ1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |        117 | PA      | $120.18        | 0.00%             | 2027-03-01      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3128M8VG6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      35007 | PA      | $34203.00      | 0.00%             | 2041-06-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 31292HS96<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       2649 | PA      | $2772.82       | 0.00%             | 2033-01-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31407Y2S7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        756 | PA      | $784.63        | 0.00%             | 2035-12-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3128MMKW2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       2106 | PA      | $2080.87       | 0.00%             | 2024-05-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 36230UFZ7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    1726534 | PA      | $1692578.21    | 0.01%             | 2041-02-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31417AJP5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     173245 | PA      | $163343.52     | 0.00%             | 2041-11-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3128PNBV9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       2133 | PA      | $2106.48       | 0.00%             | 2024-07-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140KRNB1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    3257505 | PA      | $2928876.34    | 0.01%             | 2035-11-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3128MAFA2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    4584661 | PA      | $4321460.39    | 0.02%             | 2045-03-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae II Pool                               | CUSIP: 36179WFG8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |  210702524 | PA      | $185441023.75  | 0.79%             | 2051-05-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31418U3V4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      80359 | PA      | $82099.79      | 0.00%             | 2040-07-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140Q7RS8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    4902752 | PA      | $4881470.01    | 0.02%             | 2047-10-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3128MDP98<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      28495 | PA      | $27662.72      | 0.00%             | 2028-04-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae II Pool                               | CUSIP: 36179WR34<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   28850374 | PA      | $26101215.57   | 0.11%             | 2051-11-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 31297SWX9<br>LEI: 254900HROIFWPRGM1V77 | Long             | ABS-MBS          | USGSE             | US        |      12570 | PA      | $12775.11      | 0.00%             | 2035-08-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 36209W6M9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        410 | PA      | $413.39        | 0.00%             | 2028-09-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae II Pool                               | CUSIP: 36202FYB6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      20737 | PA      | $21580.36      | 0.00%             | 2041-10-20      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31405XC27<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       1550 | PA      | $1599.01       | 0.00%             | 2034-11-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138Y2JB0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       5366 | PA      | $5153.05       | 0.00%             | 2029-10-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31418MSR4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      83311 | PA      | $86577.67      | 0.00%             | 2039-06-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31410KNH3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        808 | PA      | $839.54        | 0.00%             | 2038-05-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138EQLB6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     724645 | PA      | $734106.56     | 0.00%             | 2039-06-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138WJBR8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1507836 | PA      | $1450505.49    | 0.01%             | 2046-09-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140QHP33<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1270238 | PA      | $1174311.31    | 0.01%             | 2036-03-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31391RL75<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        353 | PA      | $369.02        | 0.00%             | 2032-12-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3133BDFG5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   14532124 | PA      | $13750174.96   | 0.06%             | 2052-06-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 36297FW99<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      23611 | PA      | $24760.15      | 0.00%             | 2039-09-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3133AAGW6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    1423666 | PA      | $1317038.47    | 0.01%             | 2050-07-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31417MT78<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      26944 | PA      | $28010.27      | 0.00%             | 2039-09-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 31297BBH4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       1034 | PA      | $1049.01       | 0.00%             | 2034-06-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae II Pool                               | CUSIP: 36179USV5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   10241119 | PA      | $10149278.02   | 0.04%             | 2049-05-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 36207ENB6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       4017 | PA      | $4235.33       | 0.00%             | 2033-12-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3133ACUT3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    1737651 | PA      | $1358020.66    | 0.01%             | 2050-12-01      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3133G6HK4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    1443292 | PA      | $1366248.83    | 0.01%             | 2034-07-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3132WGHT7<br>LEI: 254900HROIFWPRGM1V77 | Long             | ABS-MBS          | USGSE             | US        |     662451 | PA      | $599259.45     | 0.00%             | 2046-09-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138A53N0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     138085 | PA      | $134415.72     | 0.00%             | 2041-01-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3132DNSM6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   21343084 | PA      | $20184644.98   | 0.09%             | 2052-08-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140X4H90<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       9455 | PA      | $8902.09       | 0.00%             | 2032-06-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31385WZT9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        492 | PA      | $509.80        | 0.00%             | 2033-01-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 36207V2C9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        840 | PA      | $846.90        | 0.00%             | 2028-05-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 36296Q6T1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     792732 | PA      | $795522.46     | 0.00%             | 2039-08-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3128KXUP4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |        614 | PA      | $648.25        | 0.00%             | 2037-10-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3131Y1RR3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     358930 | PA      | $361898.60     | 0.00%             | 2048-06-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae II Pool                               | CUSIP: 3617BKXM8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    1275096 | PA      | $1238179.88    | 0.01%             | 2047-12-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140XBUX6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    5744011 | PA      | $5531472.58    | 0.02%             | 2049-09-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140EUJ67<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     917912 | PA      | $855583.55     | 0.00%             | 2046-03-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138EQFU1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    4241196 | PA      | $3871978.45    | 0.02%             | 2044-11-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 36296TWK5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        844 | PA      | $878.66        | 0.00%             | 2038-11-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3133KL7K7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   51521962 | PA      | $42531748.00   | 0.18%             | 2051-07-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140FA6M9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     729993 | PA      | $684765.35     | 0.00%             | 2048-03-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138AVQE8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       2888 | PA      | $2806.10       | 0.00%             | 2041-10-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140EYPU9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      72122 | PA      | $67225.16      | 0.00%             | 2046-04-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3128MJCK4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       4590 | PA      | $4766.27       | 0.00%             | 2035-08-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138WFBL9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    3083807 | PA      | $2827700.49    | 0.01%             | 2045-07-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3132CWYG3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    6580267 | PA      | $6188091.20    | 0.03%             | 2037-07-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140LUGU9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1335726 | PA      | $1200088.30    | 0.01%             | 2036-08-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 31294NVW6<br>LEI: 254900HROIFWPRGM1V77 | Long             | ABS-MBS          | USGSE             | US        |    3763922 | PA      | $3615036.94    | 0.02%             | 2028-02-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31416WT44<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1410677 | PA      | $1410254.71    | 0.01%             | 2040-09-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 31292GY59<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |        200 | PA      | $209.05        | 0.00%             | 2029-03-01      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 31307B6T2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     246798 | PA      | $239557.68     | 0.00%             | 2028-05-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31418WPG9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       6991 | PA      | $6804.81       | 0.00%             | 2040-08-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 36176SNE6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       7283 | PA      | $7138.31       | 0.00%             | 2042-01-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 312939QU8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     361850 | PA      | $370096.08     | 0.00%             | 2040-03-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae II Pool                               | CUSIP: 36179SNV5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     321310 | PA      | $303972.17     | 0.00%             | 2046-10-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3128M5NL0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       1127 | PA      | $1172.36       | 0.00%             | 2037-11-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3133A9HE8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   23806218 | PA      | $19678298.77   | 0.08%             | 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        |   71192954 | PA      | $60389245.89   | 0.26%             | 2052-04-20      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138YQB90<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      10082 | PA      | $9117.41       | 0.00%             | 2045-05-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31390PGE1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        894 | PA      | $956.70        | 0.00%             | 2032-08-01      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138AFB90<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    2265391 | PA      | $2314553.28    | 0.01%             | 2041-05-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31418EFF2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    6189697 | PA      | $5711398.52    | 0.02%             | 2037-07-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31417GFM3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1487896 | PA      | $1427036.79    | 0.01%             | 2028-04-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140HPWR4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      71815 | PA      | $69036.53      | 0.00%             | 2048-11-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 31287QQD6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |        747 | PA      | $781.67        | 0.00%             | 2032-03-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3131YCSK3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    1184269 | PA      | $1070694.83    | 0.00%             | 2049-05-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138EJYL6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      11888 | PA      | $11572.50      | 0.00%             | 2041-09-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140HHKL8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1523361 | PA      | $1467169.11    | 0.01%             | 2048-05-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3133AQTK3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   22288931 | PA      | $19061883.23   | 0.08%             | 2051-08-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae II Pool                               | CUSIP: 36179NH92<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    2457823 | PA      | $2263931.55    | 0.01%             | 2043-07-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3128KRTX2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |        783 | PA      | $826.62        | 0.00%             | 2037-03-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 31307MWL6<br>LEI: 254900HROIFWPRGM1V77 | Long             | ABS-MBS          | USGSE             | US        |       5911 | PA      | $5663.77       | 0.00%             | 2030-05-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140HF3J6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1069299 | PA      | $1011716.74    | 0.00%             | 2035-05-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138Y6ND2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       8718 | PA      | $8449.11       | 0.00%             | 2044-12-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 312938M26<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       7909 | PA      | $7913.61       | 0.00%             | 2039-12-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31418EJ76<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    4940404 | PA      | $4914889.13    | 0.02%             | 2052-10-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31371NP25<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       1333 | PA      | $1385.70       | 0.00%             | 2038-01-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3132CWKP8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    6625882 | PA      | $6272191.62    | 0.03%             | 2035-04-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140QBJC3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    3209228 | PA      | $2994291.37    | 0.01%             | 2049-07-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3132XU5W1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     701182 | PA      | $674896.37     | 0.00%             | 2047-12-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3128M8A87<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       6417 | PA      | $6676.32       | 0.00%             | 2040-03-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140MHSX8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   54815326 | PA      | $46794809.64   | 0.20%             | 2052-03-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31413TKM3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       4448 | PA      | $4764.48       | 0.00%             | 2037-11-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3131XDFR1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      30484 | PA      | $28668.22      | 0.00%             | 2033-01-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138AVGL3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       8154 | PA      | $7922.17       | 0.00%             | 2041-11-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae II Pool                               | CUSIP: 36179RJD2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   14447853 | PA      | $13261471.93   | 0.06%             | 2045-07-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae II Pool                               | CUSIP: 3622AAQW7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     142215 | PA      | $129635.86     | 0.00%             | 2050-04-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31414K6M7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       3468 | PA      | $3603.86       | 0.00%             | 2038-01-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3131XDM36<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     267695 | PA      | $259889.86     | 0.00%             | 2033-05-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 36295KVA8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       1755 | PA      | $1857.79       | 0.00%             | 2038-08-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140JKTQ9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1448288 | PA      | $1429973.65    | 0.01%             | 2049-01-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 31298PC32<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |        731 | PA      | $758.33        | 0.00%             | 2029-04-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3128M6NS3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      58911 | PA      | $61295.16      | 0.00%             | 2038-07-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 31297HCJ6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       1592 | PA      | $1615.57       | 0.00%             | 2034-12-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3133A9JH9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   10608307 | PA      | $9193466.01    | 0.04%             | 2050-09-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 31283H7K5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |        633 | PA      | $652.22        | 0.00%             | 2032-12-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140JGPQ2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     357677 | PA      | $347246.67     | 0.00%             | 2033-10-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140Q8HK4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     203381 | PA      | $189537.54     | 0.00%             | 2048-02-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138ENT82<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     390786 | PA      | $395888.53     | 0.00%             | 2037-07-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140QLUA2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    8308359 | PA      | $7680919.93    | 0.03%             | 2036-08-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 3620AMEJ7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     320603 | PA      | $321712.20     | 0.00%             | 2040-06-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31412S3D5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      55573 | PA      | $57764.62      | 0.00%             | 2038-05-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31417TRJ9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       2839 | PA      | $2793.18       | 0.00%             | 2024-12-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3132L66Z9<br>LEI: 254900HROIFWPRGM1V77 | Long             | ABS-MBS          | USGSE             | US        |     506950 | PA      | $503739.06     | 0.00%             | 2045-08-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 31288D4Q9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       3097 | PA      | $3225.68       | 0.00%             | 2032-08-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| UMBS, TBA                                      | Uniform Mortgage-Backed Security, TBA            | CUSIP: 01F0326C3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   94050000 | PA      | $86085140.63   | 0.37%             | 2052-12-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140JPD77<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1117629 | PA      | $1082619.54    | 0.00%             | 2034-05-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140EWWY7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     420022 | PA      | $400360.50     | 0.00%             | 2031-02-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140QAZD5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    4136234 | PA      | $4006665.28    | 0.02%             | 2034-04-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae II Pool                               | CUSIP: 36179NF60<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    1004529 | PA      | $925284.20     | 0.00%             | 2043-06-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140QMZG2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    8461788 | PA      | $7244215.62    | 0.03%             | 2052-01-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31413TK43<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       3883 | PA      | $4216.94       | 0.00%             | 2037-12-01      | Fixed         | 7.00%                 | 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        | 2096446512 | NS      | $2096656156.85 | 8.94%             |  |  |  | No            |                  1 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3128PVV31<br>LEI: 254900HROIFWPRGM1V77 | Long             | ABS-MBS          | USGSE             | US        |     166515 | PA      | $161912.47     | 0.00%             | 2026-07-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140KCWQ1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1137520 | PA      | $1020337.30    | 0.00%             | 2050-04-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140F9V85<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     142170 | PA      | $140810.02     | 0.00%             | 2047-01-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3132WPMN4<br>LEI: 254900HROIFWPRGM1V77 | Long             | ABS-MBS          | USGSE             | US        |     441146 | PA      | $401082.55     | 0.00%             | 2047-07-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140X8JV0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   31215092 | PA      | $26782637.42   | 0.11%             | 2050-10-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140XHX36<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    6557158 | PA      | $5737309.54    | 0.02%             | 2037-08-01      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31417GEQ5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     776621 | PA      | $709011.78     | 0.00%             | 2043-04-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138WD2G5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    2295104 | PA      | $2152273.72    | 0.01%             | 2045-02-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 31292GMA1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |          8 | PA      | $7.96          | 0.00%             | 2024-06-01      | Fixed         | 8.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3132DWCN1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   21918178 | PA      | $18054651.63   | 0.08%             | 2051-11-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138A4Y58<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      43275 | PA      | $42182.15      | 0.00%             | 2026-01-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 36208UD95<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       1040 | PA      | $1055.27       | 0.00%             | 2027-11-15      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 36295YUT8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       1112 | PA      | $1152.50       | 0.00%             | 2038-03-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3133GDV49<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    1467242 | PA      | $1319570.61    | 0.01%             | 2036-07-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 312932JW7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |        625 | PA      | $609.58        | 0.00%             | 2039-04-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31407Y3D9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        815 | PA      | $845.48        | 0.00%             | 2035-12-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138WWNP0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      45768 | PA      | $40537.90      | 0.00%             | 2043-07-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3132XUBF1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     598956 | PA      | $576502.42     | 0.00%             | 2047-11-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 31335GPV1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |         53 | PA      | $55.03         | 0.00%             | 2026-10-01      | Fixed         | 8.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140X5DK6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1860210 | PA      | $1760855.85    | 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        |   10669670 | PA      | $9845567.77    | 0.04%             | 2037-05-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138ARZ64<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      69455 | PA      | $69434.26      | 0.00%             | 2041-09-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 36206FRA2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        298 | PA      | $302.91        | 0.00%             | 2025-08-15      | Fixed         | 8.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3132WHY82<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     613228 | PA      | $553159.79     | 0.00%             | 2046-11-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31410G5A7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        710 | PA      | $760.44        | 0.00%             | 2038-03-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3128M6RL4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       1712 | PA      | $1747.88       | 0.00%             | 2038-06-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31418XXV5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       1616 | PA      | $1572.86       | 0.00%             | 2040-08-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31416VSZ8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      14509 | PA      | $15077.50      | 0.00%             | 2039-01-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 312946BL9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      11442 | PA      | $10799.75      | 0.00%             | 2041-02-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140F07H1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      18110 | PA      | $17421.89      | 0.00%             | 2046-04-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 31335GMC6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |         95 | PA      | $95.77         | 0.00%             | 2025-09-01      | Fixed         | 8.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140HK5Y0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     453020 | PA      | $451955.46     | 0.00%             | 2048-08-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae II Pool                               | CUSIP: 36179W2V9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     492908 | PA      | $444950.95     | 0.00%             | 2052-04-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31416BMN5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    2105465 | PA      | $2167899.56    | 0.01%             | 2036-09-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140FGVA4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     595329 | PA      | $544089.54     | 0.00%             | 2047-01-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31410BFW9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      28444 | PA      | $28925.52      | 0.00%             | 2036-06-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 31287PCN1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |        188 | PA      | $194.47        | 0.00%             | 2032-02-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3131XTVP2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     563551 | PA      | $544733.92     | 0.00%             | 2045-12-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31418DU83<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1834635 | PA      | $1650651.61    | 0.01%             | 2035-12-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31407EHX4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       3896 | PA      | $3954.94       | 0.00%             | 2035-07-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3128M6YJ1<br>LEI: 254900HROIFWPRGM1V77 | Long             | ABS-MBS          | USGSE             | US        |     853398 | PA      | $868857.18     | 0.00%             | 2038-03-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138YMLZ0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      64290 | PA      | $61547.29      | 0.00%             | 2030-04-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3128PMKY5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |        117 | PA      | $115.56        | 0.00%             | 2024-02-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31411DS67<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        675 | PA      | $701.11        | 0.00%             | 2037-02-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140Q8W35<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    3018953 | PA      | $2983321.30    | 0.01%             | 2048-04-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31418CY24<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      41272 | PA      | $42334.36      | 0.00%             | 2048-06-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 31292GKV7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |          3 | PA      | $3.10          | 0.00%             | 2024-01-01      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 3620A2WF9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      20092 | PA      | $20162.77      | 0.00%             | 2039-05-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31417KMR5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       1563 | PA      | $1522.44       | 0.00%             | 2039-08-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3132QWD63<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     209508 | PA      | $201733.21     | 0.00%             | 2046-03-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140J9UB5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   10098085 | PA      | $9522247.56    | 0.04%             | 2045-08-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138M9WQ0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     161776 | PA      | $147692.88     | 0.00%             | 2043-07-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31417GHD1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      18500 | PA      | $17939.73      | 0.00%             | 2028-05-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3132GJBS7<br>LEI: 254900HROIFWPRGM1V77 | Long             | ABS-MBS          | USGSE             | US        |     385716 | PA      | $385978.50     | 0.00%             | 2041-08-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138YPCB6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      34122 | PA      | $29822.08      | 0.00%             | 2045-04-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 36206JCT9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        935 | PA      | $955.26        | 0.00%             | 2027-12-15      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138LTJV1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     978046 | PA      | $925107.24     | 0.00%             | 2042-05-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31391SS84<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       3401 | PA      | $3499.82       | 0.00%             | 2033-01-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31416PE45<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     359236 | PA      | $349902.58     | 0.00%             | 2039-05-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140QFFE4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   32485236 | PA      | $27949283.11   | 0.12%             | 2050-10-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3132QSAW8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    5544193 | PA      | $5210283.15    | 0.02%             | 2045-08-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140QNQM7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   19140416 | PA      | $16387839.07   | 0.07%             | 2052-03-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140FHLJ4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      15448 | PA      | $14398.57      | 0.00%             | 2046-10-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140FCAB4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     484713 | PA      | $459929.63     | 0.00%             | 2032-06-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140J5EJ4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    8497281 | PA      | $8000069.12    | 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        |    7379394 | PA      | $6675466.57    | 0.03%             | 2046-11-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae II Pool                               | CUSIP: 36179WND6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     695774 | PA      | $592371.94     | 0.00%             | 2051-09-20      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3128M6XU7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      13926 | PA      | $14459.87      | 0.00%             | 2038-01-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3132DWBR3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      67861 | PA      | $60340.87      | 0.00%             | 2051-05-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3131XC2M8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     429408 | PA      | $417490.76     | 0.00%             | 2032-08-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138ENVZ9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      10168 | PA      | $9885.36       | 0.00%             | 2044-10-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3132HQ3K6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      19172 | PA      | $17528.20      | 0.00%             | 2042-12-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3133A6VE8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    3208875 | PA      | $2847140.51    | 0.01%             | 2050-06-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3128PXLK0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     124882 | PA      | $120587.38     | 0.00%             | 2026-12-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140K22V5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     515740 | PA      | $521211.94     | 0.00%             | 2049-10-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3128M8Z72<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     138281 | PA      | $141438.75     | 0.00%             | 2041-09-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31418CEC4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1320438 | PA      | $1243173.95    | 0.01%             | 2031-12-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138ER6R6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1399180 | PA      | $1304171.36    | 0.01%             | 2047-02-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31407LAB3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       2392 | PA      | $2520.21       | 0.00%             | 2035-10-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138EMY39<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      30715 | PA      | $31381.52      | 0.00%             | 2044-01-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31418D6F4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     902479 | PA      | $789641.16     | 0.00%             | 2036-11-01      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3128M8CE2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       8786 | PA      | $8911.00       | 0.00%             | 2034-04-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31418SYS2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       6268 | PA      | $6403.44       | 0.00%             | 2040-06-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 36178C3S0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     176713 | PA      | $167984.49     | 0.00%             | 2042-05-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140K0QC5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     262962 | PA      | $254724.41     | 0.00%             | 2034-11-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3132QVJT9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    1546134 | PA      | $1453014.96    | 0.01%             | 2046-01-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3132Y2S31<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    1166359 | PA      | $1127748.27    | 0.00%             | 2048-09-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140QBBH0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    3512709 | PA      | $3378637.94    | 0.01%             | 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        |      15184 | PA      | $13936.77      | 0.00%             | 2045-03-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3128K4AB1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |        858 | PA      | $892.70        | 0.00%             | 2036-03-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3128MCKV6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |        559 | PA      | $550.62        | 0.00%             | 2024-12-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 36203LB27<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |         64 | PA      | $64.49         | 0.00%             | 2023-10-15      | Fixed         | 8.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae II Pool                               | CUSIP: 36179MMX5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      58051 | PA      | $56015.35      | 0.00%             | 2027-09-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3133KLWQ6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |  108954231 | PA      | $89535719.57   | 0.38%             | 2051-05-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138WWD71<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     774058 | PA      | $706671.97     | 0.00%             | 2043-06-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3128PVDE7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       3616 | PA      | $3545.14       | 0.00%             | 2026-05-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3132DMDU6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    7873444 | PA      | $7405362.91    | 0.03%             | 2048-03-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3132DM2X2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   23908357 | PA      | $19753599.33   | 0.08%             | 2051-12-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140QAAB6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1614049 | PA      | $1504188.52    | 0.01%             | 2048-02-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 36295H5B2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       1857 | PA      | $1971.56       | 0.00%             | 2037-07-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3128KEMP5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      33670 | PA      | $36111.67      | 0.00%             | 2036-09-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 31335BAA4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       3534 | PA      | $3432.72       | 0.00%             | 2044-07-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3128KEVP5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |        166 | PA      | $172.50        | 0.00%             | 2036-09-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140QMPG3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    9668427 | PA      | $8470739.95    | 0.04%             | 2036-11-01      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3132WNEF5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      23542 | PA      | $23763.27      | 0.00%             | 2047-05-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 31307FKR1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      15237 | PA      | $14938.41      | 0.00%             | 2028-12-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3128MCQX6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       1426 | PA      | $1415.23       | 0.00%             | 2025-06-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae II Pool                               | CUSIP: 36179TUE3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      47592 | PA      | $49305.57      | 0.00%             | 2048-03-20      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 36177NXQ8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      29384 | PA      | $27932.24      | 0.00%             | 2042-03-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31418D2L5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   90234945 | PA      | $74388073.06   | 0.32%             | 2051-07-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 31329PNA7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    5472065 | PA      | $5407488.74    | 0.02%             | 2048-10-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140H6M89<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       8458 | PA      | $7882.49       | 0.00%             | 2048-03-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3132KFSQ6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     965457 | PA      | $909848.19     | 0.00%             | 2031-12-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140EXER0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      83354 | PA      | $80771.04      | 0.00%             | 2046-09-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 36241K6P8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       2625 | PA      | $2633.80       | 0.00%             | 2039-06-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae II Pool                               | CUSIP: 36179MKL3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      43843 | PA      | $42305.50      | 0.00%             | 2027-08-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138AKEB1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     539292 | PA      | $528355.22     | 0.00%             | 2026-06-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 31292K2A4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       7047 | PA      | $7051.83       | 0.00%             | 2040-05-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31385XQ91<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGSE             | US        |    1104631 | PA      | $1137386.60    | 0.00%             | 2033-11-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 36225BKX5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        689 | PA      | $713.88        | 0.00%             | 2029-09-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140MAD84<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    6369607 | PA      | $5456047.77    | 0.02%             | 2052-02-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 31283HUA1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |        174 | PA      | $182.33        | 0.00%             | 2032-12-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140QQN92<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1446942 | PA      | $1479858.58    | 0.01%             | 2052-10-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 36296DDX3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      25513 | PA      | $26233.74      | 0.00%             | 2038-08-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31405NC60<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        491 | PA      | $517.26        | 0.00%             | 2034-09-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae II Pool                               | CUSIP: 36202FPE0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      73763 | PA      | $70179.46      | 0.00%             | 2041-01-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae II Pool                               | CUSIP: 36202FY59<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     338479 | PA      | $321861.25     | 0.00%             | 2041-11-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140X9PP4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    8328803 | PA      | $6903196.02    | 0.03%             | 2051-02-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3128M9SS2<br>LEI: 254900HROIFWPRGM1V77 | Long             | ABS-MBS          | USGSE             | US        |    1245283 | PA      | $1177496.24    | 0.01%             | 2043-06-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31417TMA3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     178523 | PA      | $178450.67     | 0.00%             | 2039-12-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140EU4Q9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     516975 | PA      | $467184.17     | 0.00%             | 2046-04-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3128M7AZ9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       1891 | PA      | $1996.27       | 0.00%             | 2038-12-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140HJD99<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     895593 | PA      | $869337.17     | 0.00%             | 2048-04-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 31288BMZ3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |        205 | PA      | $214.52        | 0.00%             | 2032-11-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140FUXH6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    2357355 | PA      | $2280702.53    | 0.01%             | 2047-06-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31413F4Y5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       1926 | PA      | $2031.39       | 0.00%             | 2037-07-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3128MCQV0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       2632 | PA      | $2599.32       | 0.00%             | 2025-07-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 36189MTT5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      46710 | PA      | $45410.31      | 0.00%             | 2046-12-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3133G82G5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     799024 | PA      | $755977.28     | 0.00%             | 2035-06-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138Y9AV0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1757361 | PA      | $1689380.61    | 0.01%             | 2029-11-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31418NDE7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       1134 | PA      | $1115.41       | 0.00%             | 2025-02-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31386TRA5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        775 | PA      | $804.45        | 0.00%             | 2031-05-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140H1PZ7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     339920 | PA      | $323665.14     | 0.00%             | 2032-10-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3128MJT75<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     362334 | PA      | $351671.80     | 0.00%             | 2044-02-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3131Y73G0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    1421538 | PA      | $1404762.48    | 0.01%             | 2048-12-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140L4M71<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1024227 | PA      | $913485.64     | 0.00%             | 2051-06-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140LREL8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     715357 | PA      | $642825.82     | 0.00%             | 2036-07-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140GVV44<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     510392 | PA      | $475734.60     | 0.00%             | 2046-04-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae II Pool                               | CUSIP: 36179QBE0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      19861 | PA      | $18294.53      | 0.00%             | 2044-04-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 36210EYD5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       1500 | PA      | $1521.95       | 0.00%             | 2029-04-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae II Pool                               | CUSIP: 36179RQ44<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      46343 | PA      | $46425.85      | 0.00%             | 2045-10-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31371NCH6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       1662 | PA      | $1692.85       | 0.00%             | 2037-04-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae II Pool                               | CUSIP: 36179TCX1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    1108712 | PA      | $1047329.02    | 0.00%             | 2047-07-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31410PPP2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       1284 | PA      | $1376.01       | 0.00%             | 2036-08-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138E2MD4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1459186 | PA      | $1407067.99    | 0.01%             | 2027-01-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31412E3F1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       6069 | PA      | $6421.48       | 0.00%             | 2037-06-01      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140JN2D1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     109064 | PA      | $105282.36     | 0.00%             | 2049-03-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31416CCK0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       2531 | PA      | $2669.91       | 0.00%             | 2038-05-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 31283H3M5<br>LEI: 254900HROIFWPRGM1V77 | Long             | ABS-MBS          | USGSE             | US        |      13096 | PA      | $13498.78      | 0.00%             | 2033-07-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140QHC37<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   45795604 | PA      | $39345846.24   | 0.17%             | 2051-02-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3132J9GM4<br>LEI: 254900HROIFWPRGM1V77 | Long             | ABS-MBS          | USGSE             | US        |     842966 | PA      | $770332.58     | 0.00%             | 2043-05-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae II Pool                               | CUSIP: 36179V4U1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   17867526 | PA      | $15271435.02   | 0.07%             | 2051-01-20      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140JUKX1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1322506 | PA      | $1305398.54    | 0.01%             | 2049-05-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31415BKK4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        818 | PA      | $862.66        | 0.00%             | 2038-07-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 31307ENJ9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      47252 | PA      | $45362.37      | 0.00%             | 2028-09-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140JNE89<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1590571 | PA      | $1571797.76    | 0.01%             | 2049-02-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3132JNCZ8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       4077 | PA      | $3725.83       | 0.00%             | 2043-08-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140KV3P3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1315572 | PA      | $1084816.22    | 0.00%             | 2050-12-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| UMBS, TBA                                      | Uniform Mortgage-Backed Security, TBA            | CUSIP: 01F0204C0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   67911791 | PA      | $61087451.93   | 0.26%             | 2037-12-15      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31411XD51<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       2497 | PA      | $2643.99       | 0.00%             | 2037-03-01      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 36241KXQ6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        668 | PA      | $687.40        | 0.00%             | 2038-12-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140Q82U8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1561795 | PA      | $1453131.58    | 0.01%             | 2048-03-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3128F45G2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |        146 | PA      | $147.09        | 0.00%             | 2025-11-01      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138NY4L6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      22507 | PA      | $19938.35      | 0.00%             | 2043-02-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 36201TS99<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       4845 | PA      | $5104.50       | 0.00%             | 2035-09-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31417YRU3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      45544 | PA      | $47351.68      | 0.00%             | 2040-07-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3132HRFK1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    1038758 | PA      | $980461.88     | 0.00%             | 2043-01-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138EQM33<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       5995 | PA      | $5817.55       | 0.00%             | 2043-10-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140HBBW7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     810170 | PA      | $787672.22     | 0.00%             | 2033-02-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140FLV62<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1171535 | PA      | $1098949.95    | 0.00%             | 2047-02-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138X3F56<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     461668 | PA      | $452191.62     | 0.00%             | 2028-08-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 36208LZK6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        833 | PA      | $842.95        | 0.00%             | 2028-06-15      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140X74P1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    5779568 | PA      | $5447829.24    | 0.02%             | 2045-08-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31374TG78<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        840 | PA      | $870.64        | 0.00%             | 2028-12-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138M3QJ6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      22743 | PA      | $21822.42      | 0.00%             | 2027-07-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3128MJPV6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       8010 | PA      | $8015.30       | 0.00%             | 2041-02-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31406GQV4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       5257 | PA      | $5336.84       | 0.00%             | 2035-02-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae II Pool                               | CUSIP: 36179QYT2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    4627930 | PA      | $4513811.07    | 0.02%             | 2045-01-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31417FSB5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     551336 | PA      | $503339.17     | 0.00%             | 2043-03-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31380UTP3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        290 | PA      | $298.88        | 0.00%             | 2028-12-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 36291Q4D3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        913 | PA      | $947.13        | 0.00%             | 2035-11-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3133A35L8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    1397959 | PA      | $1301710.13    | 0.01%             | 2050-04-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138E4AG6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      15748 | PA      | $15178.76      | 0.00%             | 2027-01-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3128M4YN7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |        805 | PA      | $863.26        | 0.00%             | 2036-11-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140JXSQ2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     609407 | PA      | $576858.85     | 0.00%             | 2034-10-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31414JBX0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      21117 | PA      | $21944.42      | 0.00%             | 2037-12-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 31307BFB1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      33121 | PA      | $31345.70      | 0.00%             | 2028-03-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 31307NHQ0<br>LEI: 254900HROIFWPRGM1V77 | Long             | ABS-MBS          | USGSE             | US        |     151905 | PA      | $144086.03     | 0.00%             | 2030-07-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 36296CT83<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      46339 | PA      | $47384.31      | 0.00%             | 2038-05-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 36295QKD1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       1782 | PA      | $1826.98       | 0.00%             | 2038-06-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140JYER3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     752069 | PA      | $742340.05     | 0.00%             | 2049-08-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3132QTAQ9<br>LEI: 254900HROIFWPRGM1V77 | Long             | ABS-MBS          | USGSE             | US        |     163488 | PA      | $162452.84     | 0.00%             | 2045-09-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3132XYFQ5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     411910 | PA      | $397118.58     | 0.00%             | 2048-04-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31385HY63<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        678 | PA      | $702.42        | 0.00%             | 2031-12-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140JWFJ4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     976676 | PA      | $905573.06     | 0.00%             | 2034-10-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 36225BSS8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        839 | PA      | $906.66        | 0.00%             | 2032-03-15      | Fixed         | 8.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3131Y0AQ5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     264047 | PA      | $248111.26     | 0.00%             | 2048-01-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140J8ZC0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    3921851 | PA      | $3692367.37    | 0.02%             | 2033-01-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3128L4SK1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       9742 | PA      | $10285.63      | 0.00%             | 2038-01-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae II Pool                               | CUSIP: 36179VZV5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     175350 | PA      | $173777.21     | 0.00%             | 2050-12-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3133G72X0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     650616 | PA      | $630263.85     | 0.00%             | 2035-02-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 31296YQ22<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       6829 | PA      | $6929.81       | 0.00%             | 2034-05-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae II Pool                               | CUSIP: 36179NX52<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       2887 | PA      | $2743.61       | 0.00%             | 2044-01-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140J57C7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     546712 | PA      | $530165.17     | 0.00%             | 2031-12-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 36296QL31<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       5059 | PA      | $5202.75       | 0.00%             | 2039-03-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138WDGD7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     416124 | PA      | $424240.65     | 0.00%             | 2044-11-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3128PPLH4<br>LEI: 254900HROIFWPRGM1V77 | Long             | ABS-MBS          | USGSE             | US        |      53515 | PA      | $52972.03      | 0.00%             | 2024-07-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31410LNY4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      25101 | PA      | $25597.45      | 0.00%             | 2043-08-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31418CAF1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    7269534 | PA      | $6569388.82    | 0.03%             | 2046-08-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138A5GX4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      65789 | PA      | $64040.67      | 0.00%             | 2041-01-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31418CJA3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   14295903 | PA      | $12919032.56   | 0.06%             | 2047-04-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31417WTD3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      31996 | PA      | $31982.91      | 0.00%             | 2040-02-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31412MJ90<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       2292 | PA      | $2382.77       | 0.00%             | 2038-03-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140KPDJ9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   13401132 | PA      | $11527463.91   | 0.05%             | 2050-09-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138A2WY1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       6394 | PA      | $6223.92       | 0.00%             | 2041-01-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31414RWM3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        386 | PA      | $407.33        | 0.00%             | 2038-02-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31404WZA7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        725 | PA      | $747.58        | 0.00%             | 2034-06-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 31297ANS9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |        328 | PA      | $327.16        | 0.00%             | 2034-05-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae II Pool                               | CUSIP: 3617QG2H6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   11189926 | PA      | $9863464.97    | 0.04%             | 2050-09-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3129355P0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       7742 | PA      | $7746.53       | 0.00%             | 2039-09-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140FE4G6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     345251 | PA      | $331989.85     | 0.00%             | 2047-04-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 36204QEN6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |         45 | PA      | $45.09         | 0.00%             | 2024-03-15      | Fixed         | 8.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 31307TTG6<br>LEI: 254900HROIFWPRGM1V77 | Long             | ABS-MBS          | USGSE             | US        |     528936 | PA      | $514714.54     | 0.00%             | 2032-05-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 312927ET9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       2609 | PA      | $2755.09       | 0.00%             | 2038-08-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138ETHT6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     389597 | PA      | $388443.03     | 0.00%             | 2045-11-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3128LXMK3<br>LEI: 254900HROIFWPRGM1V77 | Long             | ABS-MBS          | USGSE             | US        |     361752 | PA      | $376254.33     | 0.00%             | 2036-05-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140JNN89<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     654300 | PA      | $652392.05     | 0.00%             | 2049-02-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31371K2Z3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      23280 | PA      | $23970.59      | 0.00%             | 2033-03-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 36178MSR3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     125195 | PA      | $119011.52     | 0.00%             | 2042-09-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138WGA20<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1661749 | PA      | $1551204.73    | 0.01%             | 2045-12-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3132J4ND7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    2423331 | PA      | $2383118.56    | 0.01%             | 2038-07-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31389TQ88<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       1021 | PA      | $1062.47       | 0.00%             | 2032-05-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 36176UZR9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      48790 | PA      | $46379.88      | 0.00%             | 2042-08-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140EWA96<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1106540 | PA      | $1041791.70    | 0.00%             | 2031-04-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 36205QA41<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |         31 | PA      | $31.09         | 0.00%             | 2024-05-15      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3132KEV93<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      39778 | PA      | $38238.49      | 0.00%             | 2029-09-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31419LYA5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     105175 | PA      | $99165.01      | 0.00%             | 2040-12-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae                                       | CUSIP: 21H0506C1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   21695000 | PA      | $21674660.94   | 0.09%             | 2052-12-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 31288G3W0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       7924 | PA      | $8167.86       | 0.00%             | 2033-04-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3133A4VS2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    1041475 | PA      | $963955.29     | 0.00%             | 2050-05-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3133BHHV1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    3964015 | PA      | $3856571.13    | 0.02%             | 2052-08-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31413LLL1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        880 | PA      | $928.25        | 0.00%             | 2037-08-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31416M4C5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      24495 | PA      | $24484.84      | 0.00%             | 2039-03-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138ECFT5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      67456 | PA      | $65421.34      | 0.00%             | 2027-03-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31417JM64<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      13986 | PA      | $13980.21      | 0.00%             | 2039-07-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31418BD86<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       5107 | PA      | $5092.04       | 0.00%             | 2044-06-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3128LXUW8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |        848 | PA      | $931.18        | 0.00%             | 2036-11-01      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3132JNVA2<br>LEI: 254900HROIFWPRGM1V77 | Long             | ABS-MBS          | USGSE             | US        |     590393 | PA      | $590243.50     | 0.00%             | 2043-09-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31412L7G9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       6067 | PA      | $6304.76       | 0.00%             | 2037-12-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140J8FH1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    4973905 | PA      | $4781443.23    | 0.02%             | 2048-04-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31371LQW2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       6842 | PA      | $7056.79       | 0.00%             | 2034-07-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae II Pool                               | CUSIP: 36179TV85<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    2836593 | PA      | $2867668.37    | 0.01%             | 2048-04-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 36201MP89<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       1393 | PA      | $1457.12       | 0.00%             | 2032-10-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31411XZL2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       1334 | PA      | $1385.85       | 0.00%             | 2037-05-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31417AKN8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     149359 | PA      | $144021.02     | 0.00%             | 2026-11-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31418D2T8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      39258 | PA      | $36908.00      | 0.00%             | 2036-07-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140QANN6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     134164 | PA      | $132580.32     | 0.00%             | 2049-02-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3132JA6X8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       7776 | PA      | $7105.55       | 0.00%             | 2043-06-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138AVQF5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       3218 | PA      | $3126.44       | 0.00%             | 2041-10-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 36295CKC4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     693569 | PA      | $636916.93     | 0.00%             | 2043-08-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 31329JQH3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     730542 | PA      | $647270.35     | 0.00%             | 2043-02-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 31293HVN0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       1709 | PA      | $1772.62       | 0.00%             | 2029-01-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138WGYN8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     149276 | PA      | $139139.45     | 0.00%             | 2046-04-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140X9GA7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    5383821 | PA      | $5133623.13    | 0.02%             | 2050-12-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31418RB83<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      51459 | PA      | $52538.56      | 0.00%             | 2040-04-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140HJYJ4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      28074 | PA      | $26988.10      | 0.00%             | 2048-08-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31413YRZ6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      14511 | PA      | $15542.16      | 0.00%             | 2037-11-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31390TY60<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       1415 | PA      | $1473.08       | 0.00%             | 2032-09-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3128M7BK1<br>LEI: 254900HROIFWPRGM1V77 | Long             | ABS-MBS          | USGSE             | US        |     298300 | PA      | $309726.10     | 0.00%             | 2035-12-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138EGZ98<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    2101533 | PA      | $2041676.34    | 0.01%             | 2041-09-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31418D3Z3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    2094609 | PA      | $1859945.24    | 0.01%             | 2051-09-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31371LSB6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       2519 | PA      | $2652.81       | 0.00%             | 2034-08-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140Q86N0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     639823 | PA      | $633762.26     | 0.00%             | 2047-12-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 31307HV87<br>LEI: 254900HROIFWPRGM1V77 | Long             | ABS-MBS          | USGSE             | US        |     237619 | PA      | $226168.98     | 0.00%             | 2029-07-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31371F7C0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |         63 | PA      | $65.38         | 0.00%             | 2027-09-01      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140E3CZ0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1238244 | PA      | $1185414.63    | 0.01%             | 2030-11-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae II Pool                               | CUSIP: 36202FVF0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      16269 | PA      | $16005.08      | 0.00%             | 2041-07-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 312936LL9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      46758 | PA      | $46784.70      | 0.00%             | 2039-10-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140KPDM2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     890101 | PA      | $771069.48     | 0.00%             | 2050-09-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31402CTT9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       4103 | PA      | $4317.01       | 0.00%             | 2034-02-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31410FYE9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      58759 | PA      | $60945.45      | 0.00%             | 2036-05-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31408GY92<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      38584 | PA      | $40019.71      | 0.00%             | 2036-02-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31416TL49<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      25101 | PA      | $25090.52      | 0.00%             | 2039-08-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31376YBN5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |         94 | PA      | $94.08         | 0.00%             | 2026-05-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae II Pool                               | CUSIP: 36179SGK7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   15798949 | PA      | $14496651.31   | 0.06%             | 2046-07-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3128MJWA4<br>LEI: 254900HROIFWPRGM1V77 | Long             | ABS-MBS          | USGSE             | US        |     704862 | PA      | $638070.27     | 0.00%             | 2045-05-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae II Pool                               | CUSIP: 36202EZG7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      10647 | PA      | $11085.58      | 0.00%             | 2039-01-20      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 31292SA67<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     313402 | PA      | $286525.89     | 0.00%             | 2043-03-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31416CLS3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      67208 | PA      | $69842.71      | 0.00%             | 2039-06-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31413QX29<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       5834 | PA      | $6154.13       | 0.00%             | 2037-08-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae II Pool                               | CUSIP: 36202FV86<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      30458 | PA      | $29963.94      | 0.00%             | 2041-08-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3131WNWP5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      20912 | PA      | $20904.01      | 0.00%             | 2040-01-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3133APVV8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     545186 | PA      | $449199.62     | 0.00%             | 2051-08-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140J9VG3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     195652 | PA      | $186295.85     | 0.00%             | 2033-10-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 31297Y3U4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |        469 | PA      | $487.15        | 0.00%             | 2030-08-01      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140EY4Q1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     510716 | PA      | $480329.06     | 0.00%             | 2031-04-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 36178UQJ5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      71236 | PA      | $67717.85      | 0.00%             | 2042-10-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140L5XT8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    3185753 | PA      | $2863362.48    | 0.01%             | 2036-04-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140J6GR2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    5518051 | PA      | $5304534.02    | 0.02%             | 2048-09-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31412LY95<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       5685 | PA      | $6088.60       | 0.00%             | 2037-10-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3128MJ3N8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    5571615 | PA      | $5197552.92    | 0.02%             | 2048-03-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 312944AF8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     115501 | PA      | $112540.55     | 0.00%             | 2040-12-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138W9RJ1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1355120 | PA      | $1299691.82    | 0.01%             | 2028-09-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140H6N88<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    5158681 | PA      | $4960533.17    | 0.02%             | 2048-02-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 31307SQQ9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    4635898 | PA      | $4368876.13    | 0.02%             | 2031-12-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140J9SN2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   17297928 | PA      | $15621874.83   | 0.07%             | 2048-11-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140QFWQ8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1421733 | PA      | $1315845.73    | 0.01%             | 2035-05-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140J9FE6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     835742 | PA      | $826597.85     | 0.00%             | 2048-10-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31365DW27<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        126 | PA      | $125.79        | 0.00%             | 2023-08-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31416QX83<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      62861 | PA      | $62835.39      | 0.00%             | 2039-06-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3132GTLB1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     155743 | PA      | $151276.40     | 0.00%             | 2042-05-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31371PBS8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        388 | PA      | $430.33        | 0.00%             | 2039-01-01      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140FXF23<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    5214144 | PA      | $5053371.75    | 0.02%             | 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        |     894234 | PA      | $844049.02     | 0.00%             | 2042-10-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 36291UBB0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       4876 | PA      | $5097.25       | 0.00%             | 2034-12-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae II Pool                               | CUSIP: 36179WVT2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   64416913 | PA      | $54763931.35   | 0.23%             | 2052-01-20      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138WUR54<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     106964 | PA      | $102589.19     | 0.00%             | 2028-10-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 36208Y6M6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        259 | PA      | $262.60        | 0.00%             | 2029-01-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3128MJ2S8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     116345 | PA      | $108533.99     | 0.00%             | 2047-10-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140HGKK2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    2002815 | PA      | $1853650.70    | 0.01%             | 2035-08-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 31335GNE1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |        511 | PA      | $513.69        | 0.00%             | 2026-02-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae II Pool                               | CUSIP: 36202C5T6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        352 | PA      | $362.19        | 0.00%             | 2028-10-20      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138WDYJ4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     867860 | PA      | $825194.63     | 0.00%             | 2030-01-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138YWN29<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     244972 | PA      | $232134.45     | 0.00%             | 2030-08-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140N4UL9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    3764595 | PA      | $3841774.62    | 0.02%             | 2052-11-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 36207KLV0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       2721 | PA      | $2821.55       | 0.00%             | 2029-03-15      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140KVGU8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    3249833 | PA      | $2923929.49    | 0.01%             | 2036-01-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31409FSR0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        913 | PA      | $977.89        | 0.00%             | 2036-05-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31412NMV5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       1252 | PA      | $1301.09       | 0.00%             | 2038-11-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31371KWV9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       1681 | PA      | $1703.19       | 0.00%             | 2032-11-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140JNFQ8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     742287 | PA      | $665344.00     | 0.00%             | 2049-04-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31418CD76<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      95352 | PA      | $94440.09      | 0.00%             | 2046-11-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3132M7JT6<br>LEI: 254900HROIFWPRGM1V77 | Long             | ABS-MBS          | USGSE             | US        |     155445 | PA      | $155135.32     | 0.00%             | 2044-06-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 36295NBD8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       8550 | PA      | $9097.24       | 0.00%             | 2038-02-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140FVEJ1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    2570347 | PA      | $2486768.55    | 0.01%             | 2047-04-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31371LVD8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       1237 | PA      | $1302.71       | 0.00%             | 2034-10-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3131XJS37<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      12467 | PA      | $11755.93      | 0.00%             | 2042-06-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140Q9T37<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      37659 | PA      | $37214.21      | 0.00%             | 2048-09-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138AB6Q7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     234314 | PA      | $234245.68     | 0.00%             | 2041-04-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140MEPS9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    2084798 | PA      | $1792030.50    | 0.01%             | 2052-01-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140X5NT6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     689666 | PA      | $663175.21     | 0.00%             | 2048-01-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138WFAN6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      73091 | PA      | $69260.67      | 0.00%             | 2030-07-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31388SA39<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        700 | PA      | $725.11        | 0.00%             | 2031-05-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 3620A5B65<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      21338 | PA      | $21411.50      | 0.00%             | 2040-08-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3133A3C22<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     366823 | PA      | $349779.25     | 0.00%             | 2050-03-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 31307UAZ1<br>LEI: 254900HROIFWPRGM1V77 | Long             | ABS-MBS          | USGSE             | US        |     344524 | PA      | $335260.74     | 0.00%             | 2032-06-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 36290TWX3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      10353 | PA      | $10868.41      | 0.00%             | 2036-10-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3128M5ED8<br>LEI: 254900HROIFWPRGM1V77 | Long             | ABS-MBS          | USGSE             | US        |       8401 | PA      | $8740.26       | 0.00%             | 2037-11-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 3620ASFW4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      14997 | PA      | $14820.73      | 0.00%             | 2026-05-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 3620ALWD2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      33313 | PA      | $34055.56      | 0.00%             | 2040-04-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae II Pool                               | CUSIP: 3617JYBY8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     579216 | PA      | $539480.00     | 0.00%             | 2049-06-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae II Pool                               | CUSIP: 36178W7C7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     610656 | PA      | $580331.77     | 0.00%             | 2043-04-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140X63A7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     390662 | PA      | $378424.74     | 0.00%             | 2035-02-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 36201C4Q4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        234 | PA      | $239.31        | 0.00%             | 2032-02-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140J9EM9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    5144387 | PA      | $4850371.56    | 0.02%             | 2045-02-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138WCZ55<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    2185957 | PA      | $2099393.07    | 0.01%             | 2029-10-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140H5YE5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    2257004 | PA      | $2242947.80    | 0.01%             | 2048-02-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140QQPV1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   10685342 | PA      | $10195870.45   | 0.04%             | 2052-10-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140FHKX4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1204325 | PA      | $1088333.79    | 0.00%             | 2046-11-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138ENQ69<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       3168 | PA      | $3166.24       | 0.00%             | 2042-01-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140FTW72<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      51927 | PA      | $51430.84      | 0.00%             | 2047-02-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3128MJV80<br>LEI: 254900HROIFWPRGM1V77 | Long             | ABS-MBS          | USGSE             | US        |      96714 | PA      | $84561.45      | 0.00%             | 2045-04-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 31294NVQ9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       7944 | PA      | $7629.37       | 0.00%             | 2028-01-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 31292HSR6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |        661 | PA      | $681.01        | 0.00%             | 2032-11-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138APR59<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       5250 | PA      | $5248.04       | 0.00%             | 2041-09-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3133G84R9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    5304484 | PA      | $4909574.58    | 0.02%             | 2035-06-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138EQ4S8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1284582 | PA      | $1241698.80    | 0.01%             | 2046-01-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138WGZ23<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      34431 | PA      | $32819.31      | 0.00%             | 2031-04-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 31335AQL5<br>LEI: 254900HROIFWPRGM1V77 | Long             | ABS-MBS          | USGSE             | US        |    3713182 | PA      | $3920679.93    | 0.02%             | 2040-07-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140Q8E84<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     422891 | PA      | $400781.23     | 0.00%             | 2048-01-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 31297VTL2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       1703 | PA      | $1767.88       | 0.00%             | 2035-11-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 36205DCC0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        113 | PA      | $114.14        | 0.00%             | 2025-10-15      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138WCHZ9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     687687 | PA      | $666482.63     | 0.00%             | 2044-07-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31382T7J2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       1431 | PA      | $1473.56       | 0.00%             | 2029-04-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3132J2SY0<br>LEI: 254900HROIFWPRGM1V77 | Long             | ABS-MBS          | USGSE             | US        |     345351 | PA      | $328730.29     | 0.00%             | 2033-05-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140JNPA2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     391173 | PA      | $377610.34     | 0.00%             | 2049-02-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 36204H7A2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |         32 | PA      | $32.02         | 0.00%             | 2023-11-15      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31376KMJ2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       5531 | PA      | $5736.38       | 0.00%             | 2035-05-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138EQZT2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    3300984 | PA      | $3372502.18    | 0.01%             | 2045-07-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140K9ZL6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    2726015 | PA      | $2439920.75    | 0.01%             | 2050-05-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 36296YCJ9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       9786 | PA      | $9820.85       | 0.00%             | 2040-02-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140GPSM1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     278047 | PA      | $267366.87     | 0.00%             | 2047-04-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138YSCZ7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     157208 | PA      | $148969.64     | 0.00%             | 2030-09-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 312934XE7<br>LEI: 254900HROIFWPRGM1V77 | Long             | ABS-MBS          | USGSE             | US        |      68127 | PA      | $69632.58      | 0.00%             | 2039-08-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31368HLZ4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       6199 | PA      | $6521.42       | 0.00%             | 2033-12-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae II Pool                               | CUSIP: 36202C3X9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        145 | PA      | $147.43        | 0.00%             | 2028-07-20      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3133GA6L5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    1136500 | PA      | $1051889.64    | 0.00%             | 2035-12-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138Y5SJ6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      35460 | PA      | $34432.95      | 0.00%             | 2044-10-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3132QWV22<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     122323 | PA      | $106951.98     | 0.00%             | 2046-01-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31410KYB4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       9644 | PA      | $9929.62       | 0.00%             | 2036-09-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 36297CQS1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      10226 | PA      | $10261.73      | 0.00%             | 2039-11-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31418CGE8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     369223 | PA      | $344151.92     | 0.00%             | 2047-02-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31412QEQ8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        631 | PA      | $624.03        | 0.00%             | 2024-08-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140L6P99<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   11143112 | PA      | $9189641.41    | 0.04%             | 2051-04-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 36203LDP4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |          3 | PA      | $2.78          | 0.00%             | 2023-08-15      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138WWJU4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     728648 | PA      | $698844.15     | 0.00%             | 2028-04-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140QLWP7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    8840578 | PA      | $7581089.09    | 0.03%             | 2051-09-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3128MJL65<br>LEI: 254900HROIFWPRGM1V77 | Long             | ABS-MBS          | USGSE             | US        |       2011 | PA      | $2055.29       | 0.00%             | 2039-06-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 36290WGP1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       7207 | PA      | $7466.46       | 0.00%             | 2033-08-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae II Pool                               | CUSIP: 36179TZ65<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   10971324 | PA      | $10872934.73   | 0.05%             | 2048-06-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138NYGK5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     548346 | PA      | $500845.89     | 0.00%             | 2043-02-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31419FMB9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      16418 | PA      | $15479.73      | 0.00%             | 2040-10-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3128PWVZ8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     168951 | PA      | $163443.12     | 0.00%             | 2026-10-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 36225AC65<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |         55 | PA      | $54.83         | 0.00%             | 2024-07-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31418XFP8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     651295 | PA      | $633989.32     | 0.00%             | 2040-08-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31368HK93<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      24207 | PA      | $25895.88      | 0.00%             | 2032-04-01      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31414HA49<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       3389 | PA      | $3574.45       | 0.00%             | 2037-12-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 31292G6Y7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |        355 | PA      | $381.44        | 0.00%             | 2029-11-01      | Fixed         | 8.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae II Pool                               | CUSIP: 36182QRA6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     169797 | PA      | $160895.42     | 0.00%             | 2044-02-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31416ATD2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       3348 | PA      | $3480.14       | 0.00%             | 2039-01-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140KXBV7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    8163873 | PA      | $7056257.96    | 0.03%             | 2050-12-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31410WGA0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        336 | PA      | $354.14        | 0.00%             | 2037-04-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae II Pool                               | CUSIP: 36179RNX3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    6401809 | PA      | $6234898.39    | 0.03%             | 2045-09-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31419CQT3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      69547 | PA      | $69519.00      | 0.00%             | 2040-03-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 36297GCX6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      34282 | PA      | $34403.17      | 0.00%             | 2040-02-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 36183BCF3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      10133 | PA      | $9632.58       | 0.00%             | 2044-09-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3132HQZH8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    2014826 | PA      | $1842041.48    | 0.01%             | 2043-01-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae II Pool                               | CUSIP: 36202FTM8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      31796 | PA      | $32681.62      | 0.00%             | 2041-05-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31390UW93<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        247 | PA      | $256.67        | 0.00%             | 2032-08-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140J5YR4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     236814 | PA      | $228720.14     | 0.00%             | 2047-08-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3132Y2FH4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     799530 | PA      | $810437.00     | 0.00%             | 2048-09-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3133AT3H2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    2915572 | PA      | $2404936.12    | 0.01%             | 2051-10-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140J9UR0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     309306 | PA      | $317265.23     | 0.00%             | 2048-12-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3132DMKH7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     458674 | PA      | $440171.01     | 0.00%             | 2050-03-01      | 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        |    2076586 | PA      | $2099033.72    | 0.01%             | 2048-11-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3128M8PN8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      28086 | PA      | $29211.93      | 0.00%             | 2037-01-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140X7LS6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     200155 | PA      | $188231.13     | 0.00%             | 2035-08-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138A2WW5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      45497 | PA      | $44287.86      | 0.00%             | 2041-01-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae II Pool                               | CUSIP: 36179MG87<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     466129 | PA      | $478798.91     | 0.00%             | 2042-07-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140KAR73<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     845244 | PA      | $822318.39     | 0.00%             | 2050-02-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138EHWH1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      53389 | PA      | $53373.28      | 0.00%             | 2041-11-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140XBLC2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1770986 | PA      | $1462244.46    | 0.01%             | 2051-06-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140LREH7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    4543135 | PA      | $4081437.12    | 0.02%             | 2036-08-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3128M7EM4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       5110 | PA      | $5217.05       | 0.00%             | 2038-03-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138WBBP9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      78972 | PA      | $78738.34      | 0.00%             | 2044-02-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 36295YS79<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        266 | PA      | $270.38        | 0.00%             | 2038-02-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3131XTX21<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    1449924 | PA      | $1361298.14    | 0.01%             | 2046-01-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 31293SD89<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |        259 | PA      | $269.15        | 0.00%             | 2029-06-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138Y4LT4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      67982 | PA      | $65289.89      | 0.00%             | 2029-09-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 31298QCU0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |        196 | PA      | $203.16        | 0.00%             | 2031-06-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3132DNAY9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    1502891 | PA      | $1289838.20    | 0.01%             | 2052-01-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140KN3J5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     610194 | PA      | $564748.14     | 0.00%             | 2035-10-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae II Pool                               | CUSIP: 36202ET25<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     876497 | PA      | $912584.09     | 0.00%             | 2038-06-20      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3133GA3C8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    1228126 | PA      | $1103493.50    | 0.00%             | 2035-12-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31416ALB4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       1722 | PA      | $1790.29       | 0.00%             | 2038-11-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3128PSJD0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      19664 | PA      | $19215.52      | 0.00%             | 2025-10-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 36203NDY1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |         70 | PA      | $70.93         | 0.00%             | 2027-10-15      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138WJM96<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   10233642 | PA      | $9248016.32    | 0.04%             | 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        |      82046 | PA      | $81270.91      | 0.00%             | 2047-06-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3132A5FT7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     379835 | PA      | $354051.01     | 0.00%             | 2046-09-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 3620ARHN4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     119474 | PA      | $117123.93     | 0.00%             | 2040-09-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31406WCD4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        959 | PA      | $1010.70       | 0.00%             | 2035-06-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae II Pool                               | CUSIP: 36179UMJ8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     569013 | PA      | $522201.07     | 0.00%             | 2049-02-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3132GMAK8<br>LEI: 254900HROIFWPRGM1V77 | Long             | ABS-MBS          | USGSE             | US        |       4634 | PA      | $4636.85       | 0.00%             | 2042-01-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3128MMT52<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       7217 | PA      | $6845.62       | 0.00%             | 2030-10-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140H7E52<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     609952 | PA      | $565546.99     | 0.00%             | 2034-10-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140Q7NJ2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    2042023 | PA      | $1963587.56    | 0.01%             | 2047-09-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 36200JUT5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       2480 | PA      | $2553.81       | 0.00%             | 2033-03-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 3620C04Y1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     877957 | PA      | $880995.38     | 0.00%             | 2040-07-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 36297HXT0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      33445 | PA      | $34379.70      | 0.00%             | 2039-04-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3132DWCT8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |  134129745 | PA      | $110465815.99  | 0.47%             | 2051-12-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138Y1EV3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       5472 | PA      | $5456.09       | 0.00%             | 2044-09-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140XB3R9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   25680420 | PA      | $22035756.15   | 0.09%             | 2051-07-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 3620A56D6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       9629 | PA      | $9662.65       | 0.00%             | 2039-06-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140QCKE5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    8165056 | PA      | $7291941.15    | 0.03%             | 2049-12-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 3620ARFB2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      28256 | PA      | $29158.55      | 0.00%             | 2040-03-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3132CWM84<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   10597246 | PA      | $9977363.40    | 0.04%             | 2032-04-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae II Pool                               | CUSIP: 36179VFT2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     638116 | PA      | $645106.75     | 0.00%             | 2050-02-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Non Gold Pool                        | CUSIP: 3128LLDM5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     229611 | PA      | $226827.28     | 0.00%             | 2042-01-01      | Floating      | 3.20%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3132HQ4K5<br>LEI: 254900HROIFWPRGM1V77 | Long             | ABS-MBS          | USGSE             | US        |    1682719 | PA      | $1538415.42    | 0.01%             | 2043-01-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31385JBZ0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       1196 | PA      | $1278.42       | 0.00%             | 2032-04-01      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3128LDT38<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |        307 | PA      | $319.08        | 0.00%             | 2038-07-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140KK5M2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     650638 | PA      | $577266.06     | 0.00%             | 2050-08-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3132M4SN6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      48226 | PA      | $46807.16      | 0.00%             | 2044-01-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31406PMG1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      27003 | PA      | $28007.46      | 0.00%             | 2035-02-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140JAER5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     792061 | PA      | $760695.72     | 0.00%             | 2032-12-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 3620A9TG6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       6828 | PA      | $7033.22       | 0.00%             | 2039-09-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 36295K4T7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       3999 | PA      | $4277.07       | 0.00%             | 2038-11-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140M5GB5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1137180 | PA      | $935244.74     | 0.00%             | 2051-12-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31379R6J2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        664 | PA      | $688.07        | 0.00%             | 2028-05-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140E0CG8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     109772 | PA      | $105088.68     | 0.00%             | 2030-08-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31418A2K3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     174257 | PA      | $167129.39     | 0.00%             | 2028-10-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31419A4N4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      11013 | PA      | $10383.40      | 0.00%             | 2041-02-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140Q9N33<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      40282 | PA      | $39806.75      | 0.00%             | 2048-08-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 312946UN4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       5514 | PA      | $5517.42       | 0.00%             | 2041-03-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3128LXC32<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       1194 | PA      | $1191.90       | 0.00%             | 2035-10-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 31339UR85<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    1783378 | PA      | $1592671.01    | 0.01%             | 2049-11-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138YTQP2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    5310542 | PA      | $5032254.79    | 0.02%             | 2030-06-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae II Pool                               | CUSIP: 36179M5K2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     170216 | PA      | $150709.41     | 0.00%             | 2043-03-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 36203S4K0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |          5 | PA      | $5.11          | 0.00%             | 2023-08-15      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31411Y5A7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       2359 | PA      | $2487.91       | 0.00%             | 2037-04-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae II Pool                               | CUSIP: 36202FQ74<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     121244 | PA      | $122211.81     | 0.00%             | 2041-03-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3132DV4E2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     138781 | PA      | $119686.51     | 0.00%             | 2049-09-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31419BBY0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      92554 | PA      | $92526.19      | 0.00%             | 2041-02-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 36290TF46<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       2459 | PA      | $2514.70       | 0.00%             | 2034-12-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31378FFK6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        795 | PA      | $821.78        | 0.00%             | 2027-12-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31418PYF6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        320 | PA      | $316.15        | 0.00%             | 2025-04-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138WTRV0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       8848 | PA      | $8077.84       | 0.00%             | 2043-06-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3128PVU32<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       8185 | PA      | $8024.34       | 0.00%             | 2026-07-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 3620A2J64<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      27734 | PA      | $27831.40      | 0.00%             | 2039-04-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3128MJD49<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       3849 | PA      | $4003.08       | 0.00%             | 2036-04-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3132AAN26<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      29960 | PA      | $28228.71      | 0.00%             | 2045-06-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138WEAT6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      46409 | PA      | $44127.35      | 0.00%             | 2030-02-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31418B4V5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     255485 | PA      | $243973.29     | 0.00%             | 2026-05-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3132GGEW1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      20067 | PA      | $20080.84      | 0.00%             | 2041-08-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3133GGX57<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    5438329 | PA      | $4754129.90    | 0.02%             | 2037-03-01      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138YEXZ5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       2707 | PA      | $2623.98       | 0.00%             | 2045-01-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140FNQZ0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      17203 | PA      | $16196.38      | 0.00%             | 2032-02-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138EPZL1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    2452258 | PA      | $2310585.48    | 0.01%             | 2045-06-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 36180MXS1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     563520 | PA      | $535904.99     | 0.00%             | 2043-03-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140FAPV8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      85727 | PA      | $78558.75      | 0.00%             | 2046-06-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 36296DYK8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        286 | PA      | $298.97        | 0.00%             | 2038-05-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138WGQV9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     332063 | PA      | $316518.65     | 0.00%             | 2031-03-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae II Pool                               | CUSIP: 36179SUU9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   22038237 | PA      | $20221638.12   | 0.09%             | 2047-01-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140GPG93<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1411082 | PA      | $1355760.74    | 0.01%             | 2047-04-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140H2W61<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     443242 | PA      | $426216.50     | 0.00%             | 2048-01-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138AEGK3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      19162 | PA      | $19156.26      | 0.00%             | 2041-07-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 31293KGB6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |         68 | PA      | $69.81         | 0.00%             | 2029-02-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138ADSR7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       6056 | PA      | $5901.17       | 0.00%             | 2026-04-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 31292K4B0<br>LEI: 254900HROIFWPRGM1V77 | Long             | ABS-MBS          | USGSE             | US        |     793848 | PA      | $811937.80     | 0.00%             | 2040-09-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae II Pool                               | CUSIP: 36202ERS0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       4706 | PA      | $4830.18       | 0.00%             | 2038-03-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 31294CDR1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |         49 | PA      | $49.37         | 0.00%             | 2030-01-01      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3128Q0HW0<br>LEI: 254900HROIFWPRGM1V77 | Long             | ABS-MBS          | USGSE             | US        |      28985 | PA      | $28139.01      | 0.00%             | 2027-05-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31381CZM2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       1915 | PA      | $1984.70       | 0.00%             | 2029-02-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138WLCJ0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      49966 | PA      | $48047.20      | 0.00%             | 2047-07-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 36186PN34<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      18663 | PA      | $18150.09      | 0.00%             | 2045-07-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140FCYL6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        506 | PA      | $501.02        | 0.00%             | 2046-08-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 31297U6G0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       4308 | PA      | $4377.87       | 0.00%             | 2030-02-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 36296JT70<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      27164 | PA      | $27974.45      | 0.00%             | 2039-09-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31419A6R3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     165544 | PA      | $163086.28     | 0.00%             | 2025-11-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140K74M2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     729304 | PA      | $719870.09     | 0.00%             | 2050-02-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31407FW97<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       2140 | PA      | $2219.16       | 0.00%             | 2035-08-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 312945ZG6<br>LEI: 254900HROIFWPRGM1V77 | Long             | ABS-MBS          | USGSE             | US        |     362432 | PA      | $362678.72     | 0.00%             | 2041-02-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31374TAT6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        120 | PA      | $121.26        | 0.00%             | 2028-06-01      | Fixed         | 8.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3128LABC3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       1291 | PA      | $1317.99       | 0.00%             | 2038-04-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 31307MWM4<br>LEI: 254900HROIFWPRGM1V77 | Long             | ABS-MBS          | USGSE             | US        |     143190 | PA      | $135819.73     | 0.00%             | 2030-05-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138YWNM5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      66916 | PA      | $64061.10      | 0.00%             | 2030-08-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3128KKPU7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       1740 | PA      | $1809.29       | 0.00%             | 2037-01-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3128M6VH8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       6257 | PA      | $6387.62       | 0.00%             | 2038-09-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31387XA96<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        242 | PA      | $253.31        | 0.00%             | 2031-09-01      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 36201YCG9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       3131 | PA      | $3178.17       | 0.00%             | 2033-03-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31418ED64<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    6835140 | PA      | $6045223.26    | 0.03%             | 2052-06-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138EPMF8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       7188 | PA      | $7328.49       | 0.00%             | 2045-01-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3132DWBN2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   86576395 | PA      | $67376427.66   | 0.29%             | 2051-05-01      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3133GBF90<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     905192 | PA      | $837801.82     | 0.00%             | 2035-12-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 3620AM4F6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      13666 | PA      | $13141.24      | 0.00%             | 2026-05-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3128M8GE8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      68551 | PA      | $66793.34      | 0.00%             | 2040-12-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3132A5AR6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     242317 | PA      | $228424.22     | 0.00%             | 2043-04-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31418PSF3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       7872 | PA      | $8042.90       | 0.00%             | 2040-03-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138EGFA7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    3321171 | PA      | $3320176.42    | 0.01%             | 2041-05-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3132M8R40<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       6763 | PA      | $6749.22       | 0.00%             | 2044-08-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3132A9NS2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     560612 | PA      | $537678.36     | 0.00%             | 2028-09-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3132GES27<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    3823453 | PA      | $3826050.96    | 0.02%             | 2041-06-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140K4TZ3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   21548334 | PA      | $19217757.93   | 0.08%             | 2050-03-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae II Pool                               | CUSIP: 36202FXD3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      11668 | PA      | $11992.90      | 0.00%             | 2041-09-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138LTJD1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     461839 | PA      | $448153.10     | 0.00%             | 2042-05-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 36296FMZ3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       3302 | PA      | $3480.97       | 0.00%             | 2038-09-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 31307CXU7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      34609 | PA      | $33224.80      | 0.00%             | 2028-06-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 36225AT34<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        241 | PA      | $246.72        | 0.00%             | 2027-05-15      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 36177JRX9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      13763 | PA      | $13489.69      | 0.00%             | 2042-01-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 36211GTX1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        212 | PA      | $214.31        | 0.00%             | 2029-06-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31415WKX0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |         87 | PA      | $88.22         | 0.00%             | 2038-11-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3131XT4R8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     926632 | PA      | $891419.89     | 0.00%             | 2046-03-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 36224USL2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        229 | PA      | $229.42        | 0.00%             | 2023-08-15      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31414SEE9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      30455 | PA      | $31656.07      | 0.00%             | 2038-04-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3131XK2R9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    1521752 | PA      | $1434950.16    | 0.01%             | 2042-11-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31368HJD6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |         77 | PA      | $77.72         | 0.00%             | 2024-04-01      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 31292HL93<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |        448 | PA      | $464.15        | 0.00%             | 2031-11-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31391GLF1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        137 | PA      | $141.10        | 0.00%             | 2032-11-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140KRZK8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    4531918 | PA      | $4014315.43    | 0.02%             | 2050-11-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3128M7MQ6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      10432 | PA      | $10918.64      | 0.00%             | 2034-06-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31411JNK8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       2151 | PA      | $2190.12       | 0.00%             | 2037-02-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140GTVM9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     576113 | PA      | $536899.72     | 0.00%             | 2047-08-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31371LWT2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      20172 | PA      | $20804.51      | 0.00%             | 2034-11-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31378DAP5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       1462 | PA      | $1479.51       | 0.00%             | 2027-08-01      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae II Pool                               | CUSIP: 36179WTY4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |  142625993 | PA      | $125261613.58  | 0.53%             | 2051-12-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 36178GFN9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      12715 | PA      | $12087.07      | 0.00%             | 2042-07-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 31292HVC5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |        669 | PA      | $704.88        | 0.00%             | 2033-03-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 36201J7K9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       2349 | PA      | $2450.72       | 0.00%             | 2032-12-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140HPNY9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     263910 | PA      | $255981.89     | 0.00%             | 2048-08-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138YG5A6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     170883 | PA      | $163591.89     | 0.00%             | 2030-04-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3131XDJ30<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     328138 | PA      | $315490.13     | 0.00%             | 2033-02-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae II Pool                               | CUSIP: 36179UN99<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    1083314 | PA      | $1020607.45    | 0.00%             | 2049-03-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138ETY75<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   11989835 | PA      | $11703080.70   | 0.05%             | 2046-06-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140H3NK8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     237208 | PA      | $224041.05     | 0.00%             | 2048-01-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3128LXKW9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       1643 | PA      | $1733.07       | 0.00%             | 2036-03-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138ET4W3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     278680 | PA      | $277854.76     | 0.00%             | 2046-05-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3132JP3K6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     182116 | PA      | $177233.39     | 0.00%             | 2043-10-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 36177Y2P0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      10914 | PA      | $10022.17      | 0.00%             | 2043-03-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31410GTR4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       2213 | PA      | $2300.26       | 0.00%             | 2037-10-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 31287P5L3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |         45 | PA      | $46.42         | 0.00%             | 2032-03-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3132XTCV8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     236855 | PA      | $220953.14     | 0.00%             | 2047-09-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138YPDG4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     357310 | PA      | $342065.34     | 0.00%             | 2030-05-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31417YSX6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      16044 | PA      | $15618.16      | 0.00%             | 2040-10-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140K5VL8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     928123 | PA      | $867350.67     | 0.00%             | 2049-12-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138ERFX3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     677358 | PA      | $617885.36     | 0.00%             | 2046-10-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140EXD91<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      11273 | PA      | $11164.82      | 0.00%             | 2046-09-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 312929GY2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       2713 | PA      | $2822.94       | 0.00%             | 2038-11-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138YHU24<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      77804 | PA      | $70360.26      | 0.00%             | 2045-05-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 36177PB38<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       5587 | PA      | $5309.78       | 0.00%             | 2042-01-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 36213CY20<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       1467 | PA      | $1538.30       | 0.00%             | 2035-11-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140KK7J7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1216948 | PA      | $1055169.81    | 0.00%             | 2050-08-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3133G9SQ3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    2565308 | PA      | $2372119.49    | 0.01%             | 2035-08-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3131Y9ZR7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    1604081 | PA      | $1595544.26    | 0.01%             | 2049-02-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140H9H63<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1125518 | PA      | $1081967.14    | 0.00%             | 2048-12-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31379YQW6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       3114 | PA      | $3226.75       | 0.00%             | 2028-08-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31410F5M3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      21746 | PA      | $22598.94      | 0.00%             | 2037-05-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 31335BRK4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   13939726 | PA      | $12610002.50   | 0.05%             | 2047-06-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138WENB1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     501789 | PA      | $468408.63     | 0.00%             | 2045-05-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3132HSHE1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     473066 | PA      | $432393.26     | 0.00%             | 2033-08-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138XJXW2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     274060 | PA      | $259139.46     | 0.00%             | 2029-05-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae II Pool                               | CUSIP: 36179WDR6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      93471 | PA      | $82293.14      | 0.00%             | 2051-04-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138EGKE3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     500000 | PA      | $510833.19     | 0.00%             | 2041-05-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae II Pool                               | CUSIP: 36202EJX8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     231832 | PA      | $241256.79     | 0.00%             | 2036-07-20      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 36179BB45<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      72637 | PA      | $66704.36      | 0.00%             | 2043-05-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 31335AY69<br>LEI: 254900HROIFWPRGM1V77 | Long             | ABS-MBS          | USGSE             | US        |    1811011 | PA      | $1807186.48    | 0.01%             | 2046-09-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138WHTS1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    2324173 | PA      | $2244654.58    | 0.01%             | 2046-08-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31418EKV1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    5452617 | PA      | $5517651.84    | 0.02%             | 2052-11-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 31335BFZ4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     813482 | PA      | $748440.04     | 0.00%             | 2047-02-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140J6FC6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    2524316 | PA      | $2367811.71    | 0.01%             | 2036-12-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138EJ7A0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       4276 | PA      | $4510.08       | 0.00%             | 2040-10-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140JLV27<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     348649 | PA      | $344308.81     | 0.00%             | 2034-01-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 312928YM0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       3445 | PA      | $3584.13       | 0.00%             | 2038-10-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3128PRPS2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       2860 | PA      | $2812.36       | 0.00%             | 2025-05-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae II Pool                               | CUSIP: 36202F2Q8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      15122 | PA      | $16069.05      | 0.00%             | 2042-01-20      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31414R6U4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      48713 | PA      | $49676.91      | 0.00%             | 2038-04-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 36225BPM4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       1375 | PA      | $1446.63       | 0.00%             | 2031-09-15      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140HFCA5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1161520 | PA      | $1123071.92    | 0.00%             | 2048-04-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31417AMD8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       9089 | PA      | $8701.78       | 0.00%             | 2026-11-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3128LXBF6<br>LEI: 254900HROIFWPRGM1V77 | Long             | ABS-MBS          | USGSE             | US        |     520796 | PA      | $528472.28     | 0.00%             | 2035-07-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3132ACFS4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    1194870 | PA      | $1154042.88    | 0.00%             | 2047-09-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31375MW58<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        199 | PA      | $200.73        | 0.00%             | 2026-03-01      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138WKQR9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    2622242 | PA      | $2468232.14    | 0.01%             | 2047-04-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3133AASW3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    3675657 | PA      | $3162723.13    | 0.01%             | 2050-10-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140FSF73<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      23041 | PA      | $22820.41      | 0.00%             | 2047-01-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 312933WS9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      32993 | PA      | $34337.72      | 0.00%             | 2039-06-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 36296QME6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      11767 | PA      | $11808.82      | 0.00%             | 2039-03-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140K8NK3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      88063 | PA      | $81144.12      | 0.00%             | 2050-02-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 3620A2KD7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      13079 | PA      | $13124.83      | 0.00%             | 2039-04-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 36203CLC4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        109 | PA      | $108.75        | 0.00%             | 2023-12-15      | Fixed         | 8.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3132VNSJ3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    1285612 | PA      | $1275619.65    | 0.01%             | 2049-03-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 31292HX33<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      30981 | PA      | $31420.32      | 0.00%             | 2033-08-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 31307R4V4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     287052 | PA      | $270518.05     | 0.00%             | 2031-09-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3132DWDT7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     337952 | PA      | $309552.72     | 0.00%             | 2052-05-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 3622AADK7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    1447554 | PA      | $1405615.10    | 0.01%             | 2048-01-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140K4VX5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1056804 | PA      | $1023699.47    | 0.00%             | 2034-11-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 36295QX70<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       2119 | PA      | $2160.18       | 0.00%             | 2037-12-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31371MGH4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       7059 | PA      | $7438.75       | 0.00%             | 2035-10-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140JWAX8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     254501 | PA      | $240908.49     | 0.00%             | 2034-07-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3133A7WC9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    7698054 | PA      | $6658515.34    | 0.03%             | 2050-07-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140JJZ69<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     659736 | PA      | $639916.34     | 0.00%             | 2049-01-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140Q9T45<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1937511 | PA      | $1914643.80    | 0.01%             | 2048-09-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3133G9NA3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    2063742 | PA      | $1910099.52    | 0.01%             | 2035-08-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 312938AS2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       7917 | PA      | $7718.68       | 0.00%             | 2039-12-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3133ALVT2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    1388825 | PA      | $1190218.31    | 0.01%             | 2051-05-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140X7MF3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     434323 | PA      | $437903.84     | 0.00%             | 2050-03-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31418CHM9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    5052387 | PA      | $4518795.88    | 0.02%             | 2047-03-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31418BJL1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       6500 | PA      | $6481.12       | 0.00%             | 2044-10-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 36178EAB5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      37991 | PA      | $36129.55      | 0.00%             | 2043-04-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae II Pool                               | CUSIP: 36202F3Q7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      78703 | PA      | $80841.86      | 0.00%             | 2042-02-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 36212PVC3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        277 | PA      | $282.57        | 0.00%             | 2031-06-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3132Y3JD7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    1807099 | PA      | $1827676.10    | 0.01%             | 2048-10-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3128M8CF9<br>LEI: 254900HROIFWPRGM1V77 | Long             | ABS-MBS          | USGSE             | US        |     321497 | PA      | $326744.58     | 0.00%             | 2036-01-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3128M4V67<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       5159 | PA      | $5366.98       | 0.00%             | 2037-07-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3132JMPM5<br>LEI: 254900HROIFWPRGM1V77 | Long             | ABS-MBS          | USGSE             | US        |     535379 | PA      | $489248.42     | 0.00%             | 2043-07-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 36178BEX9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       2841 | PA      | $2700.58       | 0.00%             | 2042-05-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31416KWZ7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        219 | PA      | $217.04        | 0.00%             | 2024-02-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140JLMJ0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1732713 | PA      | $1712262.80    | 0.01%             | 2049-01-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140JJVH9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     391528 | PA      | $377953.64     | 0.00%             | 2049-03-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 36201TFV4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        267 | PA      | $275.74        | 0.00%             | 2033-01-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138YTVU5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      93482 | PA      | $88582.95      | 0.00%             | 2030-06-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31417F2Y3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     476782 | PA      | $462352.02     | 0.00%             | 2028-04-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138WHKC5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    3579109 | PA      | $3364180.62    | 0.01%             | 2046-07-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3133KH5K8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     225782 | PA      | $202436.44     | 0.00%             | 2050-05-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31407UJA6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       6461 | PA      | $6559.37       | 0.00%             | 2035-09-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae II Pool                               | CUSIP: 36179TV44<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    7049905 | PA      | $6469919.80    | 0.03%             | 2048-04-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140HN4C3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      20471 | PA      | $20640.28      | 0.00%             | 2048-08-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 31296RV39<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      22993 | PA      | $23319.51      | 0.00%             | 2033-11-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140Q72X4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1056758 | PA      | $1027413.21    | 0.00%             | 2032-11-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140KLWD0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     590923 | PA      | $558723.38     | 0.00%             | 2035-09-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31403DLV9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     463294 | PA      | $488229.06     | 0.00%             | 2036-06-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31415WVU4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       2763 | PA      | $2973.52       | 0.00%             | 2038-12-01      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31419AP50<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     130625 | PA      | $139909.03     | 0.00%             | 2039-10-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31406EGD0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       1717 | PA      | $1771.26       | 0.00%             | 2034-12-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140XCB64<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   24943339 | PA      | $21566314.36   | 0.09%             | 2051-07-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138WJKA5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     354790 | PA      | $334029.85     | 0.00%             | 2031-11-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae II Pool                               | CUSIP: 36202EVM8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       9698 | PA      | $9953.04       | 0.00%             | 2038-08-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 36296JEM3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      27491 | PA      | $28340.89      | 0.00%             | 2039-02-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140FVAJ5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     274603 | PA      | $265961.66     | 0.00%             | 2047-05-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 31288HEJ5<br>LEI: 254900HROIFWPRGM1V77 | Long             | ABS-MBS          | USGSE             | US        |        234 | PA      | $240.73        | 0.00%             | 2033-04-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae II Pool                               | CUSIP: 36179QL74<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      19374 | PA      | $19408.48      | 0.00%             | 2044-08-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31407YES4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       6019 | PA      | $6243.12       | 0.00%             | 2035-12-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae II Pool                               | CUSIP: 3622A24E9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    8512603 | PA      | $8053272.60    | 0.03%             | 2047-12-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31410G4H3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      11019 | PA      | $11429.31      | 0.00%             | 2037-01-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138YRFL7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      27941 | PA      | $26476.76      | 0.00%             | 2030-06-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31402DML1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      10846 | PA      | $11420.45      | 0.00%             | 2034-10-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138WJA73<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1019023 | PA      | $949828.65     | 0.00%             | 2046-10-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31418Q4J9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      10269 | PA      | $10099.79      | 0.00%             | 2025-04-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31418SRD3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      13078 | PA      | $13073.89      | 0.00%             | 2040-07-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 31283HP74<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       9630 | PA      | $9963.31       | 0.00%             | 2032-01-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31417JDP2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       1515 | PA      | $1492.68       | 0.00%             | 2024-08-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140KRL72<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1901391 | PA      | $1636023.25    | 0.01%             | 2050-10-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31371F5B4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        273 | PA      | $278.45        | 0.00%             | 2027-06-01      | Fixed         | 9.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138YRQU5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       9683 | PA      | $9038.64       | 0.00%             | 2045-05-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138E0RA9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      84290 | PA      | $79472.39      | 0.00%             | 2041-12-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138WBPM1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     136115 | PA      | $130724.56     | 0.00%             | 2029-04-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140KHP21<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1079037 | PA      | $998673.41     | 0.00%             | 2035-07-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31407SFD9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        295 | PA      | $311.15        | 0.00%             | 2036-01-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 31287XCC8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |        809 | PA      | $842.44        | 0.00%             | 2032-08-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138YNZ42<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     223866 | PA      | $216392.84     | 0.00%             | 2045-11-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31416CMH6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        920 | PA      | $915.95        | 0.00%             | 2023-12-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31386WP93<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |         23 | PA      | $23.65         | 0.00%             | 2031-04-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 36241KTX6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       2837 | PA      | $2964.62       | 0.00%             | 2038-07-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 36200XXM6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        301 | PA      | $300.78        | 0.00%             | 2031-12-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3132WDCL6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      18300 | PA      | $17621.22      | 0.00%             | 2046-03-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae II Pool                               | CUSIP: 36179TV69<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   11767560 | PA      | $11408638.02   | 0.05%             | 2048-04-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3133AGAT6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   69855405 | PA      | $57628731.94   | 0.25%             | 2051-02-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31415VS55<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        738 | PA      | $778.16        | 0.00%             | 2038-09-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138WGVM3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     722473 | PA      | $703707.66     | 0.00%             | 2031-03-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3128K7ZV3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       5112 | PA      | $5195.72       | 0.00%             | 2035-09-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3128M6ZF8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       2293 | PA      | $2421.41       | 0.00%             | 2038-07-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140QNZF2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     948107 | PA      | $875513.82     | 0.00%             | 2037-04-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31414STW3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      22127 | PA      | $22564.40      | 0.00%             | 2038-04-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 31335BWS1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    5804190 | PA      | $5630625.78    | 0.02%             | 2045-02-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138WCGA5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    7607137 | PA      | $7432100.83    | 0.03%             | 2044-07-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3132DMF75<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   11676339 | PA      | $11642295.82   | 0.05%             | 2049-12-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138WJDJ4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1433268 | PA      | $1347199.04    | 0.01%             | 2046-10-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138W44L2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     103350 | PA      | $94352.93      | 0.00%             | 2043-06-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae II Pool                               | CUSIP: 3617HCKJ1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     499943 | PA      | $505347.58     | 0.00%             | 2048-09-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31416QSW6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |         90 | PA      | $88.44         | 0.00%             | 2024-05-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae II Pool                               | CUSIP: 36202DRW3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        166 | PA      | $175.07        | 0.00%             | 2032-02-20      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140XD3Q7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   14674911 | PA      | $12567312.46   | 0.05%             | 2051-12-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 36200D4Z3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       1396 | PA      | $1411.69       | 0.00%             | 2035-04-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 36176XFQ7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      63135 | PA      | $60016.65      | 0.00%             | 2042-03-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 3620C0YB8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       1274 | PA      | $1314.07       | 0.00%             | 2040-06-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140JUPL2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     436018 | PA      | $430680.05     | 0.00%             | 2034-06-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31410F2R5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       6043 | PA      | $6277.41       | 0.00%             | 2037-04-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3133GART5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    1005865 | PA      | $930980.04     | 0.00%             | 2035-11-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae II Pool                               | CUSIP: 36202EHR3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      22514 | PA      | $23092.21      | 0.00%             | 2036-04-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae II Pool                               | CUSIP: 36179VHV5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    4071351 | PA      | $4034839.22    | 0.02%             | 2050-03-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31418CXQ2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     314621 | PA      | $317222.49     | 0.00%             | 2048-06-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138YM2J7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     466292 | PA      | $446397.78     | 0.00%             | 2030-05-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3128M74Q6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      27380 | PA      | $27398.62      | 0.00%             | 2040-07-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31411W2G1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       3370 | PA      | $3552.96       | 0.00%             | 2037-05-01      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 36241KV70<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      10430 | PA      | $10736.58      | 0.00%             | 2038-10-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140JQSJ3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     583166 | PA      | $552019.34     | 0.00%             | 2034-08-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31414CV47<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |         25 | PA      | $25.12         | 0.00%             | 2023-04-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae II Pool                               | CUSIP: 36202ESA8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     119782 | PA      | $122936.85     | 0.00%             | 2038-04-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3128K85E2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       5176 | PA      | $5460.79       | 0.00%             | 2035-12-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 3617AKN73<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    1047112 | PA      | $983194.91     | 0.00%             | 2047-06-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3132WHLP8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      77067 | PA      | $71906.97      | 0.00%             | 2046-10-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 31292WCK5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       2726 | PA      | $2811.15       | 0.00%             | 2028-07-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138Y2EC3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      23656 | PA      | $22719.36      | 0.00%             | 2029-09-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 36225BTE8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       1243 | PA      | $1320.91       | 0.00%             | 2032-05-15      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140X8NM5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    9614409 | PA      | $9245114.37    | 0.04%             | 2049-06-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3128MAET2<br>LEI: 254900HROIFWPRGM1V77 | Long             | ABS-MBS          | USGSE             | US        |     769482 | PA      | $746838.44     | 0.00%             | 2044-07-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3128MAFM6<br>LEI: 254900HROIFWPRGM1V77 | Long             | ABS-MBS          | USGSE             | US        |     491758 | PA      | $491634.31     | 0.00%             | 2044-10-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31387JHD1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |         47 | PA      | $47.11         | 0.00%             | 2029-07-01      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3128L95V1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       5809 | PA      | $6043.56       | 0.00%             | 2038-04-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3128L9HC0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       4415 | PA      | $4507.11       | 0.00%             | 2038-04-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 31292GRY4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |        283 | PA      | $286.93        | 0.00%             | 2027-03-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 31307MUN4<br>LEI: 254900HROIFWPRGM1V77 | Long             | ABS-MBS          | USGSE             | US        |     138422 | PA      | $131296.86     | 0.00%             | 2030-05-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31410FEK7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       3274 | PA      | $3452.29       | 0.00%             | 2036-07-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 36225A2J8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        162 | PA      | $166.37        | 0.00%             | 2028-04-15      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31414DFP6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       2025 | PA      | $2065.30       | 0.00%             | 2038-05-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3128M7A97<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     332541 | PA      | $339042.70     | 0.00%             | 2038-12-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31418EE30<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1253787 | PA      | $1108890.41    | 0.00%             | 2052-07-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138AFVZ0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      14023 | PA      | $14326.83      | 0.00%             | 2041-05-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31390MWE0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        165 | PA      | $171.59        | 0.00%             | 2032-06-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 31335AMK1<br>LEI: 254900HROIFWPRGM1V77 | Long             | ABS-MBS          | USGSE             | US        |     241490 | PA      | $233653.67     | 0.00%             | 2046-01-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 36200SUS7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       1594 | PA      | $1625.94       | 0.00%             | 2031-11-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138YH5Z9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     612600 | PA      | $593711.14     | 0.00%             | 2045-02-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140KKP73<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     711319 | PA      | $636570.34     | 0.00%             | 2050-09-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138WDHJ3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     377355 | PA      | $362412.18     | 0.00%             | 2029-11-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140Q8MU6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     692611 | PA      | $672414.09     | 0.00%             | 2033-02-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 36241LD78<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       3600 | PA      | $3771.47       | 0.00%             | 2039-11-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31386ACJ3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        548 | PA      | $567.46        | 0.00%             | 2030-12-01      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 36204DJZ3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        267 | PA      | $266.41        | 0.00%             | 2024-01-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31419AG43<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      20260 | PA      | $20253.94      | 0.00%             | 2040-08-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31382GJ57<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |         65 | PA      | $67.05         | 0.00%             | 2029-02-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31380G5H8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |         28 | PA      | $28.59         | 0.00%             | 2028-08-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140F5CS0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     250157 | PA      | $233170.20     | 0.00%             | 2046-12-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3132VLYR2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     118094 | PA      | $119705.08     | 0.00%             | 2049-01-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae II Pool                               | CUSIP: 36197FRX3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     295449 | PA      | $279091.28     | 0.00%             | 2047-04-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 31307NDZ4<br>LEI: 254900HROIFWPRGM1V77 | Long             | ABS-MBS          | USGSE             | US        |      81623 | PA      | $78214.14      | 0.00%             | 2030-06-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31401A3Z8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       1188 | PA      | $1223.28       | 0.00%             | 2033-05-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae II Pool                               | CUSIP: 36179W5B0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   39575741 | PA      | $34658077.07   | 0.15%             | 2052-05-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140J8GB3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1336991 | PA      | $1266928.85    | 0.01%             | 2033-02-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140JKNQ5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     519323 | PA      | $501317.86     | 0.00%             | 2049-03-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140KLQH8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    4585431 | PA      | $3968995.66    | 0.02%             | 2050-09-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31382F7A1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        336 | PA      | $345.77        | 0.00%             | 2029-02-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 31296SM37<br>LEI: 254900HROIFWPRGM1V77 | Long             | ABS-MBS          | USGSE             | US        |        450 | PA      | $463.49        | 0.00%             | 2034-01-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31418AER5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       5750 | PA      | $5747.23       | 0.00%             | 2042-04-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140HKAS7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1126028 | PA      | $1082457.34    | 0.00%             | 2048-08-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138AYBQ1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      26920 | PA      | $25381.22      | 0.00%             | 2041-12-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140F4BP0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      56201 | PA      | $50788.53      | 0.00%             | 2046-10-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 31292SBU3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      23375 | PA      | $23369.00      | 0.00%             | 2043-11-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140QM4Z4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   18960569 | PA      | $16244094.55   | 0.07%             | 2052-01-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138LQXH2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     343855 | PA      | $324246.72     | 0.00%             | 2042-05-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 36225A3J7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |         17 | PA      | $16.98         | 0.00%             | 2023-12-15      | Fixed         | 8.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31418UCL6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      76888 | PA      | $78554.05      | 0.00%             | 2040-05-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140J7N50<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1286103 | PA      | $1212641.13    | 0.01%             | 2047-10-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 36177ND31<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      62069 | PA      | $59003.34      | 0.00%             | 2042-04-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 3620A9RC7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      21418 | PA      | $21493.88      | 0.00%             | 2039-09-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31400KEA0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        288 | PA      | $296.67        | 0.00%             | 2033-02-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 36206PQ52<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        158 | PA      | $159.22        | 0.00%             | 2026-02-15      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae II Pool                               | CUSIP: 36202FZ25<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      16969 | PA      | $17439.06      | 0.00%             | 2041-12-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138X3VX7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       9671 | PA      | $9659.08       | 0.00%             | 2043-09-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3132LAV82<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     957637 | PA      | $947261.83     | 0.00%             | 2049-01-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140X7LK3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   12091367 | PA      | $10324593.31   | 0.04%             | 2050-07-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138WHNK4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    4176838 | PA      | $3919179.54    | 0.02%             | 2046-07-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31418DMF6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     329698 | PA      | $319370.20     | 0.00%             | 2035-03-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 36184MB28<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      36052 | PA      | $34466.36      | 0.00%             | 2045-04-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140H1F47<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     412135 | PA      | $389258.10     | 0.00%             | 2048-02-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140QK4D7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   44318920 | PA      | $36524355.35   | 0.16%             | 2051-06-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31412PE23<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      33295 | PA      | $33281.69      | 0.00%             | 2039-04-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140X8SG3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   11517272 | PA      | $9909984.92    | 0.04%             | 2050-12-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3132L5V34<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     858942 | PA      | $858725.00     | 0.00%             | 2043-09-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3132VN7L1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    2907827 | PA      | $2793102.20    | 0.01%             | 2049-04-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 36184BG43<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     126179 | PA      | $116994.55     | 0.00%             | 2045-01-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 31307SLW1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    4354612 | PA      | $4103791.51    | 0.02%             | 2031-11-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31403CZL8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        941 | PA      | $938.50        | 0.00%             | 2035-12-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 31298TW32<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |        546 | PA      | $565.74        | 0.00%             | 2031-08-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3128M7E28<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      26293 | PA      | $26842.34      | 0.00%             | 2039-02-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 31296YPH0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       6458 | PA      | $6553.09       | 0.00%             | 2034-05-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 31288DFN4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       2954 | PA      | $3077.67       | 0.00%             | 2032-12-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 31356EUU6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |         49 | PA      | $49.15         | 0.00%             | 2024-05-01      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 31307WU69<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     753231 | PA      | $731945.46     | 0.00%             | 2033-09-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 31307S2J1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    1737169 | PA      | $1657499.77    | 0.01%             | 2032-01-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31418MEE8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       1780 | PA      | $1877.91       | 0.00%             | 2039-09-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31417A6N4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    2469360 | PA      | $2426609.80    | 0.01%             | 2032-02-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31418ECV0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1109301 | PA      | $1023579.51    | 0.00%             | 2037-04-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140J9KX8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1013432 | PA      | $982986.44     | 0.00%             | 2048-10-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3128M4W41<br>LEI: 254900HROIFWPRGM1V77 | Long             | ABS-MBS          | USGSE             | US        |     176897 | PA      | $182339.23     | 0.00%             | 2034-12-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3132VNYL1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     431681 | PA      | $414649.77     | 0.00%             | 2049-03-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138ETJ98<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      75283 | PA      | $72769.57      | 0.00%             | 2046-03-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 36296TUY7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        104 | PA      | $108.06        | 0.00%             | 2038-11-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 36207F7L9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        116 | PA      | $116.84        | 0.00%             | 2026-09-15      | Fixed         | 8.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 31335GQE8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |         18 | PA      | $18.88         | 0.00%             | 2026-12-01      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae II Pool                               | CUSIP: 36179MLA6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      22832 | PA      | $23433.25      | 0.00%             | 2042-08-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140F4L95<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     449309 | PA      | $418799.93     | 0.00%             | 2046-06-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae II Pool                               | CUSIP: 36179NDU9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      20543 | PA      | $21083.63      | 0.00%             | 2043-05-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 36206FLZ3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |         88 | PA      | $87.82         | 0.00%             | 2025-09-15      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140KHLD1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    3012223 | PA      | $2790319.68    | 0.01%             | 2035-08-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138EG5M2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      13710 | PA      | $14461.20      | 0.00%             | 2040-10-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3131XQT55<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     269135 | PA      | $253431.77     | 0.00%             | 2044-11-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 36207JWJ8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        464 | PA      | $476.13        | 0.00%             | 2028-03-15      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae II Pool                               | CUSIP: 36230MA56<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     186662 | PA      | $183759.69     | 0.00%             | 2040-11-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140HLJX5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     167432 | PA      | $165455.99     | 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        |    1222945 | PA      | $1182276.78    | 0.01%             | 2048-02-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 31346YHX4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     168937 | PA      | $170332.05     | 0.00%             | 2049-10-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140J8GK3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    9963432 | PA      | $9003831.27    | 0.04%             | 2047-07-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae II Pool                               | CUSIP: 36202FUG9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       6826 | PA      | $7015.78       | 0.00%             | 2041-06-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138ER5V8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    5672073 | PA      | $5125782.52    | 0.02%             | 2047-03-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 36203BLN2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |          7 | PA      | $7.47          | 0.00%             | 2023-02-15      | Fixed         | 8.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 36180NDN2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      24139 | PA      | $22167.70      | 0.00%             | 2043-05-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 3620C0ZF8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       1731 | PA      | $1787.44       | 0.00%             | 2040-06-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31401HR53<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       1084 | PA      | $1116.26       | 0.00%             | 2033-06-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 36294T3C7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       1551 | PA      | $1638.95       | 0.00%             | 2036-10-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae II Pool                               | CUSIP: 36179TJZ9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    1236421 | PA      | $1227585.46    | 0.01%             | 2047-10-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31406GZH5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       1002 | PA      | $1017.67       | 0.00%             | 2035-03-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3128MJBE9<br>LEI: 254900HROIFWPRGM1V77 | Long             | ABS-MBS          | USGSE             | US        |      76418 | PA      | $78897.72      | 0.00%             | 2035-01-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3131XUP92<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     239942 | PA      | $216833.15     | 0.00%             | 2046-07-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140XDDB9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   48573792 | PA      | $40068063.17   | 0.17%             | 2051-11-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31411JPJ9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      14645 | PA      | $15219.24      | 0.00%             | 2037-02-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3133KKW54<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   15044341 | PA      | $12466892.15   | 0.05%             | 2051-01-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31414MNP7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       4109 | PA      | $4401.48       | 0.00%             | 2038-02-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140H8YY5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     991208 | PA      | $1008432.51    | 0.00%             | 2048-08-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138XF6Y6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      31419 | PA      | $31612.33      | 0.00%             | 2044-01-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140GNRH8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     268744 | PA      | $261281.24     | 0.00%             | 2032-04-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31414QS65<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       1253 | PA      | $1278.13       | 0.00%             | 2038-04-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31410GRK1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      63178 | PA      | $67680.99      | 0.00%             | 2037-10-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140MXMV3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     418065 | PA      | $401869.97     | 0.00%             | 2037-07-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140K14S2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    3164393 | PA      | $3065268.32    | 0.01%             | 2034-12-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 36204NT98<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        503 | PA      | $503.72        | 0.00%             | 2025-03-15      | Fixed         | 8.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae II Pool                               | CUSIP: 36202F2L9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     121806 | PA      | $115825.76     | 0.00%             | 2042-01-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae II Pool                               | CUSIP: 36179MX70<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     134002 | PA      | $137531.28     | 0.00%             | 2043-01-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138A1VZ1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      17231 | PA      | $16706.09      | 0.00%             | 2026-01-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138WG6H2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1267167 | PA      | $1181122.76    | 0.01%             | 2046-05-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140QNR38<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    7483980 | PA      | $6905668.06    | 0.03%             | 2037-03-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3132XVR62<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     301540 | PA      | $281298.67     | 0.00%             | 2047-12-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138WGLF9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     171204 | PA      | $165489.05     | 0.00%             | 2046-02-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3132DMC60<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    1827638 | PA      | $1842752.60    | 0.01%             | 2049-10-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31416VGN8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       5611 | PA      | $5829.04       | 0.00%             | 2038-12-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 31307JMX8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      21537 | PA      | $21079.66      | 0.00%             | 2029-09-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3128P7PH0<br>LEI: 254900HROIFWPRGM1V77 | Long             | ABS-MBS          | USGSE             | US        |     692481 | PA      | $691276.52     | 0.00%             | 2030-08-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140HAFK1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      66940 | PA      | $66649.01      | 0.00%             | 2048-02-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140FPP29<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      55218 | PA      | $54689.98      | 0.00%             | 2046-12-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31410KCW2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       2993 | PA      | $3156.55       | 0.00%             | 2038-02-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3132HQEQ1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   12954612 | PA      | $11843670.99   | 0.05%             | 2042-11-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3128M9AV4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       3740 | PA      | $3742.88       | 0.00%             | 2041-05-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3131XWYU1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     219095 | PA      | $210681.69     | 0.00%             | 2047-06-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138E22E4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      28772 | PA      | $27127.55      | 0.00%             | 2042-02-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3131Y1XJ4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     256704 | PA      | $253674.68     | 0.00%             | 2048-06-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 31283HGE9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |         60 | PA      | $62.67         | 0.00%             | 2029-12-01      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 312942GC3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      51391 | PA      | $52561.95      | 0.00%             | 2040-09-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138YDLM9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      17523 | PA      | $16661.83      | 0.00%             | 2029-12-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 31307VFK7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     787249 | PA      | $741099.36     | 0.00%             | 2033-01-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3128M6P85<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |        208 | PA      | $216.40        | 0.00%             | 2038-06-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138WCW66<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      88340 | PA      | $86385.93      | 0.00%             | 2029-09-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140X5EJ8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1626896 | PA      | $1564406.22    | 0.01%             | 2048-04-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 3620ASPD5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      16486 | PA      | $16543.89      | 0.00%             | 2041-07-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 36183RCX9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      12595 | PA      | $11510.13      | 0.00%             | 2045-03-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31403DT90<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       1306 | PA      | $1399.49       | 0.00%             | 2036-09-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 31307NUJ1<br>LEI: 254900HROIFWPRGM1V77 | Long             | ABS-MBS          | USGSE             | US        |     199286 | PA      | $190963.94     | 0.00%             | 2030-08-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 312931GB8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |        277 | PA      | $277.34        | 0.00%             | 2039-02-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 31292G5P7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       6714 | PA      | $7105.59       | 0.00%             | 2029-07-01      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138YKAD5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     202145 | PA      | $193520.33     | 0.00%             | 2030-03-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae II Pool                               | CUSIP: 36179SYT8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     189630 | PA      | $184375.76     | 0.00%             | 2047-03-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 36178DR78<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     310311 | PA      | $284976.38     | 0.00%             | 2042-12-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3128MCH40<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |        780 | PA      | $769.23        | 0.00%             | 2024-08-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 31296W5V5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |        778 | PA      | $776.21        | 0.00%             | 2034-04-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3128MMPH0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      50637 | PA      | $49157.98      | 0.00%             | 2027-02-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae II Pool                               | CUSIP: 36202F4T0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      13319 | PA      | $13681.20      | 0.00%             | 2042-03-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 312939JZ5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       6867 | PA      | $7018.59       | 0.00%             | 2040-02-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 36296QZF9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       2762 | PA      | $2844.92       | 0.00%             | 2039-05-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140QAT83<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     410081 | PA      | $390471.59     | 0.00%             | 2032-08-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3128LXBP4<br>LEI: 254900HROIFWPRGM1V77 | Long             | ABS-MBS          | USGSE             | US        |       5326 | PA      | $5499.24       | 0.00%             | 2035-06-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140XGHK8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     641883 | PA      | $616013.49     | 0.00%             | 2051-10-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 36291LRY3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      11363 | PA      | $11704.90      | 0.00%             | 2034-06-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3133GEFX1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   10183320 | PA      | $9148145.48    | 0.04%             | 2036-08-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138WKXZ3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1726093 | PA      | $1678161.16    | 0.01%             | 2032-05-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140K3FM9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    4192018 | PA      | $3713264.20    | 0.02%             | 2050-03-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3132GKZQ2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     189395 | PA      | $185039.86     | 0.00%             | 2041-11-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31410KEZ3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       3015 | PA      | $3133.77       | 0.00%             | 2038-05-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3132DWB36<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     180459 | PA      | $165793.27     | 0.00%             | 2051-06-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31418D4A7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    3488090 | PA      | $3202834.98    | 0.01%             | 2051-09-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3128PT6Q3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     124004 | PA      | $121019.45     | 0.00%             | 2026-02-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae II Pool                               | CUSIP: 3617GCTC8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    1246169 | PA      | $1209268.17    | 0.01%             | 2048-03-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3133GBE91<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     860820 | PA      | $754263.44     | 0.00%             | 2035-12-01      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3131WHCD7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      42710 | PA      | $43359.67      | 0.00%             | 2035-08-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3132M6YV6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       7369 | PA      | $7280.74       | 0.00%             | 2044-05-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 36183CM60<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     224203 | PA      | $213132.71     | 0.00%             | 2044-09-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 312932L38<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       6061 | PA      | $5909.57       | 0.00%             | 2039-04-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31408F3J6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      32652 | PA      | $34409.78      | 0.00%             | 2035-12-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 31292HK94<br>LEI: 254900HROIFWPRGM1V77 | Long             | ABS-MBS          | USGSE             | US        |        634 | PA      | $657.01        | 0.00%             | 2031-09-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140H5L25<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      11575 | PA      | $10885.62      | 0.00%             | 2033-01-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 31294MAK7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       1063 | PA      | $1043.96       | 0.00%             | 2025-08-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138WJ7B8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      63683 | PA      | $64208.92      | 0.00%             | 2047-03-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31418EBF6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     273823 | PA      | $253144.15     | 0.00%             | 2037-02-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138XRH51<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1207639 | PA      | $1217562.86    | 0.01%             | 2044-04-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140F0HD9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     817270 | PA      | $738556.70     | 0.00%             | 2046-10-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 36291AKC2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      11070 | PA      | $11524.94      | 0.00%             | 2035-04-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140K1YN0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     636655 | PA      | $590305.90     | 0.00%             | 2034-11-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 36296R3Q8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        753 | PA      | $802.60        | 0.00%             | 2038-10-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140X92Y0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1456549 | PA      | $1348068.92    | 0.01%             | 2035-08-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140F1T28<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     611881 | PA      | $576077.40     | 0.00%             | 2031-04-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 3620A2T55<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       2452 | PA      | $2525.88       | 0.00%             | 2039-05-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140EXET6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      68418 | PA      | $59807.91      | 0.00%             | 2046-09-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140L23B7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    7909527 | PA      | $6517782.29    | 0.03%             | 2051-03-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Non Gold Pool                        | CUSIP: 3128QP5C2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     208658 | PA      | $207489.39     | 0.00%             | 2040-11-01      | Floating      | 3.83%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 36290VTH7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       1028 | PA      | $1052.85       | 0.00%             | 2034-04-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31407YDV8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        786 | PA      | $828.57        | 0.00%             | 2035-10-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 36291MJ53<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       2336 | PA      | $2414.98       | 0.00%             | 2034-09-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 31329NN20<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     684311 | PA      | $618405.82     | 0.00%             | 2047-01-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138ADVN2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      36608 | PA      | $36596.99      | 0.00%             | 2041-05-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140JHXB4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     787158 | PA      | $756699.66     | 0.00%             | 2048-11-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 36213UKW9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        119 | PA      | $127.62        | 0.00%             | 2031-07-15      | Fixed         | 8.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138WBS30<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     163419 | PA      | $162934.45     | 0.00%             | 2044-05-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 3617A9VM6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      16122 | PA      | $15981.77      | 0.00%             | 2045-09-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140LXYB5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    4116677 | PA      | $3551280.41    | 0.02%             | 2051-10-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 312932JX5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |        641 | PA      | $641.29        | 0.00%             | 2039-04-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31417KWJ2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      41121 | PA      | $41104.80      | 0.00%             | 2039-09-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 36208L6G7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        250 | PA      | $254.81        | 0.00%             | 2028-06-15      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3131XUDF1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     515186 | PA      | $495609.43     | 0.00%             | 2046-04-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31414JCA9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       2632 | PA      | $2775.91       | 0.00%             | 2037-11-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140QAJQ4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    3920545 | PA      | $3952964.84    | 0.02%             | 2049-01-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 312938H63<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       5453 | PA      | $5315.98       | 0.00%             | 2039-12-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 36241KYX0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       5215 | PA      | $5453.43       | 0.00%             | 2036-12-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138WJMJ4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      96745 | PA      | $90175.43      | 0.00%             | 2046-12-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140KNGW2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1081424 | PA      | $1007075.60    | 0.00%             | 2050-10-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 36210RHS2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       2962 | PA      | $3087.44       | 0.00%             | 2032-04-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31414EXW9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |         26 | PA      | $26.37         | 0.00%             | 2023-07-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 31297FAH6<br>LEI: 254900HROIFWPRGM1V77 | Long             | ABS-MBS          | USGSE             | US        |      31099 | PA      | $32108.34      | 0.00%             | 2034-10-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140QM3X0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    2527248 | PA      | $2078275.06    | 0.01%             | 2052-01-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3132A4JE9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     332891 | PA      | $322792.55     | 0.00%             | 2043-11-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3131Y9EB5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    1890063 | PA      | $1856544.11    | 0.01%             | 2049-01-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31418DV66<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   26434948 | PA      | $20553979.25   | 0.09%             | 2051-01-01      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31413HA65<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       1984 | PA      | $2061.57       | 0.00%             | 2037-07-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138WHF56<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    4405124 | PA      | $4106003.61    | 0.02%             | 2046-06-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138A8RL2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      71313 | PA      | $71292.15      | 0.00%             | 2041-03-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31417Q5R1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       9680 | PA      | $9428.04       | 0.00%             | 2039-11-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 31292G2N5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |        504 | PA      | $522.67        | 0.00%             | 2029-04-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 3620AKAQ9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      23445 | PA      | $22282.48      | 0.00%             | 2041-12-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3133KNWU3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   25547934 | PA      | $21865918.18   | 0.09%             | 2052-03-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140EBWW7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      22904 | PA      | $21927.17      | 0.00%             | 2030-04-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140FJCC5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     431236 | PA      | $406045.21     | 0.00%             | 2046-11-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140X4VV5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     225317 | PA      | $203616.11     | 0.00%             | 2049-02-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 31335CAQ7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     911005 | PA      | $881444.44     | 0.00%             | 2046-10-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31403EM53<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      87493 | PA      | $90087.86      | 0.00%             | 2033-10-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 31287XCN4<br>LEI: 254900HROIFWPRGM1V77 | Long             | ABS-MBS          | USGSE             | US        |       8171 | PA      | $8416.95       | 0.00%             | 2032-09-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 31307P2H1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      33497 | PA      | $31772.71      | 0.00%             | 2031-01-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140KPQD8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    6339147 | PA      | $5255085.01    | 0.02%             | 2050-11-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31385W4Z9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      30884 | PA      | $31799.44      | 0.00%             | 2033-04-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31414HZ67<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        219 | PA      | $227.95        | 0.00%             | 2037-12-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 36206W7C3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |         55 | PA      | $55.10         | 0.00%             | 2026-08-15      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3132M5SU7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      59285 | PA      | $59166.48      | 0.00%             | 2044-03-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31387DMJ5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       2532 | PA      | $2616.85       | 0.00%             | 2031-05-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31415TFU9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       3877 | PA      | $4089.09       | 0.00%             | 2038-08-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae II Pool                               | CUSIP: 36179RLU1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     131283 | PA      | $140236.97     | 0.00%             | 2045-07-20      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3128MJYT1<br>LEI: 254900HROIFWPRGM1V77 | Long             | ABS-MBS          | USGSE             | US        |    4270454 | PA      | $3863091.39    | 0.02%             | 2046-09-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31380WEJ9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |         46 | PA      | $47.23         | 0.00%             | 2028-11-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 31335AYV4<br>LEI: 254900HROIFWPRGM1V77 | Long             | ABS-MBS          | USGSE             | US        |     711013 | PA      | $648008.61     | 0.00%             | 2046-10-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138WRWL0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     774060 | PA      | $771579.87     | 0.00%             | 2043-06-01      | Floating      | 3.38%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3128MEAX9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       1988 | PA      | $1962.73       | 0.00%             | 2025-10-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138AK2G3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       3362 | PA      | $3251.72       | 0.00%             | 2026-07-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3128M6AM0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       4041 | PA      | $4266.73       | 0.00%             | 2037-11-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138EPTZ7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1137437 | PA      | $1092394.68    | 0.00%             | 2030-06-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140KKUW2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1303739 | PA      | $1207293.28    | 0.01%             | 2035-11-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31413F4U3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        457 | PA      | $474.73        | 0.00%             | 2037-07-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3132XCSA4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    4838420 | PA      | $4677521.79    | 0.02%             | 2048-06-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140JHFJ7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     905174 | PA      | $856620.02     | 0.00%             | 2048-11-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31417YW78<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      14106 | PA      | $13744.31      | 0.00%             | 2026-03-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31390UQB5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       2657 | PA      | $2765.74       | 0.00%             | 2032-05-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 31293JDJ5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       1008 | PA      | $1039.52       | 0.00%             | 2029-01-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138EKG25<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    4623992 | PA      | $4715462.91    | 0.02%             | 2040-08-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae II Pool                               | CUSIP: 36202F2M7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     247327 | PA      | $243312.70     | 0.00%             | 2042-01-20      | 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        |      72955 | PA      | $70672.41      | 0.00%             | 2048-05-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138WFDR4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1288041 | PA      | $1233086.31    | 0.01%             | 2030-07-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31371FT85<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |         19 | PA      | $18.94         | 0.00%             | 2027-03-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 36200KDK0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        322 | PA      | $323.56        | 0.00%             | 2034-02-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3133A6TN1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    4313430 | PA      | $4022041.52    | 0.02%             | 2050-06-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138WE6Y0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       6444 | PA      | $6229.36       | 0.00%             | 2045-07-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31371KEX5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       2022 | PA      | $2093.87       | 0.00%             | 2031-11-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31412MAJ7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       2455 | PA      | $2589.35       | 0.00%             | 2037-12-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 36206CJF7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        326 | PA      | $328.54        | 0.00%             | 2025-03-15      | Fixed         | 9.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3133ACLJ5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    2426819 | PA      | $2010421.64    | 0.01%             | 2050-11-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138AXKP5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      24460 | PA      | $23762.85      | 0.00%             | 2041-12-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 36295QV72<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        384 | PA      | $404.27        | 0.00%             | 2037-11-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 36207BU32<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        771 | PA      | $781.06        | 0.00%             | 2026-06-15      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138XBGJ7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     406007 | PA      | $390269.37     | 0.00%             | 2028-10-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3128M6HU5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       1589 | PA      | $1698.28       | 0.00%             | 2038-07-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138YPBZ4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     288953 | PA      | $276624.83     | 0.00%             | 2030-04-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140QL6A9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    4996928 | PA      | $4697786.28    | 0.02%             | 2036-09-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138EL5L3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       5373 | PA      | $5366.66       | 0.00%             | 2043-12-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3128K0AK9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       1793 | PA      | $1822.74       | 0.00%             | 2035-11-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31411E4E4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       3098 | PA      | $3266.55       | 0.00%             | 2037-01-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3132L7LF4<br>LEI: 254900HROIFWPRGM1V77 | Long             | ABS-MBS          | USGSE             | US        |    3507422 | PA      | $3277218.83    | 0.01%             | 2045-12-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3128MMLE1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       3525 | PA      | $3476.08       | 0.00%             | 2024-09-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140HE5Y4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1110111 | PA      | $1032874.31    | 0.00%             | 2048-06-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138WKQV0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     947700 | PA      | $915308.72     | 0.00%             | 2047-04-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31401AMG9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      13577 | PA      | $13979.87      | 0.00%             | 2033-06-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 36204H5B2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |          2 | PA      | $1.70          | 0.00%             | 2023-10-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 31292L4F9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      25861 | PA      | $23642.90      | 0.00%             | 2042-12-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138EMYK1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       8595 | PA      | $8569.49       | 0.00%             | 2044-04-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 312946PQ3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       9626 | PA      | $10026.86      | 0.00%             | 2041-03-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138ASYQ9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     132590 | PA      | $128813.16     | 0.00%             | 2041-10-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae II Pool                               | CUSIP: 3622A3DD9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    1649836 | PA      | $1599514.58    | 0.01%             | 2048-06-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140QDRB2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    2764703 | PA      | $2498428.47    | 0.01%             | 2048-01-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3128M6ET1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      33450 | PA      | $35319.66      | 0.00%             | 2038-05-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae II Pool                               | CUSIP: 36179SB89<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    1697647 | PA      | $1606044.20    | 0.01%             | 2046-05-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 36241LT89<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     628452 | PA      | $655207.43     | 0.00%             | 2036-03-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 362169UF9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        224 | PA      | $234.54        | 0.00%             | 2029-10-15      | Fixed         | 8.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31417QP81<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       4424 | PA      | $4422.68       | 0.00%             | 2039-12-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3133KLHN0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   27531296 | PA      | $22712540.06   | 0.10%             | 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        |    3325266 | PA      | $3172764.38    | 0.01%             | 2031-06-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3128MCJ97<br>LEI: 254900HROIFWPRGM1V77 | Long             | ABS-MBS          | USGSE             | US        |      76230 | PA      | $75397.15      | 0.00%             | 2024-10-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3128MJ3X6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     889687 | PA      | $828617.06     | 0.00%             | 2048-05-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138EKHB4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       4196 | PA      | $4159.46       | 0.00%             | 2025-05-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 31306XSB0<br>LEI: 254900HROIFWPRGM1V77 | Long             | ABS-MBS          | USGSE             | US        |     434307 | PA      | $421623.84     | 0.00%             | 2027-09-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae II Pool                               | CUSIP: 36179RQ77<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      97152 | PA      | $104118.96     | 0.00%             | 2039-09-20      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 312931N53<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       5057 | PA      | $5060.18       | 0.00%             | 2039-03-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31410LDD1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       3624 | PA      | $3823.00       | 0.00%             | 2039-10-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138AEJ87<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       1372 | PA      | $1332.93       | 0.00%             | 2041-04-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3133KPNP9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    1185924 | PA      | $976696.44     | 0.00%             | 2052-04-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31418DCX8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     871160 | PA      | $778004.18     | 0.00%             | 2049-06-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3132DVLS2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   47886958 | PA      | $39568131.55   | 0.17%             | 2051-03-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3132XVUT8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      81555 | PA      | $76079.31      | 0.00%             | 2047-12-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140HM6A7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1388490 | PA      | $1334762.97    | 0.01%             | 2048-07-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 36183X2Y5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      12530 | PA      | $11451.32      | 0.00%             | 2045-03-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31416YVG0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       1353 | PA      | $1352.65       | 0.00%             | 2041-07-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3128PSQJ9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      12064 | PA      | $11834.12      | 0.00%             | 2025-10-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140H5MC2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       4927 | PA      | $4591.60       | 0.00%             | 2048-01-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae II Pool                               | CUSIP: 36202FZB5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      18434 | PA      | $19183.63      | 0.00%             | 2041-11-20      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3131Y1ZC7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     546467 | PA      | $527851.97     | 0.00%             | 2048-06-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140L4Q36<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1475723 | PA      | $1148220.40    | 0.00%             | 2051-02-01      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31412MXM5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        107 | PA      | $106.27        | 0.00%             | 2023-06-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138Y5RD0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      25693 | PA      | $24901.05      | 0.00%             | 2044-10-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae II Pool                               | CUSIP: 36179QGB1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     185203 | PA      | $170592.98     | 0.00%             | 2044-06-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138WB4E2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     143177 | PA      | $142752.68     | 0.00%             | 2044-06-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140QFFK0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   31024157 | PA      | $26702686.49   | 0.11%             | 2050-10-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138WEFW4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     913331 | PA      | $874363.59     | 0.00%             | 2030-03-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140FTLR0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     544854 | PA      | $492378.19     | 0.00%             | 2047-02-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140Q8H65<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     721563 | PA      | $672449.89     | 0.00%             | 2048-02-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140QNSZ6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    5993160 | PA      | $5307232.28    | 0.02%             | 2052-04-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3132A8Q51<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    1997638 | PA      | $1902050.05    | 0.01%             | 2032-03-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 31283HAV7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |        501 | PA      | $519.62        | 0.00%             | 2028-05-01      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140HBH68<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     639455 | PA      | $614711.56     | 0.00%             | 2048-06-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140GN3G6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     207386 | PA      | $193270.05     | 0.00%             | 2047-04-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138WERN1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      14321 | PA      | $13445.94      | 0.00%             | 2045-05-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3128MJCR9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      10563 | PA      | $10735.33      | 0.00%             | 2035-09-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140X74Z9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    2136924 | PA      | $1931112.22    | 0.01%             | 2049-02-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140QPH34<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    6631711 | PA      | $6079296.91    | 0.03%             | 2052-06-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31379ECF2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       2141 | PA      | $2218.33       | 0.00%             | 2028-08-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3128MMPY3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      28701 | PA      | $27565.53      | 0.00%             | 2027-06-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 31297P7L9<br>LEI: 254900HROIFWPRGM1V77 | Long             | ABS-MBS          | USGSE             | US        |     200421 | PA      | $208097.64     | 0.00%             | 2035-04-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 36209NXR8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        283 | PA      | $288.86        | 0.00%             | 2028-10-15      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 31294MMB4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     104249 | PA      | $101204.51     | 0.00%             | 2027-02-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140KD3D0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     875808 | PA      | $810579.97     | 0.00%             | 2035-06-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3128MJYY0<br>LEI: 254900HROIFWPRGM1V77 | Long             | ABS-MBS          | USGSE             | US        |      83655 | PA      | $75675.34      | 0.00%             | 2046-10-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3132JP5F5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       1916 | PA      | $1873.68       | 0.00%             | 2043-11-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3132GEL65<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     402183 | PA      | $402456.07     | 0.00%             | 2041-06-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140QFS91<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    3796483 | PA      | $3241746.37    | 0.01%             | 2050-11-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3128MJDD9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       1214 | PA      | $1233.86       | 0.00%             | 2035-12-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140QFKQ1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      65034 | PA      | $61532.35      | 0.00%             | 2035-10-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140FPTK5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     247661 | PA      | $223807.94     | 0.00%             | 2046-11-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae II Pool                               | CUSIP: 36179QC33<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     132755 | PA      | $125523.46     | 0.00%             | 2029-05-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138WDU90<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     201972 | PA      | $193974.17     | 0.00%             | 2029-12-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3133L8UY9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   14874368 | PA      | $13375666.11   | 0.06%             | 2037-01-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3128LXCT5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       4551 | PA      | $4625.51       | 0.00%             | 2035-08-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140X4SL1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   12424876 | PA      | $11376982.57   | 0.05%             | 2047-02-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 31288HRJ1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       2041 | PA      | $2069.75       | 0.00%             | 2033-04-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 36200QTJ3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       1582 | PA      | $1622.78       | 0.00%             | 2035-09-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3133ACZM3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    3643714 | PA      | $3128031.45    | 0.01%             | 2050-11-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138Y3X71<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     138819 | PA      | $134538.83     | 0.00%             | 2044-10-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31418XGC6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      21064 | PA      | $21520.21      | 0.00%             | 2040-08-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31414L4J4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       5787 | PA      | $5893.57       | 0.00%             | 2038-01-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140F7WF2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     123920 | PA      | $122629.88     | 0.00%             | 2047-05-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31415A6H9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        269 | PA      | $267.41        | 0.00%             | 2023-06-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3129354H9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       1835 | PA      | $1875.23       | 0.00%             | 2039-09-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138YP6H0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     508733 | PA      | $487027.65     | 0.00%             | 2030-06-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3128PYWU4<br>LEI: 254900HROIFWPRGM1V77 | Long             | ABS-MBS          | USGSE             | US        |      38158 | PA      | $37043.90      | 0.00%             | 2027-04-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae II Pool                               | CUSIP: 36179TG33<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    6382006 | PA      | $5856967.90    | 0.02%             | 2047-09-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140X4ZJ8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    5323745 | PA      | $5074537.81    | 0.02%             | 2034-02-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31416NR95<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      13417 | PA      | $13068.10      | 0.00%             | 2039-04-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3132WFDH9<br>LEI: 254900HROIFWPRGM1V77 | Long             | ABS-MBS          | USGSE             | US        |    3470984 | PA      | $3238581.97    | 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        |    1023652 | PA      | $998813.58     | 0.00%             | 2046-11-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31411A5A9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |         23 | PA      | $25.01         | 0.00%             | 2036-11-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3131WFEM9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     193295 | PA      | $195937.63     | 0.00%             | 2034-12-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 36292JTL3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      10530 | PA      | $11021.22      | 0.00%             | 2035-12-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3132GF4Z7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     137061 | PA      | $137154.41     | 0.00%             | 2041-08-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3132H9S35<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     316607 | PA      | $303945.92     | 0.00%             | 2028-07-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 36205SCL7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        186 | PA      | $188.69        | 0.00%             | 2026-09-15      | Fixed         | 8.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138EM6N6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    2050858 | PA      | $1991447.31    | 0.01%             | 2044-05-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 36200NRZ6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       6436 | PA      | $6655.94       | 0.00%             | 2034-05-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138WKU37<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1434871 | PA      | $1379756.95    | 0.01%             | 2047-05-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 3620ASF79<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     356273 | PA      | $349206.89     | 0.00%             | 2041-05-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3132DWDS9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    3076233 | PA      | $2721423.55    | 0.01%             | 2052-05-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3132GJR35<br>LEI: 254900HROIFWPRGM1V77 | Long             | ABS-MBS          | USGSE             | US        |    1264346 | PA      | $1229489.64    | 0.01%             | 2041-09-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 36198RXN1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      93813 | PA      | $89180.90      | 0.00%             | 2044-12-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31418CFU3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     553836 | PA      | $522364.65     | 0.00%             | 2047-01-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138WCSP9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     103968 | PA      | $99850.87      | 0.00%             | 2029-09-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 31298PTR1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       8028 | PA      | $8323.52       | 0.00%             | 2031-06-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 36295WWL7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      41646 | PA      | $40947.81      | 0.00%             | 2041-08-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 31307N7E8<br>LEI: 254900HROIFWPRGM1V77 | Long             | ABS-MBS          | USGSE             | US        |     235909 | PA      | $226057.62     | 0.00%             | 2030-09-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31384WGU8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       1296 | PA      | $1341.84       | 0.00%             | 2031-04-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140QDPK4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1994656 | PA      | $1926682.64    | 0.01%             | 2049-11-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 31307CKT4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      25169 | PA      | $24162.28      | 0.00%             | 2028-05-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3133AAY22<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   10419945 | PA      | $8609928.48    | 0.04%             | 2050-10-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140QQDS1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    3957005 | PA      | $3849717.97    | 0.02%             | 2052-09-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138YBNN9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       2596 | PA      | $2515.59       | 0.00%             | 2044-12-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31375SQZ6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |         89 | PA      | $90.08         | 0.00%             | 2026-04-01      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31388WXC5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       4095 | PA      | $4203.66       | 0.00%             | 2032-01-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138WGFQ2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    5405279 | PA      | $5111096.83    | 0.02%             | 2046-01-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31384WKZ2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |         84 | PA      | $86.75         | 0.00%             | 2031-05-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 36294WYJ1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      36826 | PA      | $37890.66      | 0.00%             | 2037-03-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138ERZE3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1496962 | PA      | $1426889.00    | 0.01%             | 2032-02-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31402GXE8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       2127 | PA      | $2155.08       | 0.00%             | 2033-08-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 36180HHW1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     168179 | PA      | $159937.82     | 0.00%             | 2043-06-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3132QWMH9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     478337 | PA      | $446309.32     | 0.00%             | 2046-03-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae II Pool                               | CUSIP: 36179TQQ1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    2990091 | PA      | $2903522.67    | 0.01%             | 2048-01-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3132A5GV1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     809787 | PA      | $731797.45     | 0.00%             | 2047-04-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31407M7D1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        992 | PA      | $1028.56       | 0.00%             | 2035-09-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 31292JZQ6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      15831 | PA      | $16711.91      | 0.00%             | 2036-06-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 31329PZD8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     142878 | PA      | $141192.07     | 0.00%             | 2048-12-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 36185BRD0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     153602 | PA      | $149380.93     | 0.00%             | 2045-06-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138ANC84<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      40152 | PA      | $40140.37      | 0.00%             | 2041-08-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae                                       | CUSIP: 01N0606C5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    7000000 | PA      | $7214881.52    | 0.03%             | 2052-12-20      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 31293TJ57<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       2410 | PA      | $2503.33       | 0.00%             | 2029-07-01      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140JRKK6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     878470 | PA      | $793211.04     | 0.00%             | 2049-06-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31385XA72<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       8646 | PA      | $8758.82       | 0.00%             | 2033-05-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 31292MA78<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       3241 | PA      | $3151.18       | 0.00%             | 2041-11-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31371M3W5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        514 | PA      | $534.18        | 0.00%             | 2036-12-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31407CGX9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      11943 | PA      | $12586.19      | 0.00%             | 2035-07-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140X4JD9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     954616 | PA      | $944674.45     | 0.00%             | 2048-02-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae II Pool                               | CUSIP: 36202FXB7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      96068 | PA      | $94508.81      | 0.00%             | 2041-09-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140JUD68<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     838334 | PA      | $793558.08     | 0.00%             | 2034-06-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31417BHE0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       6454 | PA      | $6259.06       | 0.00%             | 2027-03-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140XBAL4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   75339267 | PA      | $61914231.75   | 0.26%             | 2051-04-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 36204LDB4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        116 | PA      | $115.85        | 0.00%             | 2024-02-15      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 312934XJ6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      16324 | PA      | $16333.13      | 0.00%             | 2039-08-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3128MCL52<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |        445 | PA      | $442.03        | 0.00%             | 2024-12-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 36211EE95<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |         96 | PA      | $96.05         | 0.00%             | 2029-08-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3131XXQB0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    1101326 | PA      | $1033082.07    | 0.00%             | 2047-08-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3131XC3E5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     484005 | PA      | $470572.71     | 0.00%             | 2032-08-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3128MCU60<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       6704 | PA      | $6596.34       | 0.00%             | 2025-10-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 31297VBN7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       4528 | PA      | $4701.80       | 0.00%             | 2035-05-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 36200MAZ6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       2487 | PA      | $2571.79       | 0.00%             | 2033-01-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 36208QT48<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       2742 | PA      | $2821.90       | 0.00%             | 2029-01-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 36206FQA3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        108 | PA      | $109.15        | 0.00%             | 2025-07-15      | Fixed         | 8.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31383QGD0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |         52 | PA      | $52.72         | 0.00%             | 2029-08-01      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae II Pool                               | CUSIP: 36179VMH0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    1320967 | PA      | $1335438.32    | 0.01%             | 2050-05-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138WKY90<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    6567466 | PA      | $6353915.12    | 0.03%             | 2047-06-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 31292GRQ1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |         94 | PA      | $95.73         | 0.00%             | 2027-01-01      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae II Pool                               | CUSIP: 36202FGD2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      69539 | PA      | $70095.04      | 0.00%             | 2040-05-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3128MMTA1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    2530974 | PA      | $2400700.17    | 0.01%             | 2030-03-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31401JAG3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       1438 | PA      | $1481.15       | 0.00%             | 2033-07-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 36296NXB7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       2661 | PA      | $2707.41       | 0.00%             | 2038-08-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 36200Q3K8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        514 | PA      | $546.63        | 0.00%             | 2032-02-15      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae II Pool                               | CUSIP: 3617BUCN7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     948630 | PA      | $896109.96     | 0.00%             | 2047-12-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 31288ALG8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |        542 | PA      | $566.93        | 0.00%             | 2032-10-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 31339UE30<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     801995 | PA      | $808619.35     | 0.00%             | 2049-08-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3131Y82W4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     103543 | PA      | $99537.08      | 0.00%             | 2049-01-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31418DEK4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     216597 | PA      | $200828.23     | 0.00%             | 2034-08-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138X55K9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1018953 | PA      | $1041088.78    | 0.00%             | 2043-10-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 36225BHZ4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        144 | PA      | $147.01        | 0.00%             | 2029-07-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 3620AT7H4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      15570 | PA      | $15264.00      | 0.00%             | 2041-01-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31417GGU4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     430971 | PA      | $394408.33     | 0.00%             | 2043-04-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3128K5US9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |        163 | PA      | $168.87        | 0.00%             | 2035-05-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140KTTX3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    6301084 | PA      | $5197435.40    | 0.02%             | 2051-03-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae II Pool                               | CUSIP: 36291FSU3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    4184543 | PA      | $3840930.69    | 0.02%             | 2045-12-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31408DFF6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       1628 | PA      | $1688.37       | 0.00%             | 2035-10-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 31307LQ43<br>LEI: 254900HROIFWPRGM1V77 | Long             | ABS-MBS          | USGSE             | US        |     181233 | PA      | $174219.58     | 0.00%             | 2029-11-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 3620AVT51<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      77450 | PA      | $77717.89      | 0.00%             | 2040-08-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138WQR20<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     316722 | PA      | $298620.06     | 0.00%             | 2042-05-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 31307JCY7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      29792 | PA      | $28356.69      | 0.00%             | 2029-08-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae II Pool                               | CUSIP: 36179WLQ9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    8328939 | PA      | $7542224.33    | 0.03%             | 2051-08-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3132DWBJ1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     874207 | PA      | $750165.98     | 0.00%             | 2051-04-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 31329QDW8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      83832 | PA      | $81209.36      | 0.00%             | 2034-03-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140Q75N3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    3670518 | PA      | $3460858.72    | 0.01%             | 2047-12-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 36182J5W8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      14706 | PA      | $13484.49      | 0.00%             | 2044-05-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 36294TFL4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       8681 | PA      | $9087.69       | 0.00%             | 2037-01-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3133KLHC4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   63112488 | PA      | $52066016.74   | 0.22%             | 2051-03-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 31307JHG1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      66922 | PA      | $64332.01      | 0.00%             | 2029-07-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140F7XS3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     238935 | PA      | $241890.11     | 0.00%             | 2047-05-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3132LANJ7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     402356 | PA      | $397997.01     | 0.00%             | 2048-11-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 36295KMM2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       2884 | PA      | $3064.82       | 0.00%             | 2038-06-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3128MJY53<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      68995 | PA      | $60369.56      | 0.00%             | 2046-11-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140J7XH3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    6713778 | PA      | $6112674.40    | 0.03%             | 2047-12-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31416CL46<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       6331 | PA      | $6455.78       | 0.00%             | 2039-07-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31415RL69<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       1391 | PA      | $1445.47       | 0.00%             | 2038-07-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31418RB75<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      21893 | PA      | $21886.47      | 0.00%             | 2040-05-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138YFC51<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     409864 | PA      | $389714.75     | 0.00%             | 2030-01-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31418CXA7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     124614 | PA      | $123062.84     | 0.00%             | 2033-05-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3132QWZY8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      97920 | PA      | $88579.67      | 0.00%             | 2046-04-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31374TW21<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       1286 | PA      | $1332.65       | 0.00%             | 2029-07-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 3620ALYY4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      63840 | PA      | $56505.65      | 0.00%             | 2045-06-15      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140MWXQ4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   17000000 | PA      | $17002357.90   | 0.07%             | 2052-11-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31375F4Z8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        106 | PA      | $105.49        | 0.00%             | 2024-06-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 36178TTD8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      99151 | PA      | $94253.91      | 0.00%             | 2042-09-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31402DJS0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     816984 | PA      | $842617.28     | 0.00%             | 2034-09-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140QKXN3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   63667401 | PA      | $52469933.55   | 0.22%             | 2051-06-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3133AAQB1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   24771760 | PA      | $20472576.81   | 0.09%             | 2050-10-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3128MMTP8<br>LEI: 254900HROIFWPRGM1V77 | Long             | ABS-MBS          | USGSE             | US        |     828351 | PA      | $793760.42     | 0.00%             | 2030-06-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138WBTG0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      58722 | PA      | $58547.86      | 0.00%             | 2044-05-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3133KNQT3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    1176933 | PA      | $1008308.13    | 0.00%             | 2052-02-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 3620ASPV5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      16589 | PA      | $16647.16      | 0.00%             | 2041-07-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138WHVY5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     800945 | PA      | $754078.74     | 0.00%             | 2031-09-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3128PMUX6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       4754 | PA      | $4701.00       | 0.00%             | 2024-05-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae II Pool                               | CUSIP: 36179NXA1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      48225 | PA      | $45608.66      | 0.00%             | 2029-01-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae II Pool                               | CUSIP: 36179RSD2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      93822 | PA      | $88665.97      | 0.00%             | 2030-11-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 31283H6F7<br>LEI: 254900HROIFWPRGM1V77 | Long             | ABS-MBS          | USGSE             | US        |     304736 | PA      | $314623.86     | 0.00%             | 2035-01-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 31335BMZ6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     227561 | PA      | $222543.38     | 0.00%             | 2044-04-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31383RGF3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       1136 | PA      | $1165.24       | 0.00%             | 2029-08-01      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3133AMG83<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   10390830 | PA      | $8577425.36    | 0.04%             | 2051-06-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 31292HFU3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |         69 | PA      | $73.46         | 0.00%             | 2030-10-01      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138EQRW4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     954706 | PA      | $913973.75     | 0.00%             | 2030-10-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140J8SK0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    2686980 | PA      | $2428190.81    | 0.01%             | 2048-07-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31410EPA0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       1096 | PA      | $1174.50       | 0.00%             | 2036-08-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3128LXAV2<br>LEI: 254900HROIFWPRGM1V77 | Long             | ABS-MBS          | USGSE             | US        |    1320001 | PA      | $1370562.74    | 0.01%             | 2035-06-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3132A4QQ4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     108244 | PA      | $108112.65     | 0.00%             | 2044-07-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3128KC2B2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       7825 | PA      | $8260.87       | 0.00%             | 2036-07-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31419G6B5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       3458 | PA      | $3366.44       | 0.00%             | 2040-10-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138YY3V3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     302390 | PA      | $292295.75     | 0.00%             | 2045-07-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3128MMP31<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      70230 | PA      | $67451.95      | 0.00%             | 2027-08-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3133KM4T9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   30777008 | PA      | $25351932.28   | 0.11%             | 2051-11-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31410KJY1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     689515 | PA      | $727287.92     | 0.00%             | 2038-05-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae II Pool                               | CUSIP: 36179XBT2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   11221753 | PA      | $10713767.08   | 0.05%             | 2052-07-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138W9RL6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     361252 | PA      | $346475.82     | 0.00%             | 2028-09-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31415TK33<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       9047 | PA      | $9541.92       | 0.00%             | 2038-10-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 31329NEM6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     810187 | PA      | $782482.94     | 0.00%             | 2046-04-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138EPZH0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    5282474 | PA      | $5101781.33    | 0.02%             | 2035-06-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3132A8Y60<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    1222695 | PA      | $1164188.66    | 0.00%             | 2033-01-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 36180SUA0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      38208 | PA      | $35086.90      | 0.00%             | 2043-06-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 31287XG59<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |        513 | PA      | $534.16        | 0.00%             | 2032-08-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138W9KT6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    9103699 | PA      | $8311175.30    | 0.04%             | 2043-08-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140E1ML4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     129788 | PA      | $117371.03     | 0.00%             | 2045-09-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 3620ARHA2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      22848 | PA      | $22398.60      | 0.00%             | 2040-09-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3128PWQ76<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       6826 | PA      | $6636.70       | 0.00%             | 2026-10-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140XHLX3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    9708436 | PA      | $8899733.66    | 0.04%             | 2052-06-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140K0VJ4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     816191 | PA      | $772598.45     | 0.00%             | 2034-10-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140HEH47<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     670669 | PA      | $662753.72     | 0.00%             | 2048-04-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae II Pool                               | CUSIP: 36179UUM2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    1468759 | PA      | $1484636.15    | 0.01%             | 2049-06-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3131WQXM4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      65484 | PA      | $63744.29      | 0.00%             | 2040-11-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138Y9NT1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      23695 | PA      | $22405.27      | 0.00%             | 2030-01-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140KRRN1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    4774575 | PA      | $4229527.37    | 0.02%             | 2050-11-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3128MMQP1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       9091 | PA      | $8727.83       | 0.00%             | 2028-04-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31418DZ39<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    4281301 | PA      | $3957981.23    | 0.02%             | 2036-06-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138WEP37<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    4703525 | PA      | $4457046.41    | 0.02%             | 2030-05-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140JGVQ5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     225721 | PA      | $223057.06     | 0.00%             | 2049-01-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31385JRN0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      16339 | PA      | $17083.97      | 0.00%             | 2032-11-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140HGSX6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1314023 | PA      | $1275705.59    | 0.01%             | 2033-03-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 3620A9PM7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      14524 | PA      | $14974.05      | 0.00%             | 2039-10-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138WHD33<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      52087 | PA      | $49038.91      | 0.00%             | 2031-06-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3132CWG32<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    4963783 | PA      | $4719952.18    | 0.02%             | 2033-10-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae II Pool                               | CUSIP: 36179T4P7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    5036733 | PA      | $4883108.01    | 0.02%             | 2048-07-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138WVQ61<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      17155 | PA      | $15730.39      | 0.00%             | 2043-06-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140X53J0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      43488 | PA      | $41834.43      | 0.00%             | 2049-06-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 31296K7H0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       1562 | PA      | $1610.52       | 0.00%             | 2033-08-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31418NHW3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       8028 | PA      | $8201.69       | 0.00%             | 2040-03-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140H8ZV0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    4594376 | PA      | $4540150.46    | 0.02%             | 2048-08-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138EAQE0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      40528 | PA      | $38216.56      | 0.00%             | 2042-04-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 31335GE84<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |         51 | PA      | $51.09         | 0.00%             | 2024-06-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140H4JV7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     398893 | PA      | $379818.92     | 0.00%             | 2032-11-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 31307HYU5<br>LEI: 254900HROIFWPRGM1V77 | Long             | ABS-MBS          | USGSE             | US        |     163607 | PA      | $155722.86     | 0.00%             | 2029-07-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae II Pool                               | CUSIP: 36179S2S5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     101638 | PA      | $104446.89     | 0.00%             | 2047-04-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 312938JX2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       2619 | PA      | $2620.59       | 0.00%             | 2039-12-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140KCQD7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     568352 | PA      | $538209.30     | 0.00%             | 2050-04-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3128PVZM5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      30100 | PA      | $29305.90      | 0.00%             | 2026-07-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31418DY30<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     219259 | PA      | $196976.47     | 0.00%             | 2036-05-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 36201U6S8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       9093 | PA      | $9279.01       | 0.00%             | 2033-08-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3128M8GX6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |        481 | PA      | $507.65        | 0.00%             | 2037-05-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140K3SK9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     751714 | PA      | $696988.10     | 0.00%             | 2034-11-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138WGYY4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     496285 | PA      | $477415.35     | 0.00%             | 2046-04-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3133AC3U0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     782032 | PA      | $702782.33     | 0.00%             | 2050-12-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 36183HRG2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      21930 | PA      | $20189.43      | 0.00%             | 2044-10-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31410KLD4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       7586 | PA      | $7884.87       | 0.00%             | 2038-05-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140GVRK3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1152284 | PA      | $1108024.51    | 0.00%             | 2047-09-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 36230SN75<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      13838 | PA      | $13563.92      | 0.00%             | 2041-05-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3132QQHU9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      13985 | PA      | $13531.60      | 0.00%             | 2045-06-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138MKBK1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    8966139 | PA      | $8189059.77    | 0.03%             | 2042-11-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138WCZ71<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      24797 | PA      | $23815.21      | 0.00%             | 2029-10-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae II Pool                               | CUSIP: 36179UD82<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    2685708 | PA      | $2530249.27    | 0.01%             | 2048-10-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31371FFB3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        208 | PA      | $212.66        | 0.00%             | 2026-01-01      | Fixed         | 8.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31371JL44<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        231 | PA      | $248.91        | 0.00%             | 2030-06-01      | Fixed         | 8.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140KEF86<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     836299 | PA      | $791264.26     | 0.00%             | 2035-07-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140MHT41<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    9689432 | PA      | $8273687.98    | 0.04%             | 2052-03-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3128MFRQ3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     269507 | PA      | $253708.70     | 0.00%             | 2032-12-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31380UYL6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |         83 | PA      | $85.58         | 0.00%             | 2028-11-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 31329QHG9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     562477 | PA      | $555195.21     | 0.00%             | 2049-03-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138MACT3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     684521 | PA      | $645486.37     | 0.00%             | 2042-09-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31405SFC3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       3700 | PA      | $3756.50       | 0.00%             | 2035-09-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 3620A9TF8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       3830 | PA      | $3947.14       | 0.00%             | 2039-09-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3128LCJM9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      36436 | PA      | $37617.86      | 0.00%             | 2035-05-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138WD6S5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     135471 | PA      | $128810.72     | 0.00%             | 2030-02-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140Q7L47<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    3251029 | PA      | $3217171.87    | 0.01%             | 2047-09-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 31298VX93<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |        350 | PA      | $363.27        | 0.00%             | 2031-10-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3132M6JW1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      34977 | PA      | $34907.57      | 0.00%             | 2044-05-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31410G3H4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       2864 | PA      | $2861.77       | 0.00%             | 2038-03-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3128L3XR2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |        566 | PA      | $597.03        | 0.00%             | 2037-12-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31413FL26<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        605 | PA      | $638.34        | 0.00%             | 2037-08-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140Q8DV4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    3355618 | PA      | $3226727.26    | 0.01%             | 2048-01-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140HPAY3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     567385 | PA      | $545430.22     | 0.00%             | 2048-10-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140QAXR6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    7964153 | PA      | $7680851.51    | 0.03%             | 2049-04-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140E02Z7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     345014 | PA      | $326933.84     | 0.00%             | 2030-08-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3128PYJE5<br>LEI: 254900HROIFWPRGM1V77 | Long             | ABS-MBS          | USGSE             | US        |     134277 | PA      | $134052.31     | 0.00%             | 2027-03-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3132J7DY5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     157021 | PA      | $148153.96     | 0.00%             | 2043-02-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138WJU63<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      35421 | PA      | $32706.41      | 0.00%             | 2032-02-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 36211ERU4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       2455 | PA      | $2497.82       | 0.00%             | 2029-05-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138YYWC3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       9395 | PA      | $9080.90       | 0.00%             | 2045-08-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140X9R80<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      55518 | PA      | $52528.09      | 0.00%             | 2036-01-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3132M5SS2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      22711 | PA      | $22032.18      | 0.00%             | 2044-03-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140QCAN6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     115677 | PA      | $107255.73     | 0.00%             | 2034-11-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3131XRXR0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     659681 | PA      | $619358.43     | 0.00%             | 2045-06-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140K8BP5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    3100184 | PA      | $2869290.23    | 0.01%             | 2035-03-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140EWMM4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     245497 | PA      | $222010.81     | 0.00%             | 2046-01-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31373TSH4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |         11 | PA      | $11.38         | 0.00%             | 2024-10-01      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31418AEH7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      21393 | PA      | $20747.26      | 0.00%             | 2027-04-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 31283GHB6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |          6 | PA      | $5.53          | 0.00%             | 2023-03-01      | Fixed         | 8.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31382MDJ0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        356 | PA      | $356.20        | 0.00%             | 2029-02-01      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31418CEJ9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       8566 | PA      | $8484.03       | 0.00%             | 2046-12-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3128K7GP7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       1349 | PA      | $1371.32       | 0.00%             | 2035-08-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3131XLJM0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     336856 | PA      | $308913.17     | 0.00%             | 2043-01-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138W94Q0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       3526 | PA      | $3522.04       | 0.00%             | 2043-10-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138Y4KW8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      95544 | PA      | $92598.23      | 0.00%             | 2044-10-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31410GYM9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       2330 | PA      | $2457.49       | 0.00%             | 2038-02-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31371NN92<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       6999 | PA      | $7694.18       | 0.00%             | 2037-12-01      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31374TVZ9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        622 | PA      | $651.19        | 0.00%             | 2029-07-01      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140FTHC8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     172369 | PA      | $162100.36     | 0.00%             | 2032-04-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140J93N9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     992057 | PA      | $945617.96     | 0.00%             | 2032-09-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31412DLU0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      21744 | PA      | $22589.40      | 0.00%             | 2037-02-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138WPGV0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     859915 | PA      | $785410.80     | 0.00%             | 2043-04-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31418BN28<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     112233 | PA      | $109090.71     | 0.00%             | 2025-03-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 31297HWV7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       1975 | PA      | $2039.20       | 0.00%             | 2035-01-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3132GDJ60<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      26017 | PA      | $26034.30      | 0.00%             | 2041-04-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31419KKE4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      63496 | PA      | $59867.26      | 0.00%             | 2040-11-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3128K8TH9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |        473 | PA      | $480.86        | 0.00%             | 2035-11-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3131XCCE5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     472491 | PA      | $460182.39     | 0.00%             | 2031-07-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3131YAWG1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    2119232 | PA      | $2091797.64    | 0.01%             | 2049-03-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140XDAR7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   12793079 | PA      | $10542111.05   | 0.04%             | 2051-09-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138YB2N2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       5922 | PA      | $5687.01       | 0.00%             | 2030-01-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31375DVC4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       1104 | PA      | $1117.63       | 0.00%             | 2025-12-01      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae II Pool                               | CUSIP: 36202FY83<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    2444604 | PA      | $2512278.97    | 0.01%             | 2041-11-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138WGC93<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1137461 | PA      | $1061793.48    | 0.00%             | 2045-12-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31385XTY3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       8403 | PA      | $8651.92       | 0.00%             | 2033-11-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140J54Q9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      30817 | PA      | $29721.83      | 0.00%             | 2047-09-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140JX4Q8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     626482 | PA      | $554149.21     | 0.00%             | 2049-11-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31408GMC8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       2284 | PA      | $2493.84       | 0.00%             | 2036-01-01      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138EE2T5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     170398 | PA      | $160680.76     | 0.00%             | 2042-05-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae II Pool                               | CUSIP: 36179SLR6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   24596166 | PA      | $22568719.01   | 0.10%             | 2046-09-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140QMAC8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   20447873 | PA      | $16873362.46   | 0.07%             | 2051-10-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31418PQ57<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       1786 | PA      | $1824.72       | 0.00%             | 2040-03-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140XFE56<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   14871895 | PA      | $13360534.37   | 0.06%             | 2036-12-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31410KJ96<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       4766 | PA      | $4954.44       | 0.00%             | 2038-06-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3128MFSF6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    5960438 | PA      | $5724668.25    | 0.02%             | 2030-01-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae II Pool                               | CUSIP: 36179SGN1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     238579 | PA      | $239007.09     | 0.00%             | 2046-07-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140HDZP2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1278336 | PA      | $1209132.98    | 0.01%             | 2048-03-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 312936RE9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       3627 | PA      | $3629.25       | 0.00%             | 2039-10-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 36212NAM9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       2389 | PA      | $2484.23       | 0.00%             | 2032-02-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae II Pool                               | CUSIP: 36179U4F6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      54255 | PA      | $54849.45      | 0.00%             | 2049-10-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae II Pool                               | CUSIP: 36179TSJ5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    2246870 | PA      | $2227592.75    | 0.01%             | 2048-02-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140H6BQ1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    2077098 | PA      | $1935720.20    | 0.01%             | 2048-01-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 31307LKQ0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      14835 | PA      | $14520.23      | 0.00%             | 2030-01-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3133KNNQ2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    9967028 | PA      | $9148232.16    | 0.04%             | 2052-02-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140FBLD0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     412589 | PA      | $396902.12     | 0.00%             | 2046-08-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31419BCJ2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     481596 | PA      | $492030.16     | 0.00%             | 2041-02-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140KK7D0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     686256 | PA      | $635145.43     | 0.00%             | 2035-08-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3132J9P69<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     767971 | PA      | $702117.35     | 0.00%             | 2043-05-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138WHUV2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     637307 | PA      | $613075.34     | 0.00%             | 2046-08-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31416MYM0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      36424 | PA      | $35981.75      | 0.00%             | 2024-04-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae II Pool                               | CUSIP: 36179RTC3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       5087 | PA      | $5228.49       | 0.00%             | 2045-11-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3128MJYS3<br>LEI: 254900HROIFWPRGM1V77 | Long             | ABS-MBS          | USGSE             | US        |     152861 | PA      | $151548.93     | 0.00%             | 2046-08-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140K5UL9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     335652 | PA      | $323713.87     | 0.00%             | 2049-12-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 36176XFP9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      16928 | PA      | $16091.50      | 0.00%             | 2042-03-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3131XCN86<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      51510 | PA      | $49099.22      | 0.00%             | 2032-01-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31415WZ55<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       2273 | PA      | $2397.02       | 0.00%             | 2038-10-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31418BSV9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     345296 | PA      | $330563.68     | 0.00%             | 2030-07-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3132M6VL1<br>LEI: 254900HROIFWPRGM1V77 | Long             | ABS-MBS          | USGSE             | US        |     296320 | PA      | $287458.67     | 0.00%             | 2044-05-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3128K7M54<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       5609 | PA      | $6012.51       | 0.00%             | 2035-08-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31412M3T3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      63247 | PA      | $62944.48      | 0.00%             | 2023-07-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3132QQ4P4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       7808 | PA      | $7554.85       | 0.00%             | 2045-07-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138AD2W4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      52761 | PA      | $52745.99      | 0.00%             | 2041-06-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3128MMR62<br>LEI: 254900HROIFWPRGM1V77 | Long             | ABS-MBS          | USGSE             | US        |       2858 | PA      | $2747.05       | 0.00%             | 2029-04-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3128PSSZ1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |        916 | PA      | $894.19        | 0.00%             | 2025-10-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 312939J77<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       9047 | PA      | $9052.34       | 0.00%             | 2040-02-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31418D4W9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    2414519 | PA      | $1877823.09    | 0.01%             | 2051-10-01      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3128MJTA8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     678424 | PA      | $619967.55     | 0.00%             | 2043-09-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138YSXF8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       4908 | PA      | $4581.25       | 0.00%             | 2045-06-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31402DP46<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        673 | PA      | $693.67        | 0.00%             | 2034-10-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138EMDE8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       1059 | PA      | $1052.82       | 0.00%             | 2025-09-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 3620ASGY9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       9123 | PA      | $8941.73       | 0.00%             | 2041-05-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31417LYR0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     151564 | PA      | $147626.70     | 0.00%             | 2039-08-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3133B5NU2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   16823644 | PA      | $13824701.56   | 0.06%             | 2052-03-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140F8BU0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       8604 | PA      | $8276.57       | 0.00%             | 2046-06-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 36225BFR4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        827 | PA      | $864.03        | 0.00%             | 2029-08-15      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3128M7B88<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       1159 | PA      | $1205.87       | 0.00%             | 2039-02-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 31294EBE8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |        619 | PA      | $661.98        | 0.00%             | 2030-03-01      | Fixed         | 8.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 36295TVP6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       4044 | PA      | $4258.70       | 0.00%             | 2038-01-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3128M7TS5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      29140 | PA      | $29784.05      | 0.00%             | 2039-09-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3132WLUJ3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    1433080 | PA      | $1452443.75    | 0.01%             | 2047-03-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138ESDA3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     123643 | PA      | $117855.23     | 0.00%             | 2032-04-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31418WG20<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       3570 | PA      | $3647.54       | 0.00%             | 2040-07-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31383BG43<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       3596 | PA      | $3670.13       | 0.00%             | 2029-08-01      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31417GQP4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     203155 | PA      | $185469.35     | 0.00%             | 2043-05-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31414FYJ4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       1428 | PA      | $1524.94       | 0.00%             | 2038-09-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138XP3D3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      61897 | PA      | $63104.26      | 0.00%             | 2044-03-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140GYKB4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     255477 | PA      | $248476.37     | 0.00%             | 2048-02-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 36225B3L0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      26798 | PA      | $27319.06      | 0.00%             | 2034-02-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140M9YR2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    2530733 | PA      | $2083934.11    | 0.01%             | 2051-12-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31412XFM1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        414 | PA      | $430.52        | 0.00%             | 2037-06-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31406E6J8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        971 | PA      | $986.25        | 0.00%             | 2035-08-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140J8G98<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1293404 | PA      | $1219648.50    | 0.01%             | 2045-02-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3132M5VM1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      13537 | PA      | $13510.28      | 0.00%             | 2044-03-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3128MJ4R8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    1330025 | PA      | $1279863.27    | 0.01%             | 2048-08-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140FTZ38<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     743041 | PA      | $692586.51     | 0.00%             | 2047-02-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138WRY46<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      97475 | PA      | $88989.11      | 0.00%             | 2043-06-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138W0FG9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     112810 | PA      | $106770.79     | 0.00%             | 2043-06-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 36213CWR7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       4456 | PA      | $4567.19       | 0.00%             | 2035-09-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31417KYD3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      14411 | PA      | $14405.16      | 0.00%             | 2039-08-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31416LYV2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      89842 | PA      | $88802.21      | 0.00%             | 2024-03-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138WFXW1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      25135 | PA      | $24062.76      | 0.00%             | 2030-10-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140QF4K2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   37226177 | PA      | $31839655.61   | 0.14%             | 2050-12-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140F0B60<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      31417 | PA      | $29283.26      | 0.00%             | 2046-11-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140JQD34<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     183983 | PA      | $181602.72     | 0.00%             | 2049-04-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 312941NS2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      24157 | PA      | $24707.49      | 0.00%             | 2040-07-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31419LZY2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      10508 | PA      | $10228.77      | 0.00%             | 2040-12-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 312929L59<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       1104 | PA      | $1148.96       | 0.00%             | 2038-11-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31412SFG5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       2712 | PA      | $2860.93       | 0.00%             | 2037-11-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 31287VUX6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       1613 | PA      | $1680.37       | 0.00%             | 2032-08-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31418CND2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   17734290 | PA      | $16527204.81   | 0.07%             | 2047-08-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138Y9RG5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       7458 | PA      | $6799.92       | 0.00%             | 2045-01-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140JVPW6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    4279368 | PA      | $3860800.68    | 0.02%             | 2049-08-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140J6DR5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      86436 | PA      | $83844.55      | 0.00%             | 2045-11-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140HGZY6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     445697 | PA      | $452552.71     | 0.00%             | 2048-04-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3133KHW85<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    4566392 | PA      | $4209153.27    | 0.02%             | 2050-04-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138YDUZ0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     446657 | PA      | $427600.01     | 0.00%             | 2030-03-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140X9PV1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   14362772 | PA      | $11805646.64   | 0.05%             | 2051-02-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3128M9XS6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      10513 | PA      | $10936.99      | 0.00%             | 2041-06-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 36290TZP7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      13393 | PA      | $14088.36      | 0.00%             | 2037-01-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140E2FS5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     471263 | PA      | $459417.69     | 0.00%             | 2045-09-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140JH6H1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     568836 | PA      | $578720.98     | 0.00%             | 2049-01-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 36295YVQ3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       2569 | PA      | $2666.28       | 0.00%             | 2038-03-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 31329NJ66<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     437543 | PA      | $399885.13     | 0.00%             | 2046-12-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140J7VU6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     330330 | PA      | $313059.11     | 0.00%             | 2047-12-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31371NMH5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        294 | PA      | $314.98        | 0.00%             | 2037-11-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 36294T4P7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       2628 | PA      | $2793.82       | 0.00%             | 2036-11-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140HL3F1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      91903 | PA      | $92663.20      | 0.00%             | 2048-06-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3132Y3NK6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     416594 | PA      | $373245.89     | 0.00%             | 2048-10-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3132DNE58<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   14691564 | PA      | $12573352.05   | 0.05%             | 2052-02-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 312941J99<br>LEI: 254900HROIFWPRGM1V77 | Long             | ABS-MBS          | USGSE             | US        |      81768 | PA      | $83630.95      | 0.00%             | 2040-07-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 36203MAB6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |         23 | PA      | $23.12         | 0.00%             | 2024-04-15      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 36186SLE6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      13603 | PA      | $13229.09      | 0.00%             | 2045-06-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 31329JFG7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     850850 | PA      | $828251.73     | 0.00%             | 2040-09-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3132XCR98<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    5545253 | PA      | $5394115.35    | 0.02%             | 2048-06-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 36203EGE2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |          6 | PA      | $5.66          | 0.00%             | 2023-10-15      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140XDLB0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   31546704 | PA      | $28354250.98   | 0.12%             | 2036-11-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 36294W3E6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      16744 | PA      | $17772.94      | 0.00%             | 2037-05-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3132A5FP5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     329808 | PA      | $288193.63     | 0.00%             | 2046-06-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3132L9KW4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    1529373 | PA      | $1472039.31    | 0.01%             | 2048-01-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 36241LAR7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    2269673 | PA      | $2339256.17    | 0.01%             | 2039-07-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140E2GG0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      10341 | PA      | $9900.11       | 0.00%             | 2030-10-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 31334WP47<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     293628 | PA      | $283587.47     | 0.00%             | 2049-02-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31403RR26<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       1456 | PA      | $1501.32       | 0.00%             | 2034-03-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31418U4L5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      24927 | PA      | $24919.93      | 0.00%             | 2040-07-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 36295RRC4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       1714 | PA      | $1823.94       | 0.00%             | 2038-12-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3133AFQA2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   42710220 | PA      | $35200301.33   | 0.15%             | 2051-02-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138YS6K7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     564543 | PA      | $545697.03     | 0.00%             | 2045-07-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31419A4G9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      13175 | PA      | $13171.21      | 0.00%             | 2041-02-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3128PRJW0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       1353 | PA      | $1336.35       | 0.00%             | 2025-04-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31413Y6V8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      12968 | PA      | $13678.32      | 0.00%             | 2037-11-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140J9VB4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1688022 | PA      | $1609004.80    | 0.01%             | 2032-12-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3133KJLB6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   18944312 | PA      | $16207103.86   | 0.07%             | 2050-06-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 31307TFZ9<br>LEI: 254900HROIFWPRGM1V77 | Long             | ABS-MBS          | USGSE             | US        |     803207 | PA      | $765529.32     | 0.00%             | 2032-03-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31407XA92<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       5833 | PA      | $5909.59       | 0.00%             | 2033-08-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 36241KYZ5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     703699 | PA      | $724645.45     | 0.00%             | 2039-01-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3128M7S64<br>LEI: 254900HROIFWPRGM1V77 | Long             | ABS-MBS          | USGSE             | US        |       3606 | PA      | $3608.15       | 0.00%             | 2039-09-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 36178MRR4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     551098 | PA      | $523878.17     | 0.00%             | 2042-09-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31374TXD6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        417 | PA      | $437.42        | 0.00%             | 2029-08-01      | Fixed         | 8.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 3622AAQ23<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      79891 | PA      | $77575.98      | 0.00%             | 2049-09-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3132A4F94<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     291119 | PA      | $257862.45     | 0.00%             | 2043-07-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140QCT55<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     800536 | PA      | $757778.94     | 0.00%             | 2035-01-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138Y4ZD4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     503369 | PA      | $474021.62     | 0.00%             | 2044-09-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 36181BKX7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      11754 | PA      | $10793.80      | 0.00%             | 2043-06-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31418VZW5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        730 | PA      | $730.06        | 0.00%             | 2040-07-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140XFQF1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    8850347 | PA      | $8386563.85    | 0.04%             | 2035-02-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 31292GTT3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |        272 | PA      | $280.23        | 0.00%             | 2027-11-01      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 31297SDL6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       5203 | PA      | $5288.23       | 0.00%             | 2035-08-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae II Pool                               | CUSIP: 36179UGF3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     659468 | PA      | $676817.58     | 0.00%             | 2048-11-20      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3132ADVF2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    1255008 | PA      | $1224961.23    | 0.01%             | 2045-02-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140K8DM0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1608856 | PA      | $1434961.65    | 0.01%             | 2050-07-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3128MJW71<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    2311253 | PA      | $2236257.24    | 0.01%             | 2045-09-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31415LJ57<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       3979 | PA      | $4135.89       | 0.00%             | 2038-05-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140FUGF9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     540045 | PA      | $525048.09     | 0.00%             | 2032-04-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3132XUXT7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    2566511 | PA      | $2470297.29    | 0.01%             | 2047-12-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31418CWZ3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1594201 | PA      | $1515804.78    | 0.01%             | 2033-05-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140FCXC7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      26819 | PA      | $23443.70      | 0.00%             | 2046-08-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 36200EZW4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       1259 | PA      | $1290.56       | 0.00%             | 2033-01-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138E4US8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     103582 | PA      | $97662.46      | 0.00%             | 2042-01-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140K1EN2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1120986 | PA      | $1039376.83    | 0.00%             | 2034-09-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3133APKX6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    1087295 | PA      | $932101.93     | 0.00%             | 2051-08-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3133KLG35<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   12760868 | PA      | $10527354.87   | 0.04%             | 2051-03-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3128K7MY1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      11360 | PA      | $11344.35      | 0.00%             | 2035-08-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3133KMBD6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   63987120 | PA      | $52634962.06   | 0.22%             | 2051-06-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31413FAJ1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        544 | PA      | $577.14        | 0.00%             | 2037-06-01      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138WGHR8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    4963816 | PA      | $4693660.50    | 0.02%             | 2046-01-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae II Pool                               | CUSIP: 36179UH54<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    6091353 | PA      | $6036726.26    | 0.03%             | 2048-12-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae II Pool                               | CUSIP: 36179TEY7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    1184895 | PA      | $1087415.73    | 0.00%             | 2047-08-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140K3F80<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    5566882 | PA      | $4924581.10    | 0.02%             | 2050-03-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3132D6BQ2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     473278 | PA      | $413734.87     | 0.00%             | 2037-04-01      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140HJDU2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     677174 | PA      | $672956.67     | 0.00%             | 2049-01-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae II Pool                               | CUSIP: 36180DLE5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    1024053 | PA      | $973752.78     | 0.00%             | 2043-01-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138A8Q82<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       8322 | PA      | $7846.45       | 0.00%             | 2041-03-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31418EBD1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   96337540 | PA      | $84292358.80   | 0.36%             | 2037-02-01      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31410GEK5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       9471 | PA      | $9823.30       | 0.00%             | 2037-01-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae II Pool                               | CUSIP: 36179VSJ0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     608765 | PA      | $570540.09     | 0.00%             | 2050-08-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3132WDCM4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     246792 | PA      | $223250.40     | 0.00%             | 2046-04-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3128MJAL4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       1437 | PA      | $1483.73       | 0.00%             | 2034-09-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 31307JUD3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     444146 | PA      | $434715.54     | 0.00%             | 2029-10-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 31292L5F8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     341089 | PA      | $311838.41     | 0.00%             | 2043-01-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 31335BKV7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     373638 | PA      | $354448.88     | 0.00%             | 2047-12-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 36210UXD0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        299 | PA      | $300.86        | 0.00%             | 2029-04-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3132QWMN6<br>LEI: 254900HROIFWPRGM1V77 | Long             | ABS-MBS          | USGSE             | US        |    2658773 | PA      | $2480752.75    | 0.01%             | 2046-03-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31402YGE8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        691 | PA      | $699.68        | 0.00%             | 2033-10-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31409YA64<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       4154 | PA      | $4315.20       | 0.00%             | 2036-07-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 36206PRN2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |         27 | PA      | $27.08         | 0.00%             | 2026-03-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31411BGA5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       2123 | PA      | $2274.73       | 0.00%             | 2036-12-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae II Pool                               | CUSIP: 3617J3UG4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    1182890 | PA      | $1195676.92    | 0.01%             | 2048-11-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae II Pool                               | CUSIP: 36202F2N5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      92707 | PA      | $93446.65      | 0.00%             | 2042-01-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138YFLS1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     213699 | PA      | $204581.08     | 0.00%             | 2030-03-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3132ADKQ0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     862628 | PA      | $825831.97     | 0.00%             | 2031-06-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31380Q5K9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        139 | PA      | $144.25        | 0.00%             | 2028-11-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138WKL52<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     486142 | PA      | $460725.35     | 0.00%             | 2047-03-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 31334YPW1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   28341933 | PA      | $25631394.23   | 0.11%             | 2046-07-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140HLWN2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     526599 | PA      | $543937.39     | 0.00%             | 2049-02-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3128M9XA5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      10948 | PA      | $11366.85      | 0.00%             | 2040-05-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3132A8QM4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      47558 | PA      | $45331.87      | 0.00%             | 2032-02-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae II Pool                               | CUSIP: 36202ETZ2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      11889 | PA      | $12202.52      | 0.00%             | 2038-06-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 36210AZJ9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        132 | PA      | $136.98        | 0.00%             | 2029-01-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 312933WP5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       5253 | PA      | $5121.27       | 0.00%             | 2039-06-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3128LXCA6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       2101 | PA      | $2130.50       | 0.00%             | 2033-09-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140J8MQ3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     416876 | PA      | $403320.94     | 0.00%             | 2048-03-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140JLWL4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     719554 | PA      | $711061.33     | 0.00%             | 2049-03-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31418M4Q2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    2556251 | PA      | $2691642.50    | 0.01%             | 2039-06-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31417JSM3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       1336 | PA      | $1321.72       | 0.00%             | 2024-07-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31404R4E4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      10560 | PA      | $10891.09      | 0.00%             | 2034-05-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3133B4M93<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    8219450 | PA      | $7040440.47    | 0.03%             | 2052-02-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31418CCA0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     107011 | PA      | $93544.34      | 0.00%             | 2046-09-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138XTDC6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      26409 | PA      | $25777.85      | 0.00%             | 2044-05-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 36208PY77<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        550 | PA      | $557.79        | 0.00%             | 2029-03-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 312938U76<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      36180 | PA      | $36979.68      | 0.00%             | 2040-01-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 31296LZK0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       8477 | PA      | $8597.20       | 0.00%             | 2033-08-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 36180BZL8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      27086 | PA      | $24873.60      | 0.00%             | 2043-05-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 31329JPQ4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     152381 | PA      | $143689.24     | 0.00%             | 2042-06-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140J9YJ4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     952013 | PA      | $940776.61     | 0.00%             | 2048-12-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31417SAA8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      33751 | PA      | $33737.66      | 0.00%             | 2039-10-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3132HNH51<br>LEI: 254900HROIFWPRGM1V77 | Long             | ABS-MBS          | USGSE             | US        |      47733 | PA      | $45053.85      | 0.00%             | 2042-10-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140XGKE8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   18970366 | PA      | $15641775.12   | 0.07%             | 2052-01-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138YEJM0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    3188917 | PA      | $3021808.59    | 0.01%             | 2030-06-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138A72W7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     489814 | PA      | $476799.81     | 0.00%             | 2041-02-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140LUV32<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    4870752 | PA      | $4158088.95    | 0.02%             | 2051-11-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140JYRR9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     499646 | PA      | $472960.13     | 0.00%             | 2034-11-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140K3U75<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     565480 | PA      | $563831.46     | 0.00%             | 2050-02-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31412V5H7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      13936 | PA      | $14699.89      | 0.00%             | 2037-04-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3133BBSW0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    6040529 | PA      | $5343820.10    | 0.02%             | 2052-05-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae II Pool                               | CUSIP: 3622A26R8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    2027178 | PA      | $1909837.10    | 0.01%             | 2048-04-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 3620A4GA4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      53159 | PA      | $55147.81      | 0.00%             | 2039-08-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140N16U2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    3992989 | PA      | $3972367.25    | 0.02%             | 2052-10-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140KT7D1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1573630 | PA      | $1392066.14    | 0.01%             | 2050-12-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140FP4X4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      49836 | PA      | $46451.85      | 0.00%             | 2046-10-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138A7QU5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     199339 | PA      | $203657.88     | 0.00%             | 2041-01-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3128MMQU0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       9955 | PA      | $9421.56       | 0.00%             | 2028-05-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 312946PD2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       5331 | PA      | $5334.39       | 0.00%             | 2041-03-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae II Pool                               | CUSIP: 3617HFAT3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     243934 | PA      | $246571.03     | 0.00%             | 2048-09-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140GQ3F1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1586955 | PA      | $1525999.19    | 0.01%             | 2047-08-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 36206AH30<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |         22 | PA      | $22.04         | 0.00%             | 2024-11-15      | Fixed         | 9.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138WCAQ6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      22307 | PA      | $21618.71      | 0.00%             | 2044-06-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3128M7XY7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     128394 | PA      | $128466.53     | 0.00%             | 2040-02-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140QMDZ4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  207883128 | PA      | $184529044.50  | 0.79%             | 2051-10-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 31329PZK2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   20766895 | PA      | $20521823.19   | 0.09%             | 2048-12-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae II Pool                               | CUSIP: 36179U6Y3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     427545 | PA      | $432235.66     | 0.00%             | 2049-11-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3128MBXB8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |        133 | PA      | $132.63        | 0.00%             | 2023-06-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 31293CQ72<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |        106 | PA      | $110.13        | 0.00%             | 2028-10-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 36225AH29<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |         83 | PA      | $84.34         | 0.00%             | 2025-09-15      | Fixed         | 8.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31418A6X1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     362345 | PA      | $341546.84     | 0.00%             | 2044-02-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3132VMYB5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     565452 | PA      | $560385.04     | 0.00%             | 2049-02-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31417KWQ6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      22547 | PA      | $22537.51      | 0.00%             | 2039-10-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140JKTT3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     327188 | PA      | $331271.80     | 0.00%             | 2049-01-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138A8GJ9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      22836 | PA      | $22244.24      | 0.00%             | 2026-03-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 36204DNZ8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        149 | PA      | $149.29        | 0.00%             | 2024-06-15      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3132M6PC8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     125303 | PA      | $125053.35     | 0.00%             | 2044-05-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 31335A5Y0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    1253164 | PA      | $1144288.73    | 0.00%             | 2047-02-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31371EZG3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |         31 | PA      | $30.90         | 0.00%             | 2024-09-01      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140MCA75<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   63409380 | PA      | $52106736.36   | 0.22%             | 2052-02-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3133KNEE9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    1448220 | PA      | $1236299.44    | 0.01%             | 2051-12-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140J5XZ7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1620720 | PA      | $1554427.85    | 0.01%             | 2031-03-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 31292UX34<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |        120 | PA      | $123.37        | 0.00%             | 2028-06-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31390J3M1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        181 | PA      | $188.02        | 0.00%             | 2032-06-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 31292G6K7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       1048 | PA      | $1103.15       | 0.00%             | 2029-10-01      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140EUKN8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    5522069 | PA      | $5147104.17    | 0.02%             | 2046-03-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3128MMW74<br>LEI: 254900HROIFWPRGM1V77 | Long             | ABS-MBS          | USGSE             | US        |     396625 | PA      | $373374.06     | 0.00%             | 2032-12-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138WAJB4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     470280 | PA      | $456046.53     | 0.00%             | 2028-11-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 31298DQR1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |        939 | PA      | $971.94        | 0.00%             | 2030-11-01      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae II Pool                               | CUSIP: 36195LPZ9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    1090835 | PA      | $1000917.80    | 0.00%             | 2046-11-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31375VW66<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        446 | PA      | $448.10        | 0.00%             | 2026-05-01      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 36292LFA7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       8497 | PA      | $9011.04       | 0.00%             | 2036-06-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140FCY28<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     419108 | PA      | $405376.04     | 0.00%             | 2046-08-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3132GTPY7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      59348 | PA      | $56076.85      | 0.00%             | 2042-05-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31410TWW1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       9627 | PA      | $10151.62      | 0.00%             | 2036-10-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 36290SFJ5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       1763 | PA      | $1732.10       | 0.00%             | 2033-08-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 31292HAK0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |         92 | PA      | $98.31         | 0.00%             | 2030-01-01      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138WF4W3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      62587 | PA      | $62129.34      | 0.00%             | 2045-11-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138LUQ24<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    2133376 | PA      | $2047034.15    | 0.01%             | 2027-05-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3128M4L76<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      21282 | PA      | $22432.62      | 0.00%             | 2035-08-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140K7W33<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1020977 | PA      | $985908.93     | 0.00%             | 2035-03-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 36201PMW2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       4441 | PA      | $4591.16       | 0.00%             | 2032-08-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140KAJZ0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     963027 | PA      | $918273.03     | 0.00%             | 2050-04-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140FVHZ2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      72194 | PA      | $71442.20      | 0.00%             | 2047-03-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138AWGX5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      13211 | PA      | $13207.25      | 0.00%             | 2041-11-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3132QPBX1<br>LEI: 254900HROIFWPRGM1V77 | Long             | ABS-MBS          | USGSE             | US        |     138938 | PA      | $126773.70     | 0.00%             | 2045-03-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3132ACSX9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     517627 | PA      | $487221.95     | 0.00%             | 2047-12-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 36209FTR0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      66532 | PA      | $65212.49      | 0.00%             | 2041-09-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31418MUD2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      32032 | PA      | $33299.32      | 0.00%             | 2039-12-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3128L0P71<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       1451 | PA      | $1509.52       | 0.00%             | 2037-11-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 36201GAH8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       3258 | PA      | $3381.19       | 0.00%             | 2032-10-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138EQ7A4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1096071 | PA      | $1067191.26    | 0.00%             | 2046-02-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3132QR5C0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    2266169 | PA      | $2051430.63    | 0.01%             | 2045-07-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140XBPK0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      85436 | PA      | $78983.57      | 0.00%             | 2036-05-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3128M9TA0<br>LEI: 254900HROIFWPRGM1V77 | Long             | ABS-MBS          | USGSE             | US        |    1190848 | PA      | $1055966.22    | 0.00%             | 2043-07-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138YF7J7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     623716 | PA      | $599017.07     | 0.00%             | 2030-02-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138YMZE2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     353675 | PA      | $338585.23     | 0.00%             | 2030-04-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138EQF23<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     382312 | PA      | $381179.23     | 0.00%             | 2045-09-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3131XVQ73<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     245838 | PA      | $225956.82     | 0.00%             | 2046-12-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31418MC26<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      36055 | PA      | $35948.84      | 0.00%             | 2035-12-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae II Pool                               | CUSIP: 36179TEZ4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    8069752 | PA      | $7622976.29    | 0.03%             | 2047-08-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 31297FXH1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       4724 | PA      | $4876.90       | 0.00%             | 2034-10-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3128FPET7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |         53 | PA      | $53.13         | 0.00%             | 2027-05-01      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138XJ5T0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      27757 | PA      | $26901.62      | 0.00%             | 2044-04-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138Y2BA0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       6686 | PA      | $6421.34       | 0.00%             | 2029-08-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140FN5P5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1669227 | PA      | $1622184.26    | 0.01%             | 2047-11-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138YTWA8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     882820 | PA      | $836557.76     | 0.00%             | 2030-06-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140KPBP7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    4532275 | PA      | $4072081.64    | 0.02%             | 2035-10-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3133G7BP7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     763595 | PA      | $722833.97     | 0.00%             | 2034-11-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31419HEL2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     128103 | PA      | $130878.82     | 0.00%             | 2040-10-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 36193M3G5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      99082 | PA      | $96326.12      | 0.00%             | 2046-10-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 31293EK82<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       1746 | PA      | $1776.04       | 0.00%             | 2028-12-01      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31406WVS0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      17046 | PA      | $17680.08      | 0.00%             | 2035-06-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31411NLG0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       6402 | PA      | $6858.39       | 0.00%             | 2037-02-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138WZSY9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       6239 | PA      | $5983.55       | 0.00%             | 2028-08-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138A8KF2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       4289 | PA      | $4178.13       | 0.00%             | 2026-02-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3132QLL84<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    5114500 | PA      | $4800772.23    | 0.02%             | 2044-12-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31418MT51<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       8540 | PA      | $8877.91       | 0.00%             | 2039-12-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 36296BB76<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      32453 | PA      | $33553.45      | 0.00%             | 2038-06-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31408BQ27<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       1775 | PA      | $1801.52       | 0.00%             | 2035-12-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140FPDG1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     575836 | PA      | $553718.32     | 0.00%             | 2047-06-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31415AWP2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        150 | PA      | $149.05        | 0.00%             | 2023-04-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140FG7K9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     290556 | PA      | $275485.59     | 0.00%             | 2046-11-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138EGCB8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      68049 | PA      | $68028.95      | 0.00%             | 2041-04-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140J9SF9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     330669 | PA      | $317574.11     | 0.00%             | 2030-03-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3132WHEG6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     292127 | PA      | $264260.73     | 0.00%             | 2046-10-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31412TYJ6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       1897 | PA      | $1972.06       | 0.00%             | 2038-11-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae II Pool                               | CUSIP: 36179QBF7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     242977 | PA      | $230704.12     | 0.00%             | 2044-04-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 36203GQW6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |         30 | PA      | $29.66         | 0.00%             | 2023-07-15      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3131Y9DW0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    2782328 | PA      | $2806621.74    | 0.01%             | 2049-01-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3132AAQZ0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |        836 | PA      | $811.69        | 0.00%             | 2044-02-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138EP3A0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     421778 | PA      | $385989.22     | 0.00%             | 2045-07-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 36211BVJ0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        948 | PA      | $982.52        | 0.00%             | 2030-02-15      | Fixed         | 8.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140EVU96<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      56104 | PA      | $55567.51      | 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        |    2230310 | PA      | $2107327.82    | 0.01%             | 2047-01-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 312929W57<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       7322 | PA      | $7617.90       | 0.00%             | 2038-12-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31408YSV1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       1682 | PA      | $1707.40       | 0.00%             | 2035-12-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 31288DVS5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       3063 | PA      | $3206.23       | 0.00%             | 2032-12-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31418CBF0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    3459814 | PA      | $3126591.89    | 0.01%             | 2046-09-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138WJN38<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    2814300 | PA      | $2576946.73    | 0.01%             | 2046-12-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140KVF47<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1262217 | PA      | $1133754.79    | 0.00%             | 2035-12-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140X7RL5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    5574691 | PA      | $5159502.64    | 0.02%             | 2035-08-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138EHGR7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      45957 | PA      | $45943.79      | 0.00%             | 2041-11-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140HNU42<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     291663 | PA      | $280377.19     | 0.00%             | 2048-07-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140E2RV5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     271781 | PA      | $257538.98     | 0.00%             | 2030-09-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140X5XU2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     957171 | PA      | $846715.02     | 0.00%             | 2050-02-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3128MJYH7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     519774 | PA      | $484972.44     | 0.00%             | 2046-06-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 36241KU63<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       6530 | PA      | $6813.84       | 0.00%             | 2038-09-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 3622A25T5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   18431291 | PA      | $17315339.27   | 0.07%             | 2047-12-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3132VNSK0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     524323 | PA      | $522041.00     | 0.00%             | 2049-03-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31407JEZ1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      17719 | PA      | $18684.87      | 0.00%             | 2036-11-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 31292HAV6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |         92 | PA      | $95.49         | 0.00%             | 2030-02-01      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31418DAY8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     121382 | PA      | $124505.17     | 0.00%             | 2049-03-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3133L7GW1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      50090 | PA      | $47415.95      | 0.00%             | 2034-10-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3131XJYN6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      44659 | PA      | $42111.80      | 0.00%             | 2042-08-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31384WNM8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        288 | PA      | $307.87        | 0.00%             | 2031-06-01      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 31306YSC6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |         28 | PA      | $28.42         | 0.00%             | 2022-12-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140E8ZG6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     761240 | PA      | $742105.72     | 0.00%             | 2045-10-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 36178QY55<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     501163 | PA      | $476409.60     | 0.00%             | 2042-10-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138NXJW8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     310050 | PA      | $292369.53     | 0.00%             | 2043-01-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31411EC39<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        140 | PA      | $150.09        | 0.00%             | 2036-12-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3129312U1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |        477 | PA      | $477.65        | 0.00%             | 2039-04-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3133KMZD0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   43239647 | PA      | $35617777.42   | 0.15%             | 2051-10-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140JN3Y4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1742248 | PA      | $1697489.71    | 0.01%             | 2049-03-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 36207E6E9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        197 | PA      | $197.78        | 0.00%             | 2027-10-15      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae II Pool                               | CUSIP: 36179SUZ8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      20180 | PA      | $20999.91      | 0.00%             | 2047-01-20      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138WHVK5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     156650 | PA      | $136936.99     | 0.00%             | 2046-08-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31373USA6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |         61 | PA      | $62.38         | 0.00%             | 2026-05-01      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 3620C6GA7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       5966 | PA      | $5848.41       | 0.00%             | 2040-09-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3128PRNZ8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       2670 | PA      | $2625.09       | 0.00%             | 2025-05-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 31335BM78<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    2584995 | PA      | $2350234.44    | 0.01%             | 2048-01-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3128K0SZ7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       1309 | PA      | $1330.10       | 0.00%             | 2035-12-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140H6FR5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     325532 | PA      | $315287.95     | 0.00%             | 2048-01-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3133AEBL7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    5059651 | PA      | $4158825.45    | 0.02%             | 2051-01-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 36291LMJ1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        692 | PA      | $709.52        | 0.00%             | 2035-10-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140XDUD6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     461978 | PA      | $381515.30     | 0.00%             | 2051-07-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31418MUM2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      49427 | PA      | $49407.45      | 0.00%             | 2039-12-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140KPKK8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     664357 | PA      | $614877.19     | 0.00%             | 2035-09-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140F3PT9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      40509 | PA      | $37758.74      | 0.00%             | 2046-06-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138WBW50<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      13202 | PA      | $12679.54      | 0.00%             | 2029-05-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae II Pool                               | CUSIP: 36179TAM7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     791771 | PA      | $786113.08     | 0.00%             | 2047-06-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31413DFE2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        452 | PA      | $477.00        | 0.00%             | 2037-07-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 36201CJX3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       4478 | PA      | $4709.49       | 0.00%             | 2031-12-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3132WHVR3<br>LEI: 254900HROIFWPRGM1V77 | Long             | ABS-MBS          | USGSE             | US        |     322906 | PA      | $301285.21     | 0.00%             | 2046-11-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140HBFK9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       3947 | PA      | $3794.69       | 0.00%             | 2048-05-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138WDKU4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      17662 | PA      | $17117.37      | 0.00%             | 2044-11-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 36213EVE3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        113 | PA      | $116.21        | 0.00%             | 2032-02-15      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3128K96B5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      10097 | PA      | $10502.11      | 0.00%             | 2036-05-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31417TYP7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       3948 | PA      | $4030.85       | 0.00%             | 2039-12-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140EUKQ1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     114269 | PA      | $114689.49     | 0.00%             | 2046-03-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3128M5NM8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       2338 | PA      | $2432.01       | 0.00%             | 2038-01-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140KLHV7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1175009 | PA      | $1088307.99    | 0.00%             | 2035-10-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138WEPW3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1314882 | PA      | $1245978.18    | 0.01%             | 2030-05-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138E8PJ5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     815379 | PA      | $768777.72     | 0.00%             | 2042-02-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 31297BA77<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       2252 | PA      | $2284.96       | 0.00%             | 2034-06-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31417JQG8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        672 | PA      | $661.67        | 0.00%             | 2024-11-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31406VME3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        866 | PA      | $898.06        | 0.00%             | 2035-05-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 36290UQG4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       3843 | PA      | $3856.60       | 0.00%             | 2040-05-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138YHWU0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     305580 | PA      | $276345.16     | 0.00%             | 2045-05-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31385WW88<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        320 | PA      | $331.86        | 0.00%             | 2032-11-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 31307DDY9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      28763 | PA      | $27612.42      | 0.00%             | 2028-06-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 36213RXN2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       3126 | PA      | $3297.98       | 0.00%             | 2034-08-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138EG2B9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      37591 | PA      | $37579.82      | 0.00%             | 2041-06-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae II Pool                               | CUSIP: 36179VKL3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     951534 | PA      | $866221.33     | 0.00%             | 2050-04-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140X7U72<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    7300094 | PA      | $6503490.34    | 0.03%             | 2050-08-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3132A5GE9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   11013117 | PA      | $9952456.82    | 0.04%             | 2047-01-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31371LZU6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      27993 | PA      | $29475.48      | 0.00%             | 2035-01-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 31307CLA4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      14107 | PA      | $13542.89      | 0.00%             | 2028-05-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae II Pool                               | CUSIP: 36183FLQ0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    1173544 | PA      | $1114266.98    | 0.00%             | 2044-10-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 31293TFQ5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |        118 | PA      | $122.92        | 0.00%             | 2029-07-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 31287NET1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |         83 | PA      | $86.32         | 0.00%             | 2032-01-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3128ME3Y5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      43032 | PA      | $41058.20      | 0.00%             | 2032-01-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31413EX91<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        911 | PA      | $946.51        | 0.00%             | 2037-08-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31412TSQ7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       3777 | PA      | $3984.11       | 0.00%             | 2038-09-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140H1WA4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     914615 | PA      | $922178.16     | 0.00%             | 2048-03-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140KEWA2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1031636 | PA      | $954802.48     | 0.00%             | 2035-05-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 36184CAQ8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       2028 | PA      | $1972.53       | 0.00%             | 2045-02-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140Q9NZ2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    3774010 | PA      | $3729467.09    | 0.02%             | 2048-08-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31383LUF0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |         35 | PA      | $36.07         | 0.00%             | 2029-07-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31417FNL8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      14713 | PA      | $14117.54      | 0.00%             | 2028-02-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140QNQG0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    4427155 | PA      | $3644857.05    | 0.02%             | 2052-03-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3132GUWB6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      26044 | PA      | $24582.81      | 0.00%             | 2042-06-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31413VTW7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        212 | PA      | $226.97        | 0.00%             | 2037-12-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3128MJEB2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       1207 | PA      | $1274.54       | 0.00%             | 2036-05-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 31335CEA8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    1362684 | PA      | $1271197.13    | 0.01%             | 2048-03-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 36206PPK0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |         92 | PA      | $93.51         | 0.00%             | 2026-01-15      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 312933AQ7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      47513 | PA      | $47539.43      | 0.00%             | 2039-05-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140J8T37<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    6041037 | PA      | $5859549.63    | 0.02%             | 2048-07-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31385XAS6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       2293 | PA      | $2398.00       | 0.00%             | 2033-05-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138EEPX1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     162083 | PA      | $152840.72     | 0.00%             | 2042-03-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138YSC46<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       5261 | PA      | $5036.21       | 0.00%             | 2030-09-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3128MJCF5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       1676 | PA      | $1768.43       | 0.00%             | 2035-07-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3128PTJX4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      14404 | PA      | $14053.11      | 0.00%             | 2026-01-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 36210GAF1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        130 | PA      | $136.23        | 0.00%             | 2029-08-15      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3128M9DZ2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      13113 | PA      | $13327.51      | 0.00%             | 2036-11-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140FQB30<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      31853 | PA      | $27844.94      | 0.00%             | 2047-01-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae II Pool                               | CUSIP: 36179SLU9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     435865 | PA      | $439015.25     | 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        |    1241427 | PA      | $1230293.87    | 0.01%             | 2048-12-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31413MA31<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |          6 | PA      | $6.57          | 0.00%             | 2037-09-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31418CRC0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     510640 | PA      | $475883.12     | 0.00%             | 2047-11-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3128MJX70<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      34351 | PA      | $31074.09      | 0.00%             | 2046-04-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138WCA94<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      46654 | PA      | $46515.97      | 0.00%             | 2044-06-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3132DMVN2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    2969668 | PA      | $2451863.30    | 0.01%             | 2051-05-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31413LNF2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        865 | PA      | $912.16        | 0.00%             | 2037-08-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31411NWR4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       1028 | PA      | $1101.37       | 0.00%             | 2037-03-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 3617LC4N5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     458351 | PA      | $416011.55     | 0.00%             | 2049-11-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140K8B42<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     740054 | PA      | $683765.25     | 0.00%             | 2050-04-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138WAE86<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      36528 | PA      | $34535.20      | 0.00%             | 2028-11-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140EVAQ0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1486302 | PA      | $1416727.80    | 0.01%             | 2031-05-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31416RZ55<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     108714 | PA      | $108623.96     | 0.00%             | 2038-04-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31377HLM2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        143 | PA      | $144.95        | 0.00%             | 2027-04-01      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140F9Y41<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      77396 | PA      | $72140.90      | 0.00%             | 2046-05-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 31297VYK8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |        732 | PA      | $743.89        | 0.00%             | 2035-11-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3131XLAC1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     827021 | PA      | $758417.79     | 0.00%             | 2042-12-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140J7R56<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1785948 | PA      | $1700546.67    | 0.01%             | 2032-12-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31375HKW3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       1521 | PA      | $1523.30       | 0.00%             | 2026-01-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140HNFJ6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1794270 | PA      | $1600723.41    | 0.01%             | 2050-11-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 31329PEZ2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     741479 | PA      | $689960.63     | 0.00%             | 2048-07-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3132JMX46<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       3992 | PA      | $3648.17       | 0.00%             | 2043-08-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3128MBV61<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |        113 | PA      | $112.59        | 0.00%             | 2023-05-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 312939NH0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       3899 | PA      | $3987.40       | 0.00%             | 2040-03-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31416RBG7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      19474 | PA      | $19466.34      | 0.00%             | 2039-06-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 31292LK95<br>LEI: 254900HROIFWPRGM1V77 | Long             | ABS-MBS          | USGSE             | US        |    1153187 | PA      | $1088469.17    | 0.00%             | 2042-05-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 31296JP59<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |        547 | PA      | $554.65        | 0.00%             | 2033-06-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 3620ASPU7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       2530 | PA      | $2480.02       | 0.00%             | 2041-07-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae II Pool                               | CUSIP: 36202FB47<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     751306 | PA      | $771728.29     | 0.00%             | 2039-10-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140GYLY3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     105743 | PA      | $98545.88      | 0.00%             | 2047-10-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31418AJJ8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     233626 | PA      | $220303.42     | 0.00%             | 2042-09-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31407NCB7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       2884 | PA      | $2927.55       | 0.00%             | 2035-09-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae II Pool                               | CUSIP: 36202EPY9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      20741 | PA      | $21965.25      | 0.00%             | 2037-10-20      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138WJYG7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      26526 | PA      | $24725.08      | 0.00%             | 2047-02-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31371EYX7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |         53 | PA      | $53.69         | 0.00%             | 2024-08-01      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3128PP6F5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       2508 | PA      | $2482.14       | 0.00%             | 2024-09-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 3620ADPA4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       6113 | PA      | $6134.60       | 0.00%             | 2039-10-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3132DNP64<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   11721913 | PA      | $10049598.20   | 0.04%             | 2051-10-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3133A3P36<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     425219 | PA      | $403429.45     | 0.00%             | 2050-03-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 36207EMK7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       4187 | PA      | $4335.99       | 0.00%             | 2033-11-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140E6NC2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      13449 | PA      | $12874.79      | 0.00%             | 2030-11-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3128MJZV5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      18519 | PA      | $16203.32      | 0.00%             | 2047-02-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 36180VUX3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     362623 | PA      | $318605.05     | 0.00%             | 2046-10-15      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140XDQC3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   89336442 | PA      | $73678920.91   | 0.31%             | 2051-11-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3133G6ZW8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    1092207 | PA      | $1033905.22    | 0.00%             | 2034-10-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| UMBS, TBA                                      | Uniform Mortgage-Backed Security, TBA            | CUSIP: 01F0126C5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   20775000 | PA      | $16182588.82   | 0.07%             | 2052-12-15      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3132ACHF0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     463466 | PA      | $418830.43     | 0.00%             | 2046-11-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 36203KK52<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |         35 | PA      | $34.99         | 0.00%             | 2024-01-15      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 31306Y3L3<br>LEI: 254900HROIFWPRGM1V77 | Long             | ABS-MBS          | USGSE             | US        |      20314 | PA      | $19720.53      | 0.00%             | 2028-01-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 36208PNX2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |         35 | PA      | $35.68         | 0.00%             | 2028-04-15      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140FRQJ7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     109919 | PA      | $108868.25     | 0.00%             | 2047-01-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae II Pool                               | CUSIP: 36179TJY2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    1073644 | PA      | $1042560.49    | 0.00%             | 2047-10-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31371HCR7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        213 | PA      | $220.84        | 0.00%             | 2028-10-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3128MDTZ6<br>LEI: 254900HROIFWPRGM1V77 | Long             | ABS-MBS          | USGSE             | US        |      35118 | PA      | $33714.05      | 0.00%             | 2028-06-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140X8C96<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    2725470 | PA      | $2427532.76    | 0.01%             | 2050-09-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae II Pool                               | CUSIP: 36179WG36<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    4552709 | PA      | $4005468.21    | 0.02%             | 2051-06-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 36205JYT6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        119 | PA      | $119.00        | 0.00%             | 2024-06-15      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3128M82F0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      20286 | PA      | $20299.78      | 0.00%             | 2041-06-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31416MYQ1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       6577 | PA      | $6406.31       | 0.00%             | 2039-04-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140FXGJ5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    5980623 | PA      | $5627762.37    | 0.02%             | 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        |      38875 | PA      | $36264.60      | 0.00%             | 2048-02-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31417DLN1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     222200 | PA      | $209529.20     | 0.00%             | 2042-10-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 36208VVN2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |         86 | PA      | $88.13         | 0.00%             | 2027-12-15      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138WDY21<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      19196 | PA      | $18435.67      | 0.00%             | 2030-01-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138ETPF7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   10053631 | PA      | $9506462.26    | 0.04%             | 2046-04-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 36189MTJ7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     170189 | PA      | $165454.70     | 0.00%             | 2046-11-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138WFBX3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     395584 | PA      | $372068.41     | 0.00%             | 2045-07-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3133L7Q59<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     677765 | PA      | $646045.09     | 0.00%             | 2031-11-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31416BL48<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       3694 | PA      | $3750.13       | 0.00%             | 2038-02-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 36200D2U6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        346 | PA      | $360.53        | 0.00%             | 2032-12-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 31292HHG2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |        123 | PA      | $127.79        | 0.00%             | 2031-01-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31371LVE6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       2457 | PA      | $2618.58       | 0.00%             | 2034-10-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138X9Y94<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     288782 | PA      | $276460.76     | 0.00%             | 2030-04-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31384WLM0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       1314 | PA      | $1358.45       | 0.00%             | 2031-05-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138WC4B6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      18585 | PA      | $18173.65      | 0.00%             | 2029-10-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138AFB58<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      18942 | PA      | $18936.03      | 0.00%             | 2041-05-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138ER2P4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    3547468 | PA      | $3546405.59    | 0.02%             | 2046-02-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3132XSJX9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     341331 | PA      | $328535.33     | 0.00%             | 2047-08-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140J6GL5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    7124679 | PA      | $6851016.37    | 0.03%             | 2047-10-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3132WJUU3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      42566 | PA      | $38505.20      | 0.00%             | 2046-12-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140XBBP4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     320308 | PA      | $316386.40     | 0.00%             | 2035-11-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3133G9H28<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    1360117 | PA      | $1221072.48    | 0.01%             | 2035-08-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140FVQT6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     378521 | PA      | $363981.85     | 0.00%             | 2047-03-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 31307WEE0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    1337803 | PA      | $1299998.86    | 0.01%             | 2033-06-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae II Pool                               | CUSIP: 36202EUT4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       9944 | PA      | $10353.62      | 0.00%             | 2038-07-20      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138WHBV3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    2921482 | PA      | $2810402.64    | 0.01%             | 2046-05-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3132JABM6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      24505 | PA      | $22393.66      | 0.00%             | 2043-05-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3131XVRE7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    5253581 | PA      | $4747614.80    | 0.02%             | 2046-12-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140XFMU2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    4965646 | PA      | $4239098.39    | 0.02%             | 2052-01-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 312942NF8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       1398 | PA      | $1362.26       | 0.00%             | 2040-09-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138WFAF3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      67960 | PA      | $64398.45      | 0.00%             | 2030-07-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31412NEZ5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      26398 | PA      | $27380.44      | 0.00%             | 2036-08-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3132DNQ63<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    6741968 | PA      | $6179489.19    | 0.03%             | 2052-07-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae II Pool                               | CUSIP: 36179VKM1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     614747 | PA      | $577501.43     | 0.00%             | 2050-04-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31416QQF5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       8741 | PA      | $8924.18       | 0.00%             | 2039-06-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 36296JWR2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      15809 | PA      | $15864.02      | 0.00%             | 2040-04-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3128KRJV7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      11665 | PA      | $12043.90      | 0.00%             | 2036-06-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140K0HK7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     357106 | PA      | $347830.55     | 0.00%             | 2034-01-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31414NCB8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       4725 | PA      | $4911.41       | 0.00%             | 2038-12-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae II Pool                               | CUSIP: 36179MSW1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     348332 | PA      | $320845.40     | 0.00%             | 2042-11-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 36208WDV2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        548 | PA      | $566.90        | 0.00%             | 2028-06-15      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 312934UK6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      19859 | PA      | $19870.67      | 0.00%             | 2039-08-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31378HGL9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |          2 | PA      | $2.55          | 0.00%             | 2027-09-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3128M4S46<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      16396 | PA      | $17058.05      | 0.00%             | 2037-05-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae II Pool                               | CUSIP: 36202E3G2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     673711 | PA      | $701449.00     | 0.00%             | 2039-03-20      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 36290RYE7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       1103 | PA      | $1083.62       | 0.00%             | 2033-08-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3131XVY58<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     387061 | PA      | $372352.93     | 0.00%             | 2047-01-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138YRC71<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     205638 | PA      | $194861.67     | 0.00%             | 2030-10-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3133A33F3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    1922965 | PA      | $1771488.47    | 0.01%             | 2050-04-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31413BZN4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       1646 | PA      | $1762.53       | 0.00%             | 2037-09-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31388GTN1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       1509 | PA      | $1563.33       | 0.00%             | 2031-12-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 31335BP83<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     958148 | PA      | $872653.49     | 0.00%             | 2048-02-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140KSLK1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   11267963 | PA      | $9655785.33    | 0.04%             | 2051-10-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31417MVW0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       5188 | PA      | $5185.77       | 0.00%             | 2039-10-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31412M2F4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        270 | PA      | $269.20        | 0.00%             | 2023-06-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3132Y1GK8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     430613 | PA      | $426045.25     | 0.00%             | 2048-07-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140HBGZ5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     278073 | PA      | $267313.50     | 0.00%             | 2048-06-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31389QL55<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       2099 | PA      | $2191.72       | 0.00%             | 2032-04-01      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 36210YYC3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        108 | PA      | $109.94        | 0.00%             | 2029-03-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138A9YX6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      12326 | PA      | $12068.98      | 0.00%             | 2026-08-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140X5F99<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    2383889 | PA      | $2355752.62    | 0.01%             | 2049-05-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3132XW5V9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    3516548 | PA      | $3416860.18    | 0.01%             | 2048-02-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138WFPJ9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    2312723 | PA      | $2158873.98    | 0.01%             | 2045-09-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 31307BE30<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     530038 | PA      | $508840.96     | 0.00%             | 2028-03-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3129426V2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       2775 | PA      | $2703.45       | 0.00%             | 2040-10-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31413DBW6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        322 | PA      | $344.82        | 0.00%             | 2037-07-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3133KK3T4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   15689524 | PA      | $13418337.49   | 0.06%             | 2051-01-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 36208YJK6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        222 | PA      | $228.44        | 0.00%             | 2028-08-15      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3132KE6W0<br>LEI: 254900HROIFWPRGM1V77 | Long             | ABS-MBS          | USGSE             | US        |     225554 | PA      | $213944.27     | 0.00%             | 2030-07-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140EBWE7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      10649 | PA      | $10009.36      | 0.00%             | 2046-02-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31413HLT3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        450 | PA      | $491.69        | 0.00%             | 2037-09-01      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 36200ULN3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |         19 | PA      | $19.35         | 0.00%             | 2031-11-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140EXBF9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     823091 | PA      | $774928.20     | 0.00%             | 2031-05-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3128LXR36<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       1728 | PA      | $1725.04       | 0.00%             | 2035-08-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31409TT24<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        298 | PA      | $318.77        | 0.00%             | 2036-08-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31411UKQ3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        917 | PA      | $952.89        | 0.00%             | 2037-04-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3133AKSD3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    7329960 | PA      | $6044733.59    | 0.03%             | 2051-05-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140GYPD5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    2937169 | PA      | $2841662.70    | 0.01%             | 2047-09-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140J9CR0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1670153 | PA      | $1509296.86    | 0.01%             | 2047-04-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31402TWU5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       3294 | PA      | $3391.18       | 0.00%             | 2033-09-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140F0LV4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    2133911 | PA      | $1865001.53    | 0.01%             | 2046-03-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 36291YF28<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       3930 | PA      | $4123.99       | 0.00%             | 2036-04-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3128M6MZ8<br>LEI: 254900HROIFWPRGM1V77 | Long             | ABS-MBS          | USGSE             | US        |       2384 | PA      | $2517.51       | 0.00%             | 2038-09-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31371MGC5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       1104 | PA      | $1101.18       | 0.00%             | 2035-09-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140X4XD3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     110044 | PA      | $106597.03     | 0.00%             | 2034-09-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140X5YS6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    4431948 | PA      | $4195237.01    | 0.02%             | 2035-02-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140H8CT0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1643068 | PA      | $1593706.55    | 0.01%             | 2048-02-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 36225BNA2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        907 | PA      | $948.32        | 0.00%             | 2031-05-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31402QTS0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        530 | PA      | $557.92        | 0.00%             | 2034-11-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 312934SC7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       3010 | PA      | $3012.20       | 0.00%             | 2039-08-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31416BSA7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       6653 | PA      | $7011.26       | 0.00%             | 2036-07-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31406J2E2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       3481 | PA      | $3590.15       | 0.00%             | 2035-01-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 31307TZG9<br>LEI: 254900HROIFWPRGM1V77 | Long             | ABS-MBS          | USGSE             | US        |     670265 | PA      | $652243.48     | 0.00%             | 2032-05-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31402RFX2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       2965 | PA      | $3141.28       | 0.00%             | 2035-04-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140E0LY9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      10492 | PA      | $9942.58       | 0.00%             | 2030-09-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138EQ6N7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     156460 | PA      | $152663.85     | 0.00%             | 2046-01-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 36295DNH8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       6293 | PA      | $6315.51       | 0.00%             | 2039-06-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3132DM5R2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   68808285 | PA      | $56679420.94   | 0.24%             | 2052-01-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 31296SM29<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       8583 | PA      | $8847.04       | 0.00%             | 2034-01-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3132MAWR8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     349685 | PA      | $328234.88     | 0.00%             | 2044-11-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140X5P64<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    4441750 | PA      | $4478251.62    | 0.02%             | 2045-10-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31412QEL9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        807 | PA      | $795.85        | 0.00%             | 2024-08-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138EKZ32<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     407064 | PA      | $385805.40     | 0.00%             | 2043-04-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138YS3G9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     216455 | PA      | $207219.98     | 0.00%             | 2030-05-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31417K5V5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       6367 | PA      | $6281.34       | 0.00%             | 2024-07-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140KHP54<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     475171 | PA      | $449582.53     | 0.00%             | 2035-07-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31419KF75<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     273574 | PA      | $266304.87     | 0.00%             | 2040-12-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140Q9CC5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      17505 | PA      | $15670.45      | 0.00%             | 2048-04-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140H23H9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1224134 | PA      | $1190588.70    | 0.01%             | 2047-12-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138AMYB5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     195174 | PA      | $195116.65     | 0.00%             | 2041-08-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 36205C6T2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        482 | PA      | $486.02        | 0.00%             | 2025-10-15      | Fixed         | 8.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3132L74A4<br>LEI: 254900HROIFWPRGM1V77 | Long             | ABS-MBS          | USGSE             | US        |    2536637 | PA      | $2382554.43    | 0.01%             | 2046-09-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31418D3J9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1969657 | PA      | $1749601.97    | 0.01%             | 2051-08-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3128MCKA2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       1939 | PA      | $1927.53       | 0.00%             | 2024-10-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae II Pool                               | CUSIP: 36202ES83<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       1450 | PA      | $1488.08       | 0.00%             | 2038-05-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3128MJL57<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      32557 | PA      | $32575.27      | 0.00%             | 2039-06-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae II Pool                               | CUSIP: 36179XBU9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    8064413 | PA      | $7888482.77    | 0.03%             | 2052-07-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 31283H6B6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       1801 | PA      | $1876.27       | 0.00%             | 2032-10-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 36201ETB6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        353 | PA      | $361.36        | 0.00%             | 2032-03-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3131Y8VW2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     756183 | PA      | $726928.46     | 0.00%             | 2048-12-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3132DV7B5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    1134544 | PA      | $937817.53     | 0.00%             | 2050-09-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138YQCK4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      79099 | PA      | $75724.49      | 0.00%             | 2030-05-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31417ACZ0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       7476 | PA      | $7263.50       | 0.00%             | 2041-10-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140FRUC7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      10284 | PA      | $10176.79      | 0.00%             | 2047-02-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31414EJ88<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      46518 | PA      | $48352.59      | 0.00%             | 2038-07-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3131XT2H2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     487072 | PA      | $468563.16     | 0.00%             | 2046-02-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138XTBT1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      32540 | PA      | $32443.17      | 0.00%             | 2044-04-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140XGE96<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    5838828 | PA      | $5001395.45    | 0.02%             | 2052-02-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 36296KPH9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       7854 | PA      | $8237.52       | 0.00%             | 2038-07-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 31307VNE2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     431126 | PA      | $418942.84     | 0.00%             | 2033-02-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 36180C4L0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      81819 | PA      | $77777.48      | 0.00%             | 2043-02-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3133G9RR2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    3822783 | PA      | $3538183.03    | 0.02%             | 2035-08-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140X4UW4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     963074 | PA      | $890943.22     | 0.00%             | 2049-09-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138WQHS4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      25940 | PA      | $23681.39      | 0.00%             | 2043-05-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31416M5E0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       2641 | PA      | $2640.13       | 0.00%             | 2039-03-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae II Pool                               | CUSIP: 36179WXH6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    6108402 | PA      | $5190614.15    | 0.02%             | 2052-02-20      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138AXSS1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      43618 | PA      | $42375.64      | 0.00%             | 2041-11-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31402TRS6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       1216 | PA      | $1251.85       | 0.00%             | 2033-08-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138YBKN2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      83828 | PA      | $78251.34      | 0.00%             | 2045-02-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 36178CUJ0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      63095 | PA      | $59978.51      | 0.00%             | 2042-07-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 36290YY93<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       1868 | PA      | $1943.10       | 0.00%             | 2033-12-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae II Pool                               | CUSIP: 36179QR29<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      89486 | PA      | $89646.80      | 0.00%             | 2044-10-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 312936PC5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       2418 | PA      | $2419.45       | 0.00%             | 2039-10-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 312941UZ8<br>LEI: 254900HROIFWPRGM1V77 | Long             | ABS-MBS          | USGSE             | US        |    1248346 | PA      | $1276792.83    | 0.01%             | 2040-08-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31411BLM3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       1288 | PA      | $1358.40       | 0.00%             | 2036-10-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 36213CBP4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        279 | PA      | $291.21        | 0.00%             | 2031-06-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31417EM65<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    7067949 | PA      | $6455382.27    | 0.03%             | 2043-01-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140GQZQ2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     291384 | PA      | $277059.58     | 0.00%             | 2031-11-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 36202SCL0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       6328 | PA      | $6523.46       | 0.00%             | 2033-01-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140LPD66<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1078591 | PA      | $944979.79     | 0.00%             | 2036-07-01      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140E0EH4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     428907 | PA      | $414588.81     | 0.00%             | 2045-11-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140LTR63<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1841731 | PA      | $1656990.95    | 0.01%             | 2036-07-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3128M4LV3<br>LEI: 254900HROIFWPRGM1V77 | Long             | ABS-MBS          | USGSE             | US        |      25465 | PA      | $26440.24      | 0.00%             | 2036-03-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140QFNT2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   55245155 | PA      | $47516229.41   | 0.20%             | 2050-11-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31416M5Z3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1359486 | PA      | $1358936.99    | 0.01%             | 2039-04-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31407CAE7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       1704 | PA      | $1729.69       | 0.00%             | 2035-07-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31407Q6V3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       1792 | PA      | $1819.68       | 0.00%             | 2035-09-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140LNT49<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    6334785 | PA      | $5452827.53    | 0.02%             | 2051-05-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138WJNE4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    3755489 | PA      | $3425751.78    | 0.01%             | 2046-12-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31411HXC9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       3344 | PA      | $3473.61       | 0.00%             | 2037-01-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31414SEU3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        216 | PA      | $214.82        | 0.00%             | 2023-04-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 36294XPD2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        841 | PA      | $875.01        | 0.00%             | 2037-01-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31419GMH4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       5937 | PA      | $6066.09       | 0.00%             | 2034-04-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 312946ML7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      28251 | PA      | $28269.85      | 0.00%             | 2041-03-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140J95Y3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1335204 | PA      | $1290679.30    | 0.01%             | 2047-07-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140QA2C3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   14872778 | PA      | $13876678.68   | 0.06%             | 2049-05-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138LRK43<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     100147 | PA      | $94435.96      | 0.00%             | 2042-04-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 36241KZA9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       6199 | PA      | $6507.88       | 0.00%             | 2038-12-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140KB2U7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     571755 | PA      | $533987.42     | 0.00%             | 2050-04-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3133A0M43<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    2250765 | PA      | $2078844.31    | 0.01%             | 2050-01-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31413AWR0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        973 | PA      | $1010.94       | 0.00%             | 2037-06-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| UMBS, TBA                                      | Uniform Mortgage-Backed Security, TBA            | CUSIP: 01F0306C7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |  113146000 | PA      | $100128536.86  | 0.43%             | 2052-12-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140JWPF1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    2074944 | PA      | $1964121.29    | 0.01%             | 2034-09-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 31292HM84<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |        136 | PA      | $139.45        | 0.00%             | 2031-11-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3128M6RH3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       8592 | PA      | $8939.97       | 0.00%             | 2038-09-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138XQ6Y2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      14700 | PA      | $13977.78      | 0.00%             | 2029-09-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140KLVG4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    2412501 | PA      | $2098587.05    | 0.01%             | 2050-09-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3128KWUZ4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       2104 | PA      | $2220.99       | 0.00%             | 2037-09-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3128PTWA9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      11982 | PA      | $11620.22      | 0.00%             | 2026-01-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31411FCZ5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        628 | PA      | $638.33        | 0.00%             | 2037-02-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3132D56Q0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   38038831 | PA      | $34225361.46   | 0.15%             | 2035-12-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3128MJCJ7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       3275 | PA      | $3328.25       | 0.00%             | 2035-08-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140FP6R5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1027264 | PA      | $957510.16     | 0.00%             | 2046-12-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140JKVS2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1521856 | PA      | $1535143.00    | 0.01%             | 2048-12-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3128MJUV0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     202709 | PA      | $196647.37     | 0.00%             | 2044-07-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31418QHZ9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       7833 | PA      | $7732.08       | 0.00%             | 2025-02-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 31335BZJ8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    1560744 | PA      | $1501881.10    | 0.01%             | 2048-10-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3133G7YY3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    1020490 | PA      | $965512.27     | 0.00%             | 2035-02-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140L3ZM6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     787804 | PA      | $703822.04     | 0.00%             | 2051-02-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae II Pool                               | CUSIP: 36179SQW0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    6061642 | PA      | $5734562.40    | 0.02%             | 2046-11-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140QDDN1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    8668746 | PA      | $7692853.61    | 0.03%             | 2050-04-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3132M5C75<br>LEI: 254900HROIFWPRGM1V77 | Long             | ABS-MBS          | USGSE             | US        |     433104 | PA      | $432994.99     | 0.00%             | 2044-02-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31418CPE8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     695920 | PA      | $648551.87     | 0.00%             | 2047-09-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 312944NU1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     526696 | PA      | $513195.07     | 0.00%             | 2040-12-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138X1T63<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     755100 | PA      | $711758.19     | 0.00%             | 2043-07-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31413DZ67<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       1434 | PA      | $1490.07       | 0.00%             | 2037-08-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 3620AJC80<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       1411 | PA      | $1415.69       | 0.00%             | 2040-02-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3128MJQ45<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       3280 | PA      | $3189.66       | 0.00%             | 2042-01-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 36180DQF7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     102329 | PA      | $97314.34      | 0.00%             | 2043-03-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31406ULW6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       3090 | PA      | $3136.70       | 0.00%             | 2035-09-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140K24E1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     956734 | PA      | $905634.68     | 0.00%             | 2034-11-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31413QKR8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       3336 | PA      | $3519.16       | 0.00%             | 2037-11-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138XZJT9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      25572 | PA      | $24783.22      | 0.00%             | 2044-08-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138YQA67<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      78687 | PA      | $74563.36      | 0.00%             | 2030-08-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3132DWBH5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |  199381340 | PA      | $164453004.89  | 0.70%             | 2051-04-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140X9KT1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     269434 | PA      | $242414.45     | 0.00%             | 2036-01-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140GRZA5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     172487 | PA      | $161800.00     | 0.00%             | 2047-07-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138WJK56<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1012999 | PA      | $915434.64     | 0.00%             | 2046-11-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3128LXQE3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      26214 | PA      | $27265.24      | 0.00%             | 2036-07-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31388KMC3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        422 | PA      | $437.03        | 0.00%             | 2031-10-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31417GZB5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1657973 | PA      | $1468496.83    | 0.01%             | 2043-06-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140E8F29<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    2562445 | PA      | $2317299.75    | 0.01%             | 2046-01-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3131XR7K4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     560347 | PA      | $523068.02     | 0.00%             | 2045-07-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 31298VDU8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |        553 | PA      | $573.51        | 0.00%             | 2031-09-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3132DWB69<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    1884542 | PA      | $1615974.88    | 0.01%             | 2051-08-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3128MMRZ8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      16630 | PA      | $16276.93      | 0.00%             | 2029-02-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 36182UZG5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     132874 | PA      | $127794.66     | 0.00%             | 2029-07-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31412V6B9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        339 | PA      | $351.82        | 0.00%             | 2037-05-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3132JQEV8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      33933 | PA      | $33924.50      | 0.00%             | 2043-11-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31418V5T5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       7883 | PA      | $8053.35       | 0.00%             | 2040-06-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140FJCB7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       7273 | PA      | $6572.82       | 0.00%             | 2046-11-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3131XWT52<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     801538 | PA      | $774149.84     | 0.00%             | 2047-05-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140X6CQ2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   10182164 | PA      | $9103113.81    | 0.04%             | 2050-03-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140J8CQ4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     874091 | PA      | $840379.66     | 0.00%             | 2033-01-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3132QSUB2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      49280 | PA      | $47680.92      | 0.00%             | 2045-09-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae II Pool                               | CUSIP: 36179WLN6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     706307 | PA      | $601557.79     | 0.00%             | 2051-08-20      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140M12Q6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    7710228 | PA      | $6746209.91    | 0.03%             | 2036-09-01      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31414KD98<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       4656 | PA      | $4838.80       | 0.00%             | 2038-02-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31412MDX3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |         53 | PA      | $55.97         | 0.00%             | 2037-12-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3132A5GL3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    3047512 | PA      | $2754009.69    | 0.01%             | 2047-02-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31384WKP4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        440 | PA      | $454.27        | 0.00%             | 2031-05-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138EHUV2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      16315 | PA      | $15976.47      | 0.00%             | 2026-09-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 31335AHU5<br>LEI: 254900HROIFWPRGM1V77 | Long             | ABS-MBS          | USGSE             | US        |    3727947 | PA      | $3870743.55    | 0.02%             | 2041-06-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 36291NR37<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       8349 | PA      | $8793.88       | 0.00%             | 2035-12-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31414NG65<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       2283 | PA      | $2281.53       | 0.00%             | 2039-01-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3133GBRL0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    5853067 | PA      | $5266285.27    | 0.02%             | 2036-01-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140J8UN1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    3805278 | PA      | $3475584.03    | 0.01%             | 2045-08-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31418CNG5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     498611 | PA      | $474768.16     | 0.00%             | 2032-08-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31385HXB3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       3275 | PA      | $3384.99       | 0.00%             | 2031-11-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31418BSX5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    5706520 | PA      | $5407482.36    | 0.02%             | 2030-07-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138WJX29<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     364111 | PA      | $329042.62     | 0.00%             | 2047-02-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140QB2E7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1860843 | PA      | $1836771.23    | 0.01%             | 2049-10-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140K2VG6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    3008969 | PA      | $2789912.75    | 0.01%             | 2034-10-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 31292H2H6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       2420 | PA      | $2548.80       | 0.00%             | 2033-11-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140LV2K4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    4450461 | PA      | $3945428.76    | 0.02%             | 2051-08-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138WMSY8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      88420 | PA      | $88311.80      | 0.00%             | 2043-09-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3128M5HZ6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       4564 | PA      | $4638.84       | 0.00%             | 2036-06-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138E4UU3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       8477 | PA      | $8235.77       | 0.00%             | 2042-01-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31371LFZ7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       6932 | PA      | $7293.19       | 0.00%             | 2033-12-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 36213DCW6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        128 | PA      | $136.49        | 0.00%             | 2031-10-15      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31390M4C5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        291 | PA      | $303.16        | 0.00%             | 2032-07-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140XFTC5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1123216 | PA      | $958872.91     | 0.00%             | 2052-02-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 36200MPA5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        165 | PA      | $166.37        | 0.00%             | 2033-06-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140J5KQ1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      11429 | PA      | $11345.85      | 0.00%             | 2046-12-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31418D7F3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   27457931 | PA      | $23528301.84   | 0.10%             | 2051-12-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138AMGU3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       3774 | PA      | $3669.61       | 0.00%             | 2026-09-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 36295NEC7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        545 | PA      | $558.43        | 0.00%             | 2038-03-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31417DC35<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1950603 | PA      | $1781547.31    | 0.01%             | 2042-10-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31418AUN6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     110515 | PA      | $105994.18     | 0.00%             | 2028-07-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 36206FWN8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |         32 | PA      | $32.57         | 0.00%             | 2025-12-15      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31417BXM4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     824740 | PA      | $777710.09     | 0.00%             | 2042-05-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140JGWH4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       2941 | PA      | $2965.03       | 0.00%             | 2048-09-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae II Pool                               | CUSIP: 36179TUB9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   19589179 | PA      | $19022039.88   | 0.08%             | 2048-03-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31371MCF2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      23313 | PA      | $24180.60      | 0.00%             | 2035-07-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 36200AY86<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      16934 | PA      | $17614.89      | 0.00%             | 2035-06-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138XY3L6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      24318 | PA      | $24245.85      | 0.00%             | 2044-07-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 3620C4RF9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      27728 | PA      | $27824.00      | 0.00%             | 2040-08-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138ELXU2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     198434 | PA      | $198191.09     | 0.00%             | 2043-10-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138XHA35<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     107088 | PA      | $107746.18     | 0.00%             | 2044-01-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3128K4LW3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |        747 | PA      | $776.48        | 0.00%             | 2036-03-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3131XUWZ6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     294542 | PA      | $267661.57     | 0.00%             | 2046-08-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140L1CB9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    2347458 | PA      | $2022617.45    | 0.01%             | 2051-01-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138YXV51<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      12360 | PA      | $12080.39      | 0.00%             | 2030-11-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 31294MM24<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       7337 | PA      | $7075.93       | 0.00%             | 2027-03-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3128MEHX2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     256485 | PA      | $246559.35     | 0.00%             | 2030-05-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 36179FQ65<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      20606 | PA      | $18923.05      | 0.00%             | 2043-07-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140KK3K8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1037007 | PA      | $924680.91     | 0.00%             | 2050-08-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138ET5H5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    7697427 | PA      | $7174749.57    | 0.03%             | 2046-09-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31418CNT7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     135596 | PA      | $134183.57     | 0.00%             | 2047-08-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138EGCT9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      29358 | PA      | $29994.53      | 0.00%             | 2040-08-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140H4E26<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     637144 | PA      | $618002.26     | 0.00%             | 2048-03-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 36294UUF7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       9168 | PA      | $8713.69       | 0.00%             | 2042-01-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 36180NAR6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     179688 | PA      | $165010.67     | 0.00%             | 2043-04-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140H7JT5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      87787 | PA      | $82557.56      | 0.00%             | 2033-01-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140HEZY1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     577553 | PA      | $582328.97     | 0.00%             | 2048-03-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 31296LK75<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       2809 | PA      | $2848.52       | 0.00%             | 2033-08-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140QPFK8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    8000358 | PA      | $7333936.48    | 0.03%             | 2052-06-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140K3U67<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     668935 | PA      | $623601.80     | 0.00%             | 2050-02-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31406QJM0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        618 | PA      | $640.93        | 0.00%             | 2035-04-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3132D6B74<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   11368077 | PA      | $10490030.97   | 0.04%             | 2037-07-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31418ECQ1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   38496787 | PA      | $32878850.23   | 0.14%             | 2052-04-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138YDFJ3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     207233 | PA      | $188935.72     | 0.00%             | 2044-12-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138X67G4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      26983 | PA      | $25879.76      | 0.00%             | 2028-09-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140QANZ9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    2102746 | PA      | $2120133.67    | 0.01%             | 2049-02-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 36210BX26<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       2801 | PA      | $2887.05       | 0.00%             | 2039-03-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 313615UR5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |         12 | PA      | $11.64         | 0.00%             | 2024-03-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138WJW20<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     616171 | PA      | $580116.49     | 0.00%             | 2032-02-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138YTWB6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     141484 | PA      | $134069.97     | 0.00%             | 2030-06-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140QMYV0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   60036259 | PA      | $51363312.16   | 0.22%             | 2052-01-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae II Pool                               | CUSIP: 36179VV23<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    1253862 | PA      | $1178400.89    | 0.01%             | 2050-10-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 31329QEP2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     625399 | PA      | $605835.86     | 0.00%             | 2034-04-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3128M5VU1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      12033 | PA      | $12518.82      | 0.00%             | 2038-01-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 31292HEE0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |        121 | PA      | $129.36        | 0.00%             | 2030-08-01      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3131YA2T6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     912235 | PA      | $883698.76     | 0.00%             | 2034-03-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138WFPZ3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    2137683 | PA      | $2066321.39    | 0.01%             | 2045-09-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140H4Y65<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     498614 | PA      | $463922.79     | 0.00%             | 2048-02-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 31283HER2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       1361 | PA      | $1416.94       | 0.00%             | 2029-06-01      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31417G2X3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1967618 | PA      | $1873059.75    | 0.01%             | 2043-07-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138YHU32<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     266434 | PA      | $232858.75     | 0.00%             | 2045-05-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae II Pool                               | CUSIP: 36179MQP8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   14073858 | PA      | $13382571.83   | 0.06%             | 2042-10-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 31292KZ91<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      20378 | PA      | $19855.58      | 0.00%             | 2040-05-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138A9AM6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      12775 | PA      | $12453.25      | 0.00%             | 2026-03-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138X3FD9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       6511 | PA      | $6137.39       | 0.00%             | 2043-08-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138WEFV6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     199223 | PA      | $190723.07     | 0.00%             | 2030-03-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 31334XVY2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    1123940 | PA      | $1003749.91    | 0.00%             | 2049-07-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3132AA4A9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     600012 | PA      | $564341.00     | 0.00%             | 2046-09-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3131XX6Y2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    1114654 | PA      | $1038774.85    | 0.00%             | 2047-10-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31417GZ58<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     124347 | PA      | $117209.45     | 0.00%             | 2043-06-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 36203PD83<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |         66 | PA      | $66.02         | 0.00%             | 2024-05-15      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31368HNG4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       1359 | PA      | $1433.13       | 0.00%             | 2038-09-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae II Pool                               | CUSIP: 36179TSH9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    3959548 | PA      | $3844912.44    | 0.02%             | 2048-02-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3128MJ2W9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     595862 | PA      | $555857.86     | 0.00%             | 2047-11-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3133KMYC3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    3552115 | PA      | $3032327.83    | 0.01%             | 2051-10-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140H2V47<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     126106 | PA      | $118699.38     | 0.00%             | 2047-10-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 36194YBQ7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    1725182 | PA      | $1620727.99    | 0.01%             | 2046-09-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138YGYF3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     204673 | PA      | $193947.90     | 0.00%             | 2030-04-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140X8MY0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   16036685 | PA      | $13920563.94   | 0.06%             | 2050-11-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 36225BXX1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        661 | PA      | $696.10        | 0.00%             | 2033-01-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138EGKA1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       4194 | PA      | $4424.06       | 0.00%             | 2040-09-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 31293EME7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |         88 | PA      | $90.71         | 0.00%             | 2028-12-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3131XCUS4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    2493011 | PA      | $2373719.31    | 0.01%             | 2032-04-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31412YCG5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       1005 | PA      | $1044.66       | 0.00%             | 2037-07-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3128MMRE5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      51276 | PA      | $49771.75      | 0.00%             | 2028-10-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 36209MK37<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        376 | PA      | $382.28        | 0.00%             | 2028-10-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138XLC83<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     313094 | PA      | $312711.38     | 0.00%             | 2044-02-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae II Pool                               | CUSIP: 36179U4D1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      84042 | PA      | $81059.74      | 0.00%             | 2049-10-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 31292HTP9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |        820 | PA      | $879.39        | 0.00%             | 2032-11-01      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140FRGW9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      13451 | PA      | $12155.28      | 0.00%             | 2047-01-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 31346YGN7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     552575 | PA      | $511193.74     | 0.00%             | 2049-11-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138YL2S9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       2745 | PA      | $2497.61       | 0.00%             | 2045-04-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138W1LV7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       6194 | PA      | $6006.41       | 0.00%             | 2028-03-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31417KSP3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    2359944 | PA      | $2358991.31    | 0.01%             | 2039-08-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3133G7KA0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     902974 | PA      | $874727.30     | 0.00%             | 2034-12-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138E9JY7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   13137353 | PA      | $12388202.69   | 0.05%             | 2042-03-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140KQQN4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1523000 | PA      | $1422946.25    | 0.01%             | 2050-07-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31415STQ5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      38230 | PA      | $40323.74      | 0.00%             | 2038-08-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3128M9VQ2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      15456 | PA      | $14583.22      | 0.00%             | 2043-09-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3132L7V48<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     529933 | PA      | $510266.25     | 0.00%             | 2046-05-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31414R4E2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       2612 | PA      | $2731.41       | 0.00%             | 2033-01-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140H7DD6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     771911 | PA      | $718204.87     | 0.00%             | 2048-04-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31403KJW4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       6024 | PA      | $6005.91       | 0.00%             | 2033-11-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140XHUP0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1815783 | PA      | $1633689.96    | 0.01%             | 2036-12-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 36241LKD7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      19251 | PA      | $19835.90      | 0.00%             | 2040-06-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 31297VUH9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |        607 | PA      | $630.55        | 0.00%             | 2035-11-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31404WDY9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        403 | PA      | $399.75        | 0.00%             | 2034-07-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138A8YF7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      48363 | PA      | $48348.99      | 0.00%             | 2041-03-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae II Pool                               | CUSIP: 36202DC74<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        151 | PA      | $154.84        | 0.00%             | 2029-08-20      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140QPDH7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    2861639 | PA      | $2694390.21    | 0.01%             | 2037-05-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31410G4T7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     567053 | PA      | $589418.74     | 0.00%             | 2038-03-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3132QPX82<br>LEI: 254900HROIFWPRGM1V77 | Long             | ABS-MBS          | USGSE             | US        |     899255 | PA      | $822147.45     | 0.00%             | 2045-05-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31416TSY6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |         97 | PA      | $96.99         | 0.00%             | 2024-07-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 31335AUF3<br>LEI: 254900HROIFWPRGM1V77 | Long             | ABS-MBS          | USGSE             | US        |    5178720 | PA      | $4872622.34    | 0.02%             | 2046-05-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3132WEKZ4<br>LEI: 254900HROIFWPRGM1V77 | Long             | ABS-MBS          | USGSE             | US        |    5174539 | PA      | $4911014.38    | 0.02%             | 2046-06-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140E5CK8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     107583 | PA      | $102993.07     | 0.00%             | 2030-11-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140H9T29<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     855447 | PA      | $828650.23     | 0.00%             | 2034-04-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140HPN78<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     473503 | PA      | $459277.91     | 0.00%             | 2048-09-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31365EJ20<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        293 | PA      | $300.53        | 0.00%             | 2027-04-01      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31414LKW7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       4824 | PA      | $5088.57       | 0.00%             | 2038-01-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 3620AASB5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       4815 | PA      | $4832.11       | 0.00%             | 2039-08-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31417DRY1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     258536 | PA      | $244050.54     | 0.00%             | 2042-11-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 36204QFK1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |         34 | PA      | $34.08         | 0.00%             | 2024-04-15      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 312945W79<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      46114 | PA      | $44931.89      | 0.00%             | 2041-02-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140X6QG9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     193839 | PA      | $195441.43     | 0.00%             | 2049-09-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31371LDJ5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       2457 | PA      | $2584.89       | 0.00%             | 2033-10-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138WFK39<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    2590482 | PA      | $2432153.14    | 0.01%             | 2045-09-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 36225BZN1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       1358 | PA      | $1435.14       | 0.00%             | 2033-04-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140FQNZ6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     186291 | PA      | $184509.84     | 0.00%             | 2047-01-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31401LRX3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       2755 | PA      | $2746.53       | 0.00%             | 2033-09-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3128MMSA2<br>LEI: 254900HROIFWPRGM1V77 | Long             | ABS-MBS          | USGSE             | US        |    3626779 | PA      | $3486428.52    | 0.01%             | 2029-05-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 312932EY8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       2953 | PA      | $2954.69       | 0.00%             | 2039-04-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138Y3ZZ7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     486306 | PA      | $457953.50     | 0.00%             | 2044-11-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3132L8H26<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   20718256 | PA      | $18918240.91   | 0.08%             | 2047-02-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138EMN56<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      92564 | PA      | $89217.61      | 0.00%             | 2027-10-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3132WJM24<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    3483036 | PA      | $3180427.94    | 0.01%             | 2046-12-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 31307M3H7<br>LEI: 254900HROIFWPRGM1V77 | Long             | ABS-MBS          | USGSE             | US        |     889840 | PA      | $844038.32     | 0.00%             | 2030-05-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138ERW63<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     392069 | PA      | $380242.71     | 0.00%             | 2030-10-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3128LXUD0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       1984 | PA      | $2127.80       | 0.00%             | 2036-10-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3128M66S2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |        498 | PA      | $497.74        | 0.00%             | 2038-10-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 36296DNB0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       6974 | PA      | $7745.69       | 0.00%             | 2038-11-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138EKWE1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     559543 | PA      | $560678.66     | 0.00%             | 2042-10-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140QHQ57<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   26076098 | PA      | $23426106.87   | 0.10%             | 2036-03-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 36185CAP9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      27134 | PA      | $26388.69      | 0.00%             | 2045-07-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 36177LJF2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       5330 | PA      | $5065.58       | 0.00%             | 2041-12-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 36213FZ48<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      19906 | PA      | $18918.71      | 0.00%             | 2042-01-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138WHRL8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     881712 | PA      | $830207.73     | 0.00%             | 2046-08-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 31307QMX2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       4183 | PA      | $3942.53       | 0.00%             | 2031-04-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138YNN94<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     165491 | PA      | $156819.15     | 0.00%             | 2030-07-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3128MMT45<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      17780 | PA      | $17394.24      | 0.00%             | 2030-09-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 36295QFZ8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        761 | PA      | $797.50        | 0.00%             | 2038-07-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3132XWY88<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     408464 | PA      | $381041.21     | 0.00%             | 2048-02-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 36296NGS9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        298 | PA      | $302.80        | 0.00%             | 2038-07-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 31297LU57<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |        479 | PA      | $496.87        | 0.00%             | 2035-02-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140F0R89<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     335945 | PA      | $338105.24     | 0.00%             | 2046-03-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138YPC67<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      47781 | PA      | $45742.63      | 0.00%             | 2030-05-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31380X6H0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        576 | PA      | $597.39        | 0.00%             | 2029-01-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140LWGU5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    2400729 | PA      | $2104253.67    | 0.01%             | 2036-08-01      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae II Pool                               | CUSIP: 36202EQZ5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        766 | PA      | $797.12        | 0.00%             | 2038-01-20      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3132AAVK7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     162876 | PA      | $153465.42     | 0.00%             | 2046-03-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138X1BC9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1189532 | PA      | $1153530.50    | 0.00%             | 2028-08-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140E1MW0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     381103 | PA      | $344643.59     | 0.00%             | 2045-09-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae II Pool                               | CUSIP: 36179SSR9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    1969311 | PA      | $1914746.20    | 0.01%             | 2046-12-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31412RL70<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      21074 | PA      | $20513.57      | 0.00%             | 2040-12-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31376ZGL1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |         23 | PA      | $22.75         | 0.00%             | 2027-01-01      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 36295J6K7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       1077 | PA      | $1136.99       | 0.00%             | 2037-11-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31372BR28<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |         14 | PA      | $14.03         | 0.00%             | 2024-02-01      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138E4AC5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      34901 | PA      | $33907.32      | 0.00%             | 2042-01-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3132A8TN9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    1989205 | PA      | $1910481.05    | 0.01%             | 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        |     619186 | PA      | $595226.91     | 0.00%             | 2048-10-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138WJNK0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1462435 | PA      | $1379401.67    | 0.01%             | 2046-12-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3133GA7E0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    8148414 | PA      | $7330210.69    | 0.03%             | 2035-12-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138YTMT8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     265792 | PA      | $251863.42     | 0.00%             | 2030-07-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140QAKZ2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     606491 | PA      | $607699.67     | 0.00%             | 2034-01-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3128MJCS7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       1055 | PA      | $1095.60       | 0.00%             | 2035-09-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 3620ARZF1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      21953 | PA      | $21110.41      | 0.00%             | 2026-02-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31418DTC6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      35137 | PA      | $35084.50      | 0.00%             | 2050-09-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140QP4B0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   71033689 | PA      | $72649655.57   | 0.31%             | 2052-08-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3132CWP99<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   15992832 | PA      | $14399167.24   | 0.06%             | 2035-11-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 31298QJZ2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       4389 | PA      | $4526.57       | 0.00%             | 2030-12-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae II Pool                               | CUSIP: 36179R7H6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    5119945 | PA      | $4697910.75    | 0.02%             | 2046-04-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 36201YL53<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       9346 | PA      | $9705.38       | 0.00%             | 2034-01-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31382K4J4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        334 | PA      | $337.51        | 0.00%             | 2029-02-01      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 36210MQS3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       2111 | PA      | $2152.20       | 0.00%             | 2029-01-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3132WDYQ1<br>LEI: 254900HROIFWPRGM1V77 | Long             | ABS-MBS          | USGSE             | US        |    2435880 | PA      | $2272784.33    | 0.01%             | 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        |    8316232 | PA      | $7155709.80    | 0.03%             | 2050-11-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138YHVY3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     199660 | PA      | $189196.80     | 0.00%             | 2030-05-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 31296M6Y0<br>LEI: 254900HROIFWPRGM1V77 | Long             | ABS-MBS          | USGSE             | US        |        454 | PA      | $467.59        | 0.00%             | 2033-09-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae II Pool                               | CUSIP: 3617J5NT9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      76806 | PA      | $75342.36      | 0.00%             | 2048-11-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3133ABCC2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    3317244 | PA      | $2741530.11    | 0.01%             | 2050-10-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140KR2Q1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   12917887 | PA      | $10683794.12   | 0.05%             | 2050-11-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138X1WT9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       4523 | PA      | $4090.39       | 0.00%             | 2045-06-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31417WM81<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       6618 | PA      | $6616.37       | 0.00%             | 2040-02-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3132ABBX9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      36742 | PA      | $35694.72      | 0.00%             | 2044-07-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3132D55W8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    4161816 | PA      | $3744585.39    | 0.02%             | 2035-09-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3132A5FX8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    1711922 | PA      | $1547048.87    | 0.01%             | 2046-10-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 3620ASP78<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      27565 | PA      | $27018.69      | 0.00%             | 2041-07-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 36177WAB6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     103711 | PA      | $98588.47      | 0.00%             | 2042-04-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140QEL34<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   10007284 | PA      | $8915265.04    | 0.04%             | 2050-08-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31385XEC7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       3296 | PA      | $3393.61       | 0.00%             | 2033-06-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3132QSRC4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       7236 | PA      | $6760.93       | 0.00%             | 2045-09-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae II Pool                               | CUSIP: 36179VBG4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    6649569 | PA      | $6248484.71    | 0.03%             | 2049-12-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140GN4S9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     166390 | PA      | $155064.67     | 0.00%             | 2047-05-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31412BFS6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        205 | PA      | $213.13        | 0.00%             | 2036-12-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 36296DEK0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       1599 | PA      | $1701.06       | 0.00%             | 2038-08-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31417ABM0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       8410 | PA      | $8407.06       | 0.00%             | 2041-10-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31411WVZ7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       3327 | PA      | $3457.25       | 0.00%             | 2037-05-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31402RRS0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       3729 | PA      | $3868.04       | 0.00%             | 2035-10-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138EJPF9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     264400 | PA      | $256424.10     | 0.00%             | 2027-07-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae II Pool                               | CUSIP: 36179RQ28<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     186411 | PA      | $176758.39     | 0.00%             | 2045-10-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3128L1WP1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       1061 | PA      | $1119.97       | 0.00%             | 2037-12-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 36290YA65<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      13461 | PA      | $14052.69      | 0.00%             | 2037-04-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31403TDM3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      17729 | PA      | $17960.32      | 0.00%             | 2033-09-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3128M5NN6<br>LEI: 254900HROIFWPRGM1V77 | Long             | ABS-MBS          | USGSE             | US        |       1937 | PA      | $2044.95       | 0.00%             | 2038-01-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138WJEQ7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     733146 | PA      | $690246.35     | 0.00%             | 2031-11-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140XHEN3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1221547 | PA      | $1081946.27    | 0.00%             | 2047-12-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3132A9US4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     207126 | PA      | $196951.18     | 0.00%             | 2033-04-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31402DP79<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       1214 | PA      | $1251.82       | 0.00%             | 2034-11-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138AAMF5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     162211 | PA      | $165730.76     | 0.00%             | 2041-04-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31417GF27<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1615205 | PA      | $1474593.38    | 0.01%             | 2043-04-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3131XVF91<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     432020 | PA      | $393344.58     | 0.00%             | 2046-11-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 36182WT45<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     213888 | PA      | $208012.13     | 0.00%             | 2044-09-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae II Pool                               | CUSIP: 36179N2J6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     549524 | PA      | $522235.44     | 0.00%             | 2044-02-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3133ASX65<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    7589525 | PA      | $6260289.22    | 0.03%             | 2051-09-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138WH4C3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      19331 | PA      | $18426.15      | 0.00%             | 2031-09-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3128MJZQ6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     933220 | PA      | $844199.28     | 0.00%             | 2047-03-01      | 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        |    2985501 | PA      | $2739888.34    | 0.01%             | 2047-07-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31410FZ99<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      20871 | PA      | $22008.70      | 0.00%             | 2037-03-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31371HVJ4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        658 | PA      | $696.52        | 0.00%             | 2029-09-01      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140QAME7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     484102 | PA      | $478387.91     | 0.00%             | 2049-02-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3132D6BR0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   54235570 | PA      | $48672651.05   | 0.21%             | 2037-04-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3131XNS61<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     389989 | PA      | $357608.54     | 0.00%             | 2043-08-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138WSR67<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     420245 | PA      | $407525.77     | 0.00%             | 2028-05-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31371HQX9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        444 | PA      | $459.92        | 0.00%             | 2029-07-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3128M7AX4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      33808 | PA      | $35175.81      | 0.00%             | 2039-01-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31416BY36<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |         57 | PA      | $56.71         | 0.00%             | 2023-09-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 36200TVH8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       8794 | PA      | $9207.65       | 0.00%             | 2033-12-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 36198RLP9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       7526 | PA      | $7319.22       | 0.00%             | 2044-09-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140GQMC7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     116665 | PA      | $112678.01     | 0.00%             | 2047-05-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140KXM78<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1434550 | PA      | $1289722.14    | 0.01%             | 2050-11-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31402C4C3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       2330 | PA      | $2322.61       | 0.00%             | 2033-10-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138EQZ62<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      35306 | PA      | $34508.42      | 0.00%             | 2031-02-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138AJK84<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     159822 | PA      | $163290.53     | 0.00%             | 2041-06-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140J57D5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     109272 | PA      | $104046.35     | 0.00%             | 2032-06-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae II Pool                               | CUSIP: 36179WJQ2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    3214775 | PA      | $2739002.26    | 0.01%             | 2051-07-20      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3128MC3E3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       8488 | PA      | $8262.59       | 0.00%             | 2026-07-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3133G9X95<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    1529878 | PA      | $1415981.02    | 0.01%             | 2035-09-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 31307VRQ1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    3090734 | PA      | $2910012.85    | 0.01%             | 2033-02-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3132WFC49<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    1936392 | PA      | $1806739.59    | 0.01%             | 2046-07-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 36296QRP6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     160555 | PA      | $161120.43     | 0.00%             | 2039-04-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 31307SYJ6<br>LEI: 254900HROIFWPRGM1V77 | Long             | ABS-MBS          | USGSE             | US        |     676078 | PA      | $659140.75     | 0.00%             | 2032-01-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140FSRA3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      17689 | PA      | $15458.48      | 0.00%             | 2047-02-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31417CNF8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     257880 | PA      | $243431.25     | 0.00%             | 2042-08-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140EVK97<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1036281 | PA      | $965914.24     | 0.00%             | 2046-07-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31410GNL3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       5010 | PA      | $5196.66       | 0.00%             | 2036-11-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 3617BAVK6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     148577 | PA      | $152025.69     | 0.00%             | 2047-08-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31385XJ57<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      14362 | PA      | $14787.93      | 0.00%             | 2033-07-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140J7MQ5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     593094 | PA      | $603983.15     | 0.00%             | 2047-07-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 36178GRC0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      30348 | PA      | $28849.31      | 0.00%             | 2042-09-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140X9ED3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1317379 | PA      | $1173114.22    | 0.01%             | 2051-01-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140FUN95<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     768461 | PA      | $716279.86     | 0.00%             | 2047-01-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 36225B2V9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       7941 | PA      | $8343.75       | 0.00%             | 2033-12-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31414E3F9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       4531 | PA      | $4778.84       | 0.00%             | 2038-07-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3131Y7F28<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      12643 | PA      | $12274.75      | 0.00%             | 2033-11-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3133G7WW9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     385672 | PA      | $373607.63     | 0.00%             | 2035-02-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31402RRR2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      13055 | PA      | $13758.15      | 0.00%             | 2035-09-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140QNWL2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   19327823 | PA      | $16544542.10   | 0.07%             | 2052-04-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140QL7F7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1133712 | PA      | $967832.89     | 0.00%             | 2051-10-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138WJAU2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     602600 | PA      | $544562.25     | 0.00%             | 2046-10-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140K3R61<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     676556 | PA      | $655363.12     | 0.00%             | 2034-11-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140J7VX0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     391544 | PA      | $370350.98     | 0.00%             | 2045-01-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 36178GE42<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    1285344 | PA      | $1234599.57    | 0.01%             | 2027-07-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 3617AUDF4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      23719 | PA      | $23032.11      | 0.00%             | 2047-10-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3132M5DY5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      26668 | PA      | $26661.24      | 0.00%             | 2044-02-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 31334XXH7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    3527771 | PA      | $3150525.17    | 0.01%             | 2049-08-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138WV3Q2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       7271 | PA      | $6637.94       | 0.00%             | 2043-06-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae II Pool                               | CUSIP: 36179R7M5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     102832 | PA      | $105678.29     | 0.00%             | 2046-04-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138WG6J8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     783516 | PA      | $730313.43     | 0.00%             | 2046-05-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3133G9F79<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     976092 | PA      | $942511.18     | 0.00%             | 2035-07-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31417TT57<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       1580 | PA      | $1538.65       | 0.00%             | 2039-12-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138EHNZ1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     829906 | PA      | $888891.49     | 0.00%             | 2040-05-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3132LA2L5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    3080827 | PA      | $2880900.32    | 0.01%             | 2049-04-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138YJMR4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      16389 | PA      | $14821.24      | 0.00%             | 2045-06-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138WSB72<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     328315 | PA      | $299733.11     | 0.00%             | 2043-08-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3128M4G56<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |        265 | PA      | $275.43        | 0.00%             | 2037-02-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3128LCNH5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      11319 | PA      | $11951.61      | 0.00%             | 2038-06-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140K8W64<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     390319 | PA      | $376912.45     | 0.00%             | 2035-02-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138YUKT7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       6280 | PA      | $5950.86       | 0.00%             | 2030-06-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 31283HXS9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       3018 | PA      | $3060.40       | 0.00%             | 2033-09-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3132QMNN7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     153811 | PA      | $144376.51     | 0.00%             | 2045-02-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140Q7XT9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     304969 | PA      | $289024.29     | 0.00%             | 2047-11-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140E2UZ2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      69406 | PA      | $63141.02      | 0.00%             | 2045-09-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31374E2Q4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |         36 | PA      | $36.19         | 0.00%             | 2025-06-01      | Fixed         | 8.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 31283HZH1<br>LEI: 254900HROIFWPRGM1V77 | Long             | ABS-MBS          | USGSE             | US        |      22738 | PA      | $23437.18      | 0.00%             | 2034-02-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138X4HL7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     369444 | PA      | $354333.08     | 0.00%             | 2028-08-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 36213FPR8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       1040 | PA      | $1079.24       | 0.00%             | 2033-03-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3128MEPY1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      75955 | PA      | $73726.50      | 0.00%             | 2028-09-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138WDC41<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    2850677 | PA      | $2737790.21    | 0.01%             | 2029-11-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 31283GPG6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |         50 | PA      | $51.03         | 0.00%             | 2025-10-01      | Fixed         | 9.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138ADU86<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       1749 | PA      | $1702.48       | 0.00%             | 2026-05-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140HMXK5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     515944 | PA      | $520210.16     | 0.00%             | 2048-10-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31374W2U5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        368 | PA      | $370.17        | 0.00%             | 2025-11-01      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31388FNW9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       1695 | PA      | $1755.12       | 0.00%             | 2031-07-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31417GR32<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     753773 | PA      | $688152.91     | 0.00%             | 2043-05-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140X4DE3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     435513 | PA      | $393567.56     | 0.00%             | 2047-04-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31419AXV4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      51758 | PA      | $51742.38      | 0.00%             | 2040-10-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138Y9WF1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      15209 | PA      | $15164.24      | 0.00%             | 2044-11-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3133A7WZ8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    1387847 | PA      | $1239218.16    | 0.01%             | 2050-07-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31415LK30<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       2925 | PA      | $3040.20       | 0.00%             | 2038-07-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 36295SW85<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       8881 | PA      | $9124.80       | 0.00%             | 2038-04-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae II Pool                               | CUSIP: 36179RTB5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    2691073 | PA      | $2695901.30    | 0.01%             | 2045-11-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140KVSY7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    8368484 | PA      | $6916596.16    | 0.03%             | 2050-12-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 31293PAX3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       2783 | PA      | $2843.28       | 0.00%             | 2029-04-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140X6F55<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   11842910 | PA      | $10576510.49   | 0.05%             | 2050-03-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae II Pool                               | CUSIP: 36179NDR6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     859179 | PA      | $816512.99     | 0.00%             | 2043-05-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3128MJL24<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      17069 | PA      | $17078.72      | 0.00%             | 2039-05-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 31297CLL2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       7725 | PA      | $8142.41       | 0.00%             | 2034-07-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 3617AG7A3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     314909 | PA      | $323052.76     | 0.00%             | 2047-07-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3131YAZV5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     188280 | PA      | $185843.12     | 0.00%             | 2049-03-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3133ABSH4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    1998344 | PA      | $1718802.52    | 0.01%             | 2050-11-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 36209STJ0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |         97 | PA      | $97.97         | 0.00%             | 2028-06-15      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 36201FDA2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       1839 | PA      | $1903.18       | 0.00%             | 2032-10-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31376HXP3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        783 | PA      | $791.33        | 0.00%             | 2026-09-01      | Fixed         | 8.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140KDAQ3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1708361 | PA      | $1484803.29    | 0.01%             | 2050-05-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3128MCRV9<br>LEI: 254900HROIFWPRGM1V77 | Long             | ABS-MBS          | USGSE             | US        |          2 | PA      | $2.21          | 0.00%             | 2024-12-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 312933BM5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       3133 | PA      | $3134.91       | 0.00%             | 2039-05-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140JXDE5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    2398350 | PA      | $2160041.94    | 0.01%             | 2049-08-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31411YGE7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       7852 | PA      | $7996.26       | 0.00%             | 2037-05-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3132M5DD1<br>LEI: 254900HROIFWPRGM1V77 | Long             | ABS-MBS          | USGSE             | US        |     555690 | PA      | $540792.90     | 0.00%             | 2044-02-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31418RBK6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       4150 | PA      | $4082.32       | 0.00%             | 2025-03-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3128MJ3B4<br>LEI: 254900HROIFWPRGM1V77 | Long             | ABS-MBS          | USGSE             | US        |    2021870 | PA      | $1946074.31    | 0.01%             | 2047-12-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3133AGB24<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    8181023 | PA      | $6731848.04    | 0.03%             | 2051-02-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3133B5ZF2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   14263841 | PA      | $13089844.05   | 0.06%             | 2052-03-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138M7W43<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1054113 | PA      | $995052.00     | 0.00%             | 2042-08-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31417V3S0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      30766 | PA      | $30753.29      | 0.00%             | 2040-01-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140JVZP0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     412762 | PA      | $399832.44     | 0.00%             | 2034-10-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 3620AVQP0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      33888 | PA      | $34005.49      | 0.00%             | 2040-06-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138YTU51<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     502943 | PA      | $476587.42     | 0.00%             | 2030-06-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31389WYU3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        698 | PA      | $726.01        | 0.00%             | 2032-04-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31412QWV7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      38753 | PA      | $39566.18      | 0.00%             | 2039-12-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138EQZR6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     901335 | PA      | $855297.20     | 0.00%             | 2046-01-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138YBS38<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     210747 | PA      | $199703.70     | 0.00%             | 2030-02-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3129336D1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      16898 | PA      | $16475.12      | 0.00%             | 2039-07-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138M57K9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     814517 | PA      | $773528.28     | 0.00%             | 2042-09-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 31294L6X6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       2754 | PA      | $2712.31       | 0.00%             | 2025-04-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3128K8AJ5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       1557 | PA      | $1554.46       | 0.00%             | 2035-10-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 31307PUC1<br>LEI: 254900HROIFWPRGM1V77 | Long             | ABS-MBS          | USGSE             | US        |     565142 | PA      | $541543.03     | 0.00%             | 2030-11-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140XGT74<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1290958 | PA      | $1201139.04    | 0.01%             | 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        |    2112966 | PA      | $1971491.15    | 0.01%             | 2046-12-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 31307LJ58<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      11749 | PA      | $11499.94      | 0.00%             | 2029-11-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138YRP85<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     415689 | PA      | $388036.47     | 0.00%             | 2045-05-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 3620A7ZP3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    2071380 | PA      | $2078548.84    | 0.01%             | 2040-08-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3133A4KA3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    3214603 | PA      | $2865565.56    | 0.01%             | 2050-05-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138WJRD2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     372702 | PA      | $347394.77     | 0.00%             | 2047-01-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31379EG68<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |         63 | PA      | $62.98         | 0.00%             | 2025-09-01      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 36202U6S7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      10628 | PA      | $11019.15      | 0.00%             | 2033-05-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 3620C04W5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      21104 | PA      | $21176.71      | 0.00%             | 2040-07-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140QA2X7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    6163851 | PA      | $5944589.98    | 0.03%             | 2049-05-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 36225AG46<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |         19 | PA      | $19.24         | 0.00%             | 2025-08-15      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31416HAF2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        634 | PA      | $659.53        | 0.00%             | 2038-11-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3128M86U3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      25873 | PA      | $26463.99      | 0.00%             | 2041-10-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140E9HM1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       3161 | PA      | $3055.54       | 0.00%             | 2045-12-01      | 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        |    1501179 | PA      | $1400394.29    | 0.01%             | 2047-12-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31409GGX8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       5762 | PA      | $5859.67       | 0.00%             | 2036-06-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3132QW2S7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       9171 | PA      | $8556.87       | 0.00%             | 2046-04-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3129274H6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       1734 | PA      | $1831.15       | 0.00%             | 2038-09-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3128MMRA3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      62533 | PA      | $59181.43      | 0.00%             | 2028-09-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140M2E24<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   17280532 | PA      | $14287915.41   | 0.06%             | 2051-10-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 36241LLD6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      32005 | PA      | $32986.01      | 0.00%             | 2040-07-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31418BEV4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      15764 | PA      | $14988.82      | 0.00%             | 2029-05-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 31335BMC7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     202596 | PA      | $183398.28     | 0.00%             | 2046-10-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3128MJLW8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       3237 | PA      | $3238.75       | 0.00%             | 2039-04-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3132DWE74<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    3450719 | PA      | $3432899.12    | 0.01%             | 2052-10-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 36295NEE3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       1697 | PA      | $1754.99       | 0.00%             | 2038-03-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3133G7R62<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    4414483 | PA      | $4092774.11    | 0.02%             | 2035-01-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138WFZF6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     331354 | PA      | $313990.53     | 0.00%             | 2030-11-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31417AQL6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     213621 | PA      | $207536.29     | 0.00%             | 2041-12-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31385HUU4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        528 | PA      | $561.21        | 0.00%             | 2031-09-01      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 31292JBM1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |        880 | PA      | $878.59        | 0.00%             | 2034-04-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3132XY5R4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     960327 | PA      | $956671.21     | 0.00%             | 2048-05-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138EEBP3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      24310 | PA      | $23576.81      | 0.00%             | 2027-04-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3132DWBZ5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    3538136 | PA      | $3034463.20    | 0.01%             | 2051-07-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138AFWX4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1905333 | PA      | $1904775.50    | 0.01%             | 2041-05-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31418ABT4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1009114 | PA      | $975724.64     | 0.00%             | 2032-01-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31414EDB7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      34101 | PA      | $35445.62      | 0.00%             | 2038-06-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31384VVZ2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        657 | PA      | $711.97        | 0.00%             | 2030-04-01      | Fixed         | 8.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3132JPS52<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     317638 | PA      | $319898.42     | 0.00%             | 2043-10-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3128MJPG9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      16956 | PA      | $16967.21      | 0.00%             | 2040-10-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31383UR98<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        317 | PA      | $324.01        | 0.00%             | 2029-09-01      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 36296QH93<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       3679 | PA      | $3841.35       | 0.00%             | 2039-02-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3128MFKN7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    1792428 | PA      | $1708347.53    | 0.01%             | 2033-01-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138YHYV6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1225260 | PA      | $1176740.33    | 0.01%             | 2030-02-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31413BZU8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       2624 | PA      | $2767.99       | 0.00%             | 2037-10-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140KKNA8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1399742 | PA      | $1296626.59    | 0.01%             | 2035-08-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138MDPK2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     331356 | PA      | $314413.56     | 0.00%             | 2032-10-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140JYXC5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1633712 | PA      | $1528396.23    | 0.01%             | 2049-07-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140Q9SE4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       5357 | PA      | $5149.56       | 0.00%             | 2048-07-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 31292GR24<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |        217 | PA      | $226.26        | 0.00%             | 2027-03-01      | Fixed         | 8.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 3620A2H82<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     232597 | PA      | $233415.97     | 0.00%             | 2039-07-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 31329PBA0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    7150715 | PA      | $6709793.15    | 0.03%             | 2048-06-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae II Pool                               | CUSIP: 36179UGD8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      67536 | PA      | $66930.06      | 0.00%             | 2048-11-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 36178EDM8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      14811 | PA      | $13601.11      | 0.00%             | 2043-05-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 36210QZP0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        602 | PA      | $608.61        | 0.00%             | 2029-04-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae II Pool                               | CUSIP: 36202F4S2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      12963 | PA      | $13066.22      | 0.00%             | 2042-03-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31391RZ47<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       2470 | PA      | $2582.88       | 0.00%             | 2032-12-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 3620ANDM9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        943 | PA      | $945.83        | 0.00%             | 2040-07-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31418CEF7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   39200946 | PA      | $35425413.53   | 0.15%             | 2046-12-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138YMZH5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      88473 | PA      | $84698.68      | 0.00%             | 2030-04-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31418UC69<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       6887 | PA      | $6796.07       | 0.00%             | 2025-05-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140KC3S9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     714796 | PA      | $676303.45     | 0.00%             | 2035-04-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31418ACD8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       5074 | PA      | $5072.76       | 0.00%             | 2041-12-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31403MX79<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       3707 | PA      | $3817.11       | 0.00%             | 2034-01-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31411WVC8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       1210 | PA      | $1257.28       | 0.00%             | 2037-05-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3132M7X37<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      29368 | PA      | $28489.33      | 0.00%             | 2044-07-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138EGNL4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     407662 | PA      | $416509.26     | 0.00%             | 2041-06-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3132DM5P6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   74614743 | PA      | $63696239.74   | 0.27%             | 2052-01-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 31335BNL6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    9081698 | PA      | $8485638.65    | 0.04%             | 2047-09-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140H1RD4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     651097 | PA      | $617056.25     | 0.00%             | 2048-01-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138WJBY3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     175836 | PA      | $174154.06     | 0.00%             | 2046-10-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140H7T64<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     718754 | PA      | $709807.03     | 0.00%             | 2033-08-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 31329JPW1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     281946 | PA      | $265863.33     | 0.00%             | 2042-08-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 31287QPV7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |        170 | PA      | $177.51        | 0.00%             | 2032-03-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31418EJU5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    2470438 | PA      | $2322017.57    | 0.01%             | 2037-10-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 36297FSM5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     413362 | PA      | $414817.34     | 0.00%             | 2039-08-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140JX3E6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1239096 | PA      | $1123128.24    | 0.00%             | 2049-12-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138M6XS1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1148989 | PA      | $1083468.69    | 0.00%             | 2042-09-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3133G6VS1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     598520 | PA      | $554902.21     | 0.00%             | 2034-09-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae II Pool                               | CUSIP: 36202EYL7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      23827 | PA      | $24808.01      | 0.00%             | 2038-12-20      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3128MJCT5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       2146 | PA      | $2264.29       | 0.00%             | 2035-09-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138XMLY4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       2296 | PA      | $2205.17       | 0.00%             | 2029-03-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3131XMC86<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     455829 | PA      | $417159.12     | 0.00%             | 2043-04-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3128MJDK3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       6778 | PA      | $7037.89       | 0.00%             | 2036-01-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3131XKE62<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     160247 | PA      | $151106.88     | 0.00%             | 2042-09-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3132D6BS8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    7298306 | PA      | $6734600.51    | 0.03%             | 2037-04-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31373URK5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |         65 | PA      | $65.84         | 0.00%             | 2026-05-01      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 36176RRQ7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       8850 | PA      | $8880.77       | 0.00%             | 2041-09-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138WHHS4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      60423 | PA      | $56887.41      | 0.00%             | 2031-06-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31374GSG3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |         37 | PA      | $37.74         | 0.00%             | 2027-11-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31418MUB6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      66325 | PA      | $67716.77      | 0.00%             | 2040-01-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 36209R5D1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |         25 | PA      | $25.06         | 0.00%             | 2030-11-15      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 36207P2J7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        591 | PA      | $597.03        | 0.00%             | 2026-09-15      | Fixed         | 8.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae II Pool                               | CUSIP: 36179XFH4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    1993377 | PA      | $1949889.92    | 0.01%             | 2052-09-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3132ABBZ4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     139090 | PA      | $131156.56     | 0.00%             | 2044-12-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140KNFF0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     941055 | PA      | $878941.78     | 0.00%             | 2050-08-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 36225AUH1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        426 | PA      | $433.57        | 0.00%             | 2027-06-15      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31418CQH0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     221497 | PA      | $210905.39     | 0.00%             | 2032-10-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3128MJZ37<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    2655020 | PA      | $2476769.24    | 0.01%             | 2047-05-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3133A8SP3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    5776907 | PA      | $5198106.84    | 0.02%             | 2050-08-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31417GHW9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     279079 | PA      | $254783.71     | 0.00%             | 2043-05-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140K7EM1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     464998 | PA      | $431140.75     | 0.00%             | 2035-01-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3132KE2D6<br>LEI: 254900HROIFWPRGM1V77 | Long             | ABS-MBS          | USGSE             | US        |     543800 | PA      | $515809.23     | 0.00%             | 2030-03-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140MBLC4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1073373 | PA      | $883869.94     | 0.00%             | 2051-12-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 31307SSB0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     567068 | PA      | $541061.27     | 0.00%             | 2031-12-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140QPCC9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1567091 | PA      | $1342331.07    | 0.01%             | 2052-02-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3132AEB39<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    2782683 | PA      | $2752241.09    | 0.01%             | 2049-04-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3128MMXF5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     256056 | PA      | $244044.86     | 0.00%             | 2033-02-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 31307U3M8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    1270515 | PA      | $1210916.48    | 0.01%             | 2032-12-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31410KJ39<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       1685 | PA      | $1710.41       | 0.00%             | 2036-12-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31418AA57<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      29877 | PA      | $29868.03      | 0.00%             | 2041-12-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3128LXBH2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     480590 | PA      | $487673.52     | 0.00%             | 2035-07-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3128KHFE1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       1322 | PA      | $1395.56       | 0.00%             | 2036-05-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31368HK85<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        203 | PA      | $210.09        | 0.00%             | 2032-02-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140QK6M5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     677837 | PA      | $643354.43     | 0.00%             | 2051-05-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140K8V40<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     890808 | PA      | $833662.42     | 0.00%             | 2050-02-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140K8K91<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    2675894 | PA      | $2414163.79    | 0.01%             | 2050-01-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 31339USM3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     715759 | PA      | $639218.75     | 0.00%             | 2049-10-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31418UJ54<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        223 | PA      | $218.88        | 0.00%             | 2025-05-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3132A5FS9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     717706 | PA      | $648584.54     | 0.00%             | 2046-09-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31409JH78<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |         47 | PA      | $47.76         | 0.00%             | 2036-05-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31415PYX0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      39856 | PA      | $41428.53      | 0.00%             | 2038-06-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138YL2H3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1998447 | PA      | $1882992.04    | 0.01%             | 2045-04-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140QFYF0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    2626579 | PA      | $2536361.84    | 0.01%             | 2035-11-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3132XSEH9<br>LEI: 254900HROIFWPRGM1V77 | Long             | ABS-MBS          | USGSE             | US        |     203956 | PA      | $190263.07     | 0.00%             | 2047-08-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3133G7E74<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    1993607 | PA      | $1931244.21    | 0.01%             | 2034-11-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140K6BQ7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1110416 | PA      | $1107178.32    | 0.00%             | 2049-12-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140QEKL5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   34601748 | PA      | $29789024.89   | 0.13%             | 2050-08-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 31297FF99<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       1059 | PA      | $1093.61       | 0.00%             | 2034-10-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138WG5G5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    2574915 | PA      | $2454381.68    | 0.01%             | 2031-05-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae II Pool                               | CUSIP: 3617J9T99<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     474476 | PA      | $467177.17     | 0.00%             | 2049-02-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31418SV97<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       1116 | PA      | $1094.46       | 0.00%             | 2026-03-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140K1H82<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     603070 | PA      | $559165.93     | 0.00%             | 2034-09-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138X4DF4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       9918 | PA      | $9512.23       | 0.00%             | 2028-08-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 3617A6JG9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      11326 | PA      | $11015.14      | 0.00%             | 2045-08-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138EPKL7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     208123 | PA      | $203520.50     | 0.00%             | 2030-04-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae II Pool                               | CUSIP: 36179UD74<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    1020490 | PA      | $936535.47     | 0.00%             | 2048-10-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31416JEJ6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        170 | PA      | $168.62        | 0.00%             | 2023-12-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 36210B4E2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      47501 | PA      | $48923.49      | 0.00%             | 2039-03-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 31287L7D8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |        471 | PA      | $485.08        | 0.00%             | 2031-12-01      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3128MJFA3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       3751 | PA      | $3901.14       | 0.00%             | 2036-11-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140HFFN4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     244666 | PA      | $243046.43     | 0.00%             | 2048-03-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31418CK78<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       7118 | PA      | $7031.63       | 0.00%             | 2032-04-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140KL4A7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    4945307 | PA      | $4281073.63    | 0.02%             | 2050-10-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3132WGP35<br>LEI: 254900HROIFWPRGM1V77 | Long             | ABS-MBS          | USGSE             | US        |     328071 | PA      | $308143.27     | 0.00%             | 2046-09-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3131XUJM0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     401073 | PA      | $380276.45     | 0.00%             | 2046-05-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31407HWC6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        356 | PA      | $362.21        | 0.00%             | 2036-04-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140JPME2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     284017 | PA      | $275120.57     | 0.00%             | 2034-05-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138WAT80<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        922 | PA      | $920.55        | 0.00%             | 2044-01-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 31335BKK1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    2951963 | PA      | $2776565.27    | 0.01%             | 2047-09-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3131Y9H48<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     316433 | PA      | $317063.88     | 0.00%             | 2034-02-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138WGVQ4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       7165 | PA      | $6678.74       | 0.00%             | 2046-04-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3128M76T8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      15603 | PA      | $15613.72      | 0.00%             | 2040-09-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140FRF59<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       7122 | PA      | $6705.48       | 0.00%             | 2031-12-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140LQBM1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    3455010 | PA      | $2862428.97    | 0.01%             | 2051-07-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140Q7HP5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    3902832 | PA      | $3752922.65    | 0.02%             | 2047-08-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 36296QPU7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      48795 | PA      | $52075.85      | 0.00%             | 2039-01-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140H2G51<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    2823634 | PA      | $2676007.33    | 0.01%             | 2047-12-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140FSGM9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      67894 | PA      | $67244.92      | 0.00%             | 2047-01-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31416RRB1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      46879 | PA      | $46859.63      | 0.00%             | 2039-06-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3128Q0VE4<br>LEI: 254900HROIFWPRGM1V77 | Long             | ABS-MBS          | USGSE             | US        |      78508 | PA      | $76215.38      | 0.00%             | 2027-07-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138ASSB9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    5556569 | PA      | $5554943.98    | 0.02%             | 2041-09-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138ATFL9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       5736 | PA      | $5572.92       | 0.00%             | 2026-10-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3133A2XF2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    1581181 | PA      | $1485855.22    | 0.01%             | 2050-03-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3128MMTS2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     104387 | PA      | $99014.42      | 0.00%             | 2030-07-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3133KMXX8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   72459838 | PA      | $62030292.77   | 0.26%             | 2051-10-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 36290QY74<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       1326 | PA      | $1328.77       | 0.00%             | 2033-05-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae II Pool                               | CUSIP: 3617BQLT3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     345753 | PA      | $322793.35     | 0.00%             | 2047-11-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140K5XZ5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1267425 | PA      | $1183227.40    | 0.01%             | 2050-01-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 36207PS67<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        639 | PA      | $643.13        | 0.00%             | 2028-03-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 31283GUL9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |        833 | PA      | $836.56        | 0.00%             | 2026-08-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138MPXJ9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |         34 | PA      | $34.27         | 0.00%             | 2022-12-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31412NJC1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       1817 | PA      | $1916.29       | 0.00%             | 2038-10-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31410KWX8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       3167 | PA      | $3291.93       | 0.00%             | 2038-08-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31410FVM4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      10761 | PA      | $10924.47      | 0.00%             | 2035-10-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140FUJH2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      23483 | PA      | $22574.39      | 0.00%             | 2048-05-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140HKE46<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     917185 | PA      | $899442.05     | 0.00%             | 2050-09-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3132A4R59<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     214937 | PA      | $214674.96     | 0.00%             | 2044-10-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31388VX78<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       5776 | PA      | $5928.61       | 0.00%             | 2031-12-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3131XCZ26<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     365472 | PA      | $355328.96     | 0.00%             | 2032-08-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31418CQF4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   19014038 | PA      | $18616232.21   | 0.08%             | 2037-10-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 31293BAK2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |        117 | PA      | $121.41        | 0.00%             | 2028-10-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 312941SE8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      25193 | PA      | $25210.24      | 0.00%             | 2040-07-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31411WZP5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        251 | PA      | $260.35        | 0.00%             | 2037-05-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3131YBU97<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     252409 | PA      | $225417.52     | 0.00%             | 2049-04-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31418DLM2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1291685 | PA      | $1222696.28    | 0.01%             | 2035-02-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140GQXV3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1510543 | PA      | $1456867.39    | 0.01%             | 2047-06-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31412LM49<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      81882 | PA      | $85091.64      | 0.00%             | 2037-06-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 3620AMEE8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      52252 | PA      | $53873.58      | 0.00%             | 2040-06-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140XGQ69<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    6226918 | PA      | $5549829.27    | 0.02%             | 2051-12-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae II Pool                               | CUSIP: 36179SUV7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   22847421 | PA      | $21614599.73   | 0.09%             | 2047-01-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3132A9U88<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     486974 | PA      | $487945.37     | 0.00%             | 2033-04-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140QMVC5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   16751836 | PA      | $14336383.21   | 0.06%             | 2051-12-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138YLHP9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     267034 | PA      | $253040.92     | 0.00%             | 2030-04-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140FVVS2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      63947 | PA      | $63280.85      | 0.00%             | 2047-06-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3133A3XQ6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    1059321 | PA      | $1057740.46    | 0.00%             | 2050-04-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140X7HN2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     149127 | PA      | $130664.27     | 0.00%             | 2035-09-01      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3128MAD63<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     951762 | PA      | $929887.28     | 0.00%             | 2045-02-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138WJUG1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     348412 | PA      | $328059.96     | 0.00%             | 2047-01-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31418U4W1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     589690 | PA      | $602466.14     | 0.00%             | 2040-07-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140XHZ34<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    8864022 | PA      | $8926799.64    | 0.04%             | 2052-08-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 36204LEP2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |         16 | PA      | $15.57         | 0.00%             | 2023-12-15      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 36290RRD7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       1149 | PA      | $1191.66       | 0.00%             | 2033-07-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3133GB5N0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    1297398 | PA      | $1200808.78    | 0.01%             | 2036-01-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 31297DSU3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       9300 | PA      | $9601.78       | 0.00%             | 2034-08-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3128MJV56<br>LEI: 254900HROIFWPRGM1V77 | Long             | ABS-MBS          | USGSE             | US        |   23160758 | PA      | $20966086.03   | 0.09%             | 2045-04-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31371MNS2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       1559 | PA      | $1616.96       | 0.00%             | 2036-02-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 3620A8LE1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       6343 | PA      | $6364.92       | 0.00%             | 2039-08-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140JUEG5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     508725 | PA      | $481554.23     | 0.00%             | 2034-07-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138AJMD1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1032709 | PA      | $1011645.96    | 0.00%             | 2026-06-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3133G82Q3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     602613 | PA      | $570147.49     | 0.00%             | 2035-06-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae II Pool                               | CUSIP: 36197FQW6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     345851 | PA      | $326703.25     | 0.00%             | 2047-04-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3128K26E4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       1036 | PA      | $1092.44       | 0.00%             | 2036-02-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31415WPB3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     151363 | PA      | $157333.46     | 0.00%             | 2038-11-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3132WF3E7<br>LEI: 254900HROIFWPRGM1V77 | Long             | ABS-MBS          | USGSE             | US        |    3298513 | PA      | $3077658.78    | 0.01%             | 2046-08-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3133ADGZ3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    2210667 | PA      | $1817077.43    | 0.01%             | 2050-12-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140X7VZ9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   57174747 | PA      | $49087095.67   | 0.21%             | 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        |     163746 | PA      | $160385.10     | 0.00%             | 2029-01-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31384V4S8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        165 | PA      | $178.14        | 0.00%             | 2030-10-01      | Fixed         | 8.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140HPCL9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     592720 | PA      | $575436.19     | 0.00%             | 2033-12-01      | 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        |    3264170 | PA      | $3045023.02    | 0.01%             | 2047-07-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31403C6L0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       8306 | PA      | $8432.52       | 0.00%             | 2036-02-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138YJKZ8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      97506 | PA      | $93346.38      | 0.00%             | 2030-04-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 31297TMN0<br>LEI: 254900HROIFWPRGM1V77 | Long             | ABS-MBS          | USGSE             | US        |      73339 | PA      | $74535.93      | 0.00%             | 2035-09-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140QP2Q9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    4932109 | PA      | $4666637.67    | 0.02%             | 2052-08-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3131XCRT6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     466479 | PA      | $453533.37     | 0.00%             | 2032-03-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 31307W5U4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     394347 | PA      | $375301.98     | 0.00%             | 2033-11-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138EJYJ1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       6825 | PA      | $6644.00       | 0.00%             | 2041-10-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140HEPD8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     538751 | PA      | $537484.94     | 0.00%             | 2048-08-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140FFA27<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     140860 | PA      | $128248.62     | 0.00%             | 2046-09-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 31292GXS0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       1532 | PA      | $1588.83       | 0.00%             | 2028-12-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 3620AHM42<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       3850 | PA      | $3863.77       | 0.00%             | 2040-02-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae II Pool                               | CUSIP: 36179SSP3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   30166617 | PA      | $27680001.11   | 0.12%             | 2046-12-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138XUAU6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     156166 | PA      | $149982.07     | 0.00%             | 2029-09-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3128F54B1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |         54 | PA      | $54.06         | 0.00%             | 2025-12-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31412Q7E3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     227319 | PA      | $227226.95     | 0.00%             | 2040-02-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140JXCZ9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     533445 | PA      | $504953.42     | 0.00%             | 2034-09-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3128MJDF4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |        872 | PA      | $919.69        | 0.00%             | 2035-12-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31418S2N8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     141762 | PA      | $144833.71     | 0.00%             | 2040-09-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140FE2R4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1255916 | PA      | $1190253.73    | 0.01%             | 2047-03-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31383HYN8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        194 | PA      | $194.56        | 0.00%             | 2029-07-01      | Fixed         | 8.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3128L5D65<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       4619 | PA      | $4709.66       | 0.00%             | 2038-01-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3128K8NP7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |        160 | PA      | $162.93        | 0.00%             | 2035-11-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138EHAX0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      10357 | PA      | $10326.16      | 0.00%             | 2038-06-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140F4HR0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      52076 | PA      | $45522.49      | 0.00%             | 2046-05-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138X2R63<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     137102 | PA      | $125166.51     | 0.00%             | 2043-07-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138Y6KM5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     592356 | PA      | $557819.78     | 0.00%             | 2044-09-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138AKRH4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      17203 | PA      | $17197.78      | 0.00%             | 2041-07-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3133WJGK9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    1785720 | PA      | $1605817.41    | 0.01%             | 2037-05-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae II Pool                               | CUSIP: 36179SSQ1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    8426006 | PA      | $7971348.07    | 0.03%             | 2046-12-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae II Pool                               | CUSIP: 36202FJR8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     834937 | PA      | $858051.10     | 0.00%             | 2040-08-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3132M32N6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     831236 | PA      | $807936.99     | 0.00%             | 2043-12-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 36178D7F2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      20275 | PA      | $18619.26      | 0.00%             | 2043-04-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31418EEA4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    8270687 | PA      | $7631583.82    | 0.03%             | 2037-06-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140Q7HS9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1655526 | PA      | $1542842.80    | 0.01%             | 2047-08-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3131XR6S8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     701998 | PA      | $642451.30     | 0.00%             | 2045-07-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3128PX7M2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      26511 | PA      | $25576.07      | 0.00%             | 2027-02-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140KQJQ5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    7045020 | PA      | $6059405.12    | 0.03%             | 2050-11-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae II Pool                               | CUSIP: 36179QWH0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     251581 | PA      | $258585.54     | 0.00%             | 2044-12-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138WF2Y1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    7162609 | PA      | $6724833.35    | 0.03%             | 2045-11-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31418EDE7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     338817 | PA      | $310037.62     | 0.00%             | 2052-05-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3128MJQR4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       2485 | PA      | $2416.96       | 0.00%             | 2041-10-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140X6LV1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1624717 | PA      | $1638113.05    | 0.01%             | 2050-03-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31418RRE3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      21771 | PA      | $21764.09      | 0.00%             | 2040-05-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 36225ADS6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        344 | PA      | $345.66        | 0.00%             | 2024-10-15      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3131XJKM3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      84721 | PA      | $79973.11      | 0.00%             | 2042-04-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3132VLQD2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    1398002 | PA      | $1382856.24    | 0.01%             | 2048-12-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140JYGX8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      58055 | PA      | $54239.25      | 0.00%             | 2049-08-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3128K7ZC5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       2214 | PA      | $2249.65       | 0.00%             | 2035-09-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae II Pool                               | CUSIP: 36179WBX5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   11960377 | PA      | $10205094.38   | 0.04%             | 2051-03-20      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138YRGB8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     387124 | PA      | $366837.55     | 0.00%             | 2030-07-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3132XW5W7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    1715226 | PA      | $1665359.37    | 0.01%             | 2048-02-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140FM4S2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     625946 | PA      | $587333.10     | 0.00%             | 2046-12-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 312946KF2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      32283 | PA      | $32304.67      | 0.00%             | 2041-03-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3132AA2Q6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    2156450 | PA      | $1969701.48    | 0.01%             | 2043-04-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138YYFF5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     304756 | PA      | $291753.17     | 0.00%             | 2030-09-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3133GCZJ4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    1297132 | PA      | $1165273.28    | 0.00%             | 2036-05-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 31296WDQ7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |        297 | PA      | $306.43        | 0.00%             | 2031-10-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 36207KCF5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        602 | PA      | $618.35        | 0.00%             | 2028-09-15      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140J5LJ6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1233094 | PA      | $1175372.38    | 0.01%             | 2032-05-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3132GLHL1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      48990 | PA      | $47639.48      | 0.00%             | 2041-12-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3131XYG86<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    1297436 | PA      | $1209113.66    | 0.01%             | 2047-11-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140KNKA5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    2292895 | PA      | $2125537.60    | 0.01%             | 2050-09-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3128MJV64<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       3322 | PA      | $3104.29       | 0.00%             | 2045-04-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31380TDG3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |         98 | PA      | $100.53        | 0.00%             | 2029-02-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31416M6W9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       7030 | PA      | $7177.12       | 0.00%             | 2039-04-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140H7NA1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     216624 | PA      | $218414.86     | 0.00%             | 2048-04-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3128PRN54<br>LEI: 254900HROIFWPRGM1V77 | Long             | ABS-MBS          | USGSE             | US        |     325804 | PA      | $320366.72     | 0.00%             | 2025-05-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31418AXY9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     112911 | PA      | $112772.62     | 0.00%             | 2043-09-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae II Pool                               | CUSIP: 36179VFR6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     262255 | PA      | $252948.14     | 0.00%             | 2050-02-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3132XV4V2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      52186 | PA      | $48682.09      | 0.00%             | 2048-01-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31373UEY9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |         24 | PA      | $23.92         | 0.00%             | 2025-10-01      | Fixed         | 8.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138X6M51<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     250719 | PA      | $243130.99     | 0.00%             | 2028-09-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140GRKH6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     493287 | PA      | $469698.81     | 0.00%             | 2032-07-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 36176WR37<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       9723 | PA      | $9550.56       | 0.00%             | 2041-12-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140XDBB1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   17392532 | PA      | $14903583.28   | 0.06%             | 2051-10-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31371MMH7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       1737 | PA      | $1830.28       | 0.00%             | 2036-01-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31387BAY9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       1494 | PA      | $1533.79       | 0.00%             | 2031-04-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| UMBS, TBA                                      | Uniform Mortgage-Backed Security, TBA            | CUSIP: 01F0226C4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |  295890000 | PA      | $253101533.51  | 1.08%             | 2052-12-15      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140Q8KG9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     293053 | PA      | $283830.72     | 0.00%             | 2048-02-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae II Pool                               | CUSIP: 3622A2R38<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     990005 | PA      | $938739.71     | 0.00%             | 2046-01-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31416HYV1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        102 | PA      | $101.48        | 0.00%             | 2024-02-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| UMBS, TBA                                      | Uniform Mortgage-Backed Security, TBA            | CUSIP: 01F0506C5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |  151549000 | PA      | $150791255.00  | 0.64%             | 2052-12-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140Q95P4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      21263 | PA      | $21439.22      | 0.00%             | 2048-08-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 36178NF87<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    2520108 | PA      | $2314360.82    | 0.01%             | 2042-09-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31412S3P8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      16441 | PA      | $16766.73      | 0.00%             | 2038-05-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 36294RBU2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        330 | PA      | $346.89        | 0.00%             | 2037-05-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3128FYZP3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |        181 | PA      | $187.66        | 0.00%             | 2028-04-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 36294YPG3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       1487 | PA      | $1583.47       | 0.00%             | 2037-02-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138LTJF6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      15695 | PA      | $15229.53      | 0.00%             | 2042-05-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae II Pool                               | CUSIP: 36202FXC5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    1378913 | PA      | $1389914.02    | 0.01%             | 2041-09-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140J9VD0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     123952 | PA      | $118025.05     | 0.00%             | 2033-11-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31417AJE0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     514013 | PA      | $495859.45     | 0.00%             | 2026-11-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3128MMSG9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     354360 | PA      | $340646.87     | 0.00%             | 2029-07-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3128M8NC4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       3554 | PA      | $3752.37       | 0.00%             | 2039-11-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140Q7LA3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    6346124 | PA      | $6129222.18    | 0.03%             | 2047-09-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140LTG73<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    7370617 | PA      | $6355004.09    | 0.03%             | 2051-09-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 31297VQ92<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |        694 | PA      | $732.53        | 0.00%             | 2036-01-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3132DV5U5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    2959293 | PA      | $2883506.49    | 0.01%             | 2050-04-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 31292GXH4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |        595 | PA      | $613.76        | 0.00%             | 2028-11-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3132DWB85<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    1491258 | PA      | $1369605.22    | 0.01%             | 2051-08-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3128LBU97<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       1785 | PA      | $1857.22       | 0.00%             | 2038-05-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3133B4AC9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    8000458 | PA      | $7347061.86    | 0.03%             | 2052-02-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31412NUN4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     203577 | PA      | $207603.98     | 0.00%             | 2039-01-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31401D2L4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      22288 | PA      | $22949.03      | 0.00%             | 2033-05-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae II Pool                               | CUSIP: 3617J3VM0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     119928 | PA      | $121224.47     | 0.00%             | 2048-11-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3133G8CP4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     341971 | PA      | $323547.60     | 0.00%             | 2035-03-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140Q9T78<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    2222321 | PA      | $2240697.91    | 0.01%             | 2048-09-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140J7YU3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     536142 | PA      | $521254.20     | 0.00%             | 2032-12-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140HH4V4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1182128 | PA      | $1168175.55    | 0.00%             | 2048-06-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31410GW90<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      49328 | PA      | $52843.54      | 0.00%             | 2037-12-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3133A95M3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     964131 | PA      | $836923.38     | 0.00%             | 2050-09-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3128M8FK5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       3078 | PA      | $3249.79       | 0.00%             | 2036-10-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140QFMX4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   49947428 | PA      | $42976523.40   | 0.18%             | 2050-11-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31418DNA6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1970414 | PA      | $1823662.63    | 0.01%             | 2035-04-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 36225BDE5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        831 | PA      | $862.11        | 0.00%             | 2029-03-15      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3128MEYY1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       9695 | PA      | $9373.70       | 0.00%             | 2028-07-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138EJPG7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    2382760 | PA      | $2310885.61    | 0.01%             | 2027-08-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3132DWDC4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |  153979566 | PA      | $126533213.74  | 0.54%             | 2052-03-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140EUE21<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     551792 | PA      | $518067.15     | 0.00%             | 2046-01-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 312936RV1<br>LEI: 254900HROIFWPRGM1V77 | Long             | ABS-MBS          | USGSE             | US        |      11173 | PA      | $11179.09      | 0.00%             | 2039-10-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3131XV3J2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     195328 | PA      | $189976.96     | 0.00%             | 2047-02-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31400HMV2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |         63 | PA      | $66.20         | 0.00%             | 2033-03-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140HPF77<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     351767 | PA      | $347615.09     | 0.00%             | 2048-11-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140X72P3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      31500 | PA      | $28321.73      | 0.00%             | 2035-10-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 31287PSP9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       1421 | PA      | $1473.45       | 0.00%             | 2032-02-01      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3133GATF3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    1153211 | PA      | $1010289.60    | 0.00%             | 2035-11-01      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 36294YNA8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        212 | PA      | $219.25        | 0.00%             | 2037-01-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140XFM73<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     994969 | PA      | $849390.69     | 0.00%             | 2052-01-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3128MCH57<br>LEI: 254900HROIFWPRGM1V77 | Long             | ABS-MBS          | USGSE             | US        |      57101 | PA      | $56510.97      | 0.00%             | 2024-09-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31418ECT5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   21966843 | PA      | $19205747.49   | 0.08%             | 2037-04-01      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31402QWA5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      33932 | PA      | $34996.59      | 0.00%             | 2035-01-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140X75R6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      11987 | PA      | $11084.22      | 0.00%             | 2035-08-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3133L7YC5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   10277884 | PA      | $9512713.02    | 0.04%             | 2035-09-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140E05K7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      12235 | PA      | $11064.74      | 0.00%             | 2045-09-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140FUQQ4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     561955 | PA      | $559515.60     | 0.00%             | 2047-08-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31414LYX0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       4721 | PA      | $5056.24       | 0.00%             | 2038-01-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140X4TE6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     392030 | PA      | $362668.50     | 0.00%             | 2049-09-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3132M5KF8<br>LEI: 254900HROIFWPRGM1V77 | Long             | ABS-MBS          | USGSE             | US        |     605535 | PA      | $611109.48     | 0.00%             | 2044-03-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 36241K5Q7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       1525 | PA      | $1596.96       | 0.00%             | 2039-05-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3133A3S66<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     903927 | PA      | $787721.63     | 0.00%             | 2050-04-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3132ACKK5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     597648 | PA      | $579932.08     | 0.00%             | 2047-04-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140HPPG6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     113376 | PA      | $114189.76     | 0.00%             | 2048-09-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140KH2G5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     970604 | PA      | $898316.19     | 0.00%             | 2035-08-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140JJAF6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     880443 | PA      | $849917.60     | 0.00%             | 2049-04-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140E8AB4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       7648 | PA      | $7393.09       | 0.00%             | 2045-12-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 31292G2K1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |         59 | PA      | $61.57         | 0.00%             | 2029-06-01      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 3617BMTV9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     997430 | PA      | $936545.93     | 0.00%             | 2047-11-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31376KMG8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       3801 | PA      | $3858.86       | 0.00%             | 2035-05-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3132AAYU2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     765417 | PA      | $713458.35     | 0.00%             | 2046-05-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138MFSW8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     220683 | PA      | $195497.86     | 0.00%             | 2042-11-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3132GELS7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      24633 | PA      | $24649.32      | 0.00%             | 2041-07-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31416SCJ8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       3131 | PA      | $3197.05       | 0.00%             | 2039-06-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3128MJ3Z1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     237060 | PA      | $239290.78     | 0.00%             | 2048-03-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140L4M97<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1210583 | PA      | $1001876.00    | 0.00%             | 2051-06-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140XH4Z7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   19730316 | PA      | $16924985.79   | 0.07%             | 2052-01-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3128MMTK9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     752607 | PA      | $713869.30     | 0.00%             | 2030-05-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3128MJ2C3<br>LEI: 254900HROIFWPRGM1V77 | Long             | ABS-MBS          | USGSE             | US        |    3219498 | PA      | $3003350.38    | 0.01%             | 2047-07-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3128M9FS6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    1310261 | PA      | $1383181.51    | 0.01%             | 2038-09-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3129413N5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      43203 | PA      | $43232.00      | 0.00%             | 2040-08-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138Y16X8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    3048552 | PA      | $2858832.55    | 0.01%             | 2044-10-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3128L3RF5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       4841 | PA      | $5036.39       | 0.00%             | 2037-12-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 36178NLP2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     181886 | PA      | $172901.86     | 0.00%             | 2042-10-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3132Y0YF1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     313978 | PA      | $310576.68     | 0.00%             | 2048-07-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31416YDE5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       2508 | PA      | $2443.91       | 0.00%             | 2026-04-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31389K3A7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        330 | PA      | $343.40        | 0.00%             | 2032-02-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140H7ZR1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1365602 | PA      | $1287598.99    | 0.01%             | 2048-01-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138WJLW6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1817851 | PA      | $1642769.64    | 0.01%             | 2046-11-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 36213HWN5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       1430 | PA      | $1474.92       | 0.00%             | 2031-11-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138YSSZ0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       4978 | PA      | $4501.46       | 0.00%             | 2045-06-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138YUAH4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      13877 | PA      | $13284.83      | 0.00%             | 2030-06-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138WJ6C7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     263699 | PA      | $253570.17     | 0.00%             | 2047-03-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138Y8DK3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      40077 | PA      | $38489.61      | 0.00%             | 2030-03-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae II Pool                               | CUSIP: 36179W7M4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    2953635 | PA      | $2816531.15    | 0.01%             | 2052-06-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3132DWBP7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |  440092100 | PA      | $362926866.43  | 1.55%             | 2051-05-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 31292K2U0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      14730 | PA      | $15066.08      | 0.00%             | 2040-07-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138WKUL7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    5373848 | PA      | $5199109.47    | 0.02%             | 2047-05-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3132A5HY4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    2730191 | PA      | $2544335.42    | 0.01%             | 2047-12-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3128M6VJ4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       3039 | PA      | $3103.02       | 0.00%             | 2038-09-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 31287NCG1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       1357 | PA      | $1461.45       | 0.00%             | 2032-01-01      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31418D5B4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   13440488 | PA      | $11760010.14   | 0.05%             | 2036-10-01      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 31339S6F7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      31938 | PA      | $27543.71      | 0.00%             | 2049-10-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140XCB98<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   16982414 | PA      | $14580296.89   | 0.06%             | 2051-08-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138XJ3Y1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      15109 | PA      | $15063.94      | 0.00%             | 2044-03-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 36176SA83<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       5284 | PA      | $5022.78       | 0.00%             | 2042-07-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140X87B7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1530125 | PA      | $1264098.66    | 0.01%             | 2050-12-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138EAKK2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      11551 | PA      | $10892.73      | 0.00%             | 2042-03-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3128MJZR4<br>LEI: 254900HROIFWPRGM1V77 | Long             | ABS-MBS          | USGSE             | US        |    7762144 | PA      | $7242424.37    | 0.03%             | 2047-03-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138E6VD5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     179619 | PA      | $175323.82     | 0.00%             | 2042-02-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3132WHEE1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     447860 | PA      | $405138.19     | 0.00%             | 2046-10-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138W9VJ6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     605058 | PA      | $608778.95     | 0.00%             | 2043-10-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 36295K3Q4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        470 | PA      | $495.89        | 0.00%             | 2038-10-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3128MECV1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    2019404 | PA      | $1941256.25    | 0.01%             | 2030-02-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 36213CYY0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       2134 | PA      | $2183.31       | 0.00%             | 2035-11-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 3620AM4Q2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       4696 | PA      | $4712.91       | 0.00%             | 2041-05-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 36210AWV5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        571 | PA      | $589.21        | 0.00%             | 2028-12-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140QPAK3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1460535 | PA      | $1337607.96    | 0.01%             | 2052-05-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae II Pool                               | CUSIP: 36179WVU9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   24114208 | PA      | $21170900.61   | 0.09%             | 2052-01-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138ENG29<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     213852 | PA      | $222236.36     | 0.00%             | 2041-09-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31418C5R1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     914261 | PA      | $870982.58     | 0.00%             | 2028-11-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3133G6JF3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     261292 | PA      | $247344.39     | 0.00%             | 2034-07-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3128MJZ52<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    2045704 | PA      | $1789949.16    | 0.01%             | 2047-03-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140EUWM7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       7964 | PA      | $7422.80       | 0.00%             | 2046-04-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 3622A2TK8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    1922806 | PA      | $1982977.45    | 0.01%             | 2044-03-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3132XSLR9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    1266331 | PA      | $1195171.92    | 0.01%             | 2047-08-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31417YHG5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      37766 | PA      | $38558.68      | 0.00%             | 2039-11-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae II Pool                               | CUSIP: 36179S2P1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    6942524 | PA      | $6558156.69    | 0.03%             | 2047-04-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140M3QC7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    2319622 | PA      | $2002870.38    | 0.01%             | 2051-11-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31404QP29<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      21725 | PA      | $22021.04      | 0.00%             | 2034-05-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3133BJG22<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    1892221 | PA      | $1899802.28    | 0.01%             | 2052-08-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140QMRB2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   38987337 | PA      | $32162848.35   | 0.14%             | 2051-12-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140J7UL7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     180464 | PA      | $178584.63     | 0.00%             | 2047-11-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 31307L6M5<br>LEI: 254900HROIFWPRGM1V77 | Long             | ABS-MBS          | USGSE             | US        |      16419 | PA      | $15783.82      | 0.00%             | 2030-03-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140X8YB7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   17081828 | PA      | $15368806.66   | 0.07%             | 2035-12-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31413DFD4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       1297 | PA      | $1347.48       | 0.00%             | 2037-07-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31418ND31<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     209172 | PA      | $206524.29     | 0.00%             | 2025-02-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140JLL28<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    2432156 | PA      | $2342441.84    | 0.01%             | 2049-01-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31417NBM2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    5542989 | PA      | $5540751.47    | 0.02%             | 2039-10-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140K7EN9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     469488 | PA      | $444410.24     | 0.00%             | 2035-01-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140L17G4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1204607 | PA      | $1083804.98    | 0.00%             | 2035-12-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138WFBT2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       9726 | PA      | $8795.40       | 0.00%             | 2045-07-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31418BCZ7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      22894 | PA      | $21469.61      | 0.00%             | 2044-05-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140KEJ82<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    2054479 | PA      | $1848449.52    | 0.01%             | 2035-08-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31385H6T4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       3980 | PA      | $4252.89       | 0.00%             | 2032-03-01      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31371KWJ6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       7932 | PA      | $8293.20       | 0.00%             | 2032-12-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 36210F7B6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        431 | PA      | $440.97        | 0.00%             | 2029-07-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140KD2D1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1264708 | PA      | $1169985.60    | 0.00%             | 2050-04-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140GVKY0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     395682 | PA      | $384694.54     | 0.00%             | 2032-07-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138YJSS6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1338142 | PA      | $1333414.37    | 0.01%             | 2045-03-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 36290SHY0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      12070 | PA      | $12260.86      | 0.00%             | 2033-09-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140QBNC8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      43679 | PA      | $44039.39      | 0.00%             | 2049-08-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140X9VZ5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   66950025 | PA      | $55289366.21   | 0.24%             | 2051-02-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31383DXW8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       1011 | PA      | $1047.80       | 0.00%             | 2029-06-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138ETQU3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1458600 | PA      | $1390322.34    | 0.01%             | 2031-06-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138XZHG9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      91938 | PA      | $92427.08      | 0.00%             | 2044-08-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3128MJZL7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     948124 | PA      | $829588.81     | 0.00%             | 2047-01-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3128M8HG2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       3146 | PA      | $3065.37       | 0.00%             | 2040-12-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140F8SF5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1797992 | PA      | $1729628.98    | 0.01%             | 2046-06-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3132A3AW0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      19151 | PA      | $18652.27      | 0.00%             | 2039-07-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3128M9ZF2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      37058 | PA      | $37902.56      | 0.00%             | 2041-10-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae II Pool                               | CUSIP: 36179XHX7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   37357650 | PA      | $35623553.65   | 0.15%             | 2052-10-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140H9Q89<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1418375 | PA      | $1401634.29    | 0.01%             | 2049-02-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3132ACH78<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     639910 | PA      | $597337.56     | 0.00%             | 2047-09-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31407KPY9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       1820 | PA      | $1847.25       | 0.00%             | 2035-09-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3133A2GT1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    4152009 | PA      | $3677666.87    | 0.02%             | 2050-02-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140J7S30<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   11405856 | PA      | $10746914.14   | 0.05%             | 2047-05-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 31283G5P8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |        387 | PA      | $400.03        | 0.00%             | 2027-12-01      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 312936HU4<br>LEI: 254900HROIFWPRGM1V77 | Long             | ABS-MBS          | USGSE             | US        |     414404 | PA      | $423563.15     | 0.00%             | 2039-10-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3132XUMM4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     451252 | PA      | $439305.12     | 0.00%             | 2047-11-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140XASY9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   83720594 | PA      | $69151303.05   | 0.29%             | 2051-04-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 312931SZ2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      16502 | PA      | $16511.61      | 0.00%             | 2039-03-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31413TWV0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        785 | PA      | $815.75        | 0.00%             | 2038-01-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138XLNJ7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      39869 | PA      | $40080.87      | 0.00%             | 2044-02-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140K2VL5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     360040 | PA      | $333829.10     | 0.00%             | 2034-10-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31371KQ87<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        381 | PA      | $408.74        | 0.00%             | 2032-07-01      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140MFSZ7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1070977 | PA      | $917538.75     | 0.00%             | 2047-01-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140Q8KA2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   15277754 | PA      | $14237873.44   | 0.06%             | 2048-02-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 31334X4T3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    2889709 | PA      | $2580694.50    | 0.01%             | 2049-08-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31416BM88<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     627396 | PA      | $636929.63     | 0.00%             | 2038-02-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 31292H2D5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      12046 | PA      | $12686.29      | 0.00%             | 2033-10-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3132QVZT1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     104522 | PA      | $94617.82      | 0.00%             | 2046-02-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31407R2Z6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       3103 | PA      | $3218.13       | 0.00%             | 2035-08-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140H1AU4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     444793 | PA      | $420104.18     | 0.00%             | 2047-12-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138YSTK2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      76054 | PA      | $72068.96      | 0.00%             | 2030-07-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 36200NRE3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       3987 | PA      | $4148.33       | 0.00%             | 2034-04-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31414MWH5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |         61 | PA      | $60.62         | 0.00%             | 2023-10-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 31292L6T7<br>LEI: 254900HROIFWPRGM1V77 | Long             | ABS-MBS          | USGSE             | US        |     122190 | PA      | $111711.39     | 0.00%             | 2043-02-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31417DAJ2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     172114 | PA      | $157197.09     | 0.00%             | 2042-09-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae II Pool                               | CUSIP: 3617J3E56<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     256946 | PA      | $254641.79     | 0.00%             | 2048-12-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140HFFY0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    2910872 | PA      | $2798841.80    | 0.01%             | 2033-03-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138YEX69<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       4192 | PA      | $4086.90       | 0.00%             | 2045-02-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 31292GTJ5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |        577 | PA      | $596.14        | 0.00%             | 2027-09-01      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3132LAS94<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    2879646 | PA      | $2776239.17    | 0.01%             | 2048-12-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138YWZ26<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      81909 | PA      | $77616.70      | 0.00%             | 2030-07-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138M8AX1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      32057 | PA      | $29279.83      | 0.00%             | 2042-09-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138A7HZ4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       4395 | PA      | $4143.48       | 0.00%             | 2041-02-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138WVSK8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     601557 | PA      | $549188.03     | 0.00%             | 2043-06-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31376WY53<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       2247 | PA      | $2274.95       | 0.00%             | 2026-11-01      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae II Pool                               | CUSIP: 36202EGR4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       2749 | PA      | $2902.73       | 0.00%             | 2036-01-20      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31368HNQ2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      31137 | PA      | $32364.93      | 0.00%             | 2039-11-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3131XUY50<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     355025 | PA      | $341533.99     | 0.00%             | 2046-09-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140H3K54<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    2246293 | PA      | $2160011.42    | 0.01%             | 2047-11-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140KSAT4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    4226209 | PA      | $3778103.85    | 0.02%             | 2050-11-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138ABBZ1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     173459 | PA      | $173408.34     | 0.00%             | 2041-04-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140FMXQ4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      11760 | PA      | $10859.07      | 0.00%             | 2032-01-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3131XVAX3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     328747 | PA      | $297086.08     | 0.00%             | 2046-10-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31415LSJ7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       2725 | PA      | $2778.65       | 0.00%             | 2038-05-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31418DPN6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1063547 | PA      | $1027016.49    | 0.00%             | 2035-05-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 36294UWX6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     768731 | PA      | $705969.84     | 0.00%             | 2042-10-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 31307HBK2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     550708 | PA      | $529396.71     | 0.00%             | 2029-05-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 36205BKY7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |         77 | PA      | $76.89         | 0.00%             | 2024-04-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31419AG27<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     348115 | PA      | $338865.44     | 0.00%             | 2040-08-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 31335AF45<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      11895 | PA      | $10767.53      | 0.00%             | 2045-08-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae                                       | CUSIP: 21H0426C8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   95207000 | PA      | $93247074.41   | 0.40%             | 2052-12-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140HBCD8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     568063 | PA      | $538363.48     | 0.00%             | 2048-02-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31411W4N4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      21123 | PA      | $22280.32      | 0.00%             | 2037-06-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138X4XB1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     343914 | PA      | $329846.49     | 0.00%             | 2028-07-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 31297SMB8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       2965 | PA      | $3012.98       | 0.00%             | 2035-08-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 31292GQA7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |        198 | PA      | $200.99        | 0.00%             | 2026-03-01      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31418CDM3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      98525 | PA      | $91835.08      | 0.00%             | 2046-11-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 3620C5YY7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      60859 | PA      | $59661.97      | 0.00%             | 2040-11-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3128MMVM2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    1143703 | PA      | $1077827.01    | 0.00%             | 2031-11-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3128MJJP6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      38761 | PA      | $40329.09      | 0.00%             | 2038-05-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae II Pool                               | CUSIP: 36179WY85<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   77779973 | PA      | $66059413.23   | 0.28%             | 2052-03-20      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140FQMX2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     114814 | PA      | $108095.41     | 0.00%             | 2031-12-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 36291LHL2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       3054 | PA      | $3189.84       | 0.00%             | 2035-05-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3132DVLE3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    7537744 | PA      | $6534762.67    | 0.03%             | 2050-10-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 36296RBB2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       1290 | PA      | $1298.90       | 0.00%             | 2038-10-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 36290XJF8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      14012 | PA      | $14469.81      | 0.00%             | 2033-08-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 36290SKY6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       5316 | PA      | $5407.61       | 0.00%             | 2033-10-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3128M74J2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       3433 | PA      | $3435.03       | 0.00%             | 2040-07-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31403DDB2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       8032 | PA      | $8398.15       | 0.00%             | 2035-06-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 36200M7M9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        750 | PA      | $765.40        | 0.00%             | 2034-01-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140KNEJ3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    3683666 | PA      | $3283803.92    | 0.01%             | 2050-10-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 36291CT39<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       4140 | PA      | $4312.15       | 0.00%             | 2034-01-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31412GWX5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       3002 | PA      | $3119.66       | 0.00%             | 2037-07-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 31335BSE7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    3104898 | PA      | $2920413.23    | 0.01%             | 2048-05-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140J9ZC8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1687924 | PA      | $1615908.80    | 0.01%             | 2031-06-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae II Pool                               | CUSIP: 36202FMA1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      49951 | PA      | $49174.61      | 0.00%             | 2040-11-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 31307N3A0<br>LEI: 254900HROIFWPRGM1V77 | Long             | ABS-MBS          | USGSE             | US        |     222145 | PA      | $210710.52     | 0.00%             | 2030-08-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 36295FHQ0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       7443 | PA      | $7686.78       | 0.00%             | 2037-05-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3128PUW73<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       9025 | PA      | $8796.32       | 0.00%             | 2026-05-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae II Pool                               | CUSIP: 36179R4E6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   16969020 | PA      | $16090323.35   | 0.07%             | 2046-03-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140JLW67<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1998792 | PA      | $1831764.73    | 0.01%             | 2049-05-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 31307NBJ2<br>LEI: 254900HROIFWPRGM1V77 | Long             | ABS-MBS          | USGSE             | US        |      63627 | PA      | $60351.69      | 0.00%             | 2030-06-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae II Pool                               | CUSIP: 36202FSE7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    1700515 | PA      | $1714081.88    | 0.01%             | 2041-04-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 31307JCH4<br>LEI: 254900HROIFWPRGM1V77 | Long             | ABS-MBS          | USGSE             | US        |     108102 | PA      | $102892.73     | 0.00%             | 2029-08-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3133G95Z8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    2646075 | PA      | $2446803.63    | 0.01%             | 2035-09-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3132VNB36<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     855328 | PA      | $855519.01     | 0.00%             | 2049-03-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 36180DVC8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     372306 | PA      | $354061.19     | 0.00%             | 2043-05-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140LVN70<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1122585 | PA      | $972487.95     | 0.00%             | 2051-09-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140M2RB0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   12823134 | PA      | $11519979.40   | 0.05%             | 2036-12-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140KVWW6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     967008 | PA      | $856526.39     | 0.00%             | 2050-12-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 3620A7HR9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      16863 | PA      | $17320.30      | 0.00%             | 2040-05-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 313615TB2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        129 | PA      | $128.47        | 0.00%             | 2023-12-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 312941Z42<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       3508 | PA      | $3587.97       | 0.00%             | 2040-08-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138WFG34<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      64661 | PA      | $61272.39      | 0.00%             | 2030-08-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31368HM26<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       2508 | PA      | $2546.39       | 0.00%             | 2036-11-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3131YBRX8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     790169 | PA      | $712565.79     | 0.00%             | 2049-04-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140J75S0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    2158792 | PA      | $2099634.04    | 0.01%             | 2047-09-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 36291LMK8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      38125 | PA      | $39156.58      | 0.00%             | 2035-10-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140FNGT5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      46103 | PA      | $42972.19      | 0.00%             | 2046-12-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3128MJHD5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       1356 | PA      | $1431.54       | 0.00%             | 2037-10-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3128KXS85<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       7746 | PA      | $8306.36       | 0.00%             | 2037-10-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae II Pool                               | CUSIP: 36179RYW3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      66890 | PA      | $62528.65      | 0.00%             | 2031-02-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 36290SGM7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       4499 | PA      | $4419.63       | 0.00%             | 2033-08-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140QHPV1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   21608655 | PA      | $19412668.62   | 0.08%             | 2036-03-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 31356CQW1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |        154 | PA      | $154.31        | 0.00%             | 2024-03-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140XHGD3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    4429092 | PA      | $3781050.84    | 0.02%             | 2052-02-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae II Pool                               | CUSIP: 36179MX39<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    8769065 | PA      | $8077109.98    | 0.03%             | 2043-01-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 36176XCE7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     404086 | PA      | $396071.22     | 0.00%             | 2042-02-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3132JMYC7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     164790 | PA      | $159940.56     | 0.00%             | 2043-08-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140FTKL4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      14281 | PA      | $13445.44      | 0.00%             | 2032-02-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3132DWCG6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    2432438 | PA      | $1891752.08    | 0.01%             | 2051-10-01      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3133A32U1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     710883 | PA      | $677852.06     | 0.00%             | 2050-04-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31402EWL8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        169 | PA      | $173.98        | 0.00%             | 2033-09-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3128PWAU2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      68515 | PA      | $66692.27      | 0.00%             | 2026-08-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31371NP41<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       9566 | PA      | $10090.09      | 0.00%             | 2038-01-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138E0SF7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     106624 | PA      | $102872.22     | 0.00%             | 2026-12-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 31292GH82<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |         12 | PA      | $12.40         | 0.00%             | 2023-09-01      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3132DVLC7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    9735610 | PA      | $8437159.74    | 0.04%             | 2050-08-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31402RJV2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      33703 | PA      | $34162.74      | 0.00%             | 2035-07-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3133G9M89<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    1043822 | PA      | $987586.42     | 0.00%             | 2035-07-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140J92G5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1975642 | PA      | $1909689.31    | 0.01%             | 2047-02-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31410KTH7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        754 | PA      | $776.84        | 0.00%             | 2035-05-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140HD5M2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    2557082 | PA      | $2423391.14    | 0.01%             | 2048-02-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 3620C05B0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      51967 | PA      | $52146.96      | 0.00%             | 2040-07-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 3620A9FD8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      19992 | PA      | $20664.14      | 0.00%             | 2039-08-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3128MJ5W6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     730520 | PA      | $654506.13     | 0.00%             | 2048-11-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138AAMD0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     646750 | PA      | $646560.71     | 0.00%             | 2041-04-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31418NMS6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        964 | PA      | $952.30        | 0.00%             | 2025-01-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140H5Z46<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       8346 | PA      | $7702.24       | 0.00%             | 2032-11-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3128M5TK6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      48710 | PA      | $49728.86      | 0.00%             | 2038-02-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3133G9SS9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     641727 | PA      | $594471.29     | 0.00%             | 2035-09-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3128MMPF4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      23795 | PA      | $23133.88      | 0.00%             | 2027-01-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31402DJR2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       4236 | PA      | $4293.76       | 0.00%             | 2034-09-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3132WFRS0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    1105521 | PA      | $1007558.63    | 0.00%             | 2046-08-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140J7W35<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     187034 | PA      | $177232.49     | 0.00%             | 2033-01-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3128MJXR6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      15417 | PA      | $14405.42      | 0.00%             | 2046-01-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3133A3JW9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    1828300 | PA      | $1586156.24    | 0.01%             | 2050-04-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138A9X66<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    3093253 | PA      | $3092348.41    | 0.01%             | 2041-06-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3128KYNT2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |        114 | PA      | $120.47        | 0.00%             | 2037-10-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138ERV49<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    2788962 | PA      | $2629922.58    | 0.01%             | 2045-10-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31418EBR0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   25070617 | PA      | $20640525.51   | 0.09%             | 2052-02-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138EPBY9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      17309 | PA      | $16775.54      | 0.00%             | 2044-12-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3133B6BL3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     308917 | PA      | $253950.62     | 0.00%             | 2052-03-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 31296KLG6<br>LEI: 254900HROIFWPRGM1V77 | Long             | ABS-MBS          | USGSE             | US        |       2764 | PA      | $2848.70       | 0.00%             | 2033-07-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae II Pool                               | CUSIP: 36202DBW0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        603 | PA      | $617.77        | 0.00%             | 2029-05-20      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 31307PDD8<br>LEI: 254900HROIFWPRGM1V77 | Long             | ABS-MBS          | USGSE             | US        |     501187 | PA      | $480258.49     | 0.00%             | 2030-10-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140K7AZ6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1570985 | PA      | $1487078.90    | 0.01%             | 2034-12-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 31307EFR0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      39528 | PA      | $37947.72      | 0.00%             | 2028-09-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140F9FS9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     891043 | PA      | $894321.53     | 0.00%             | 2046-07-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140J8MG5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1992314 | PA      | $1878703.76    | 0.01%             | 2045-02-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae II Pool                               | CUSIP: 36178WHJ1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     357476 | PA      | $351352.74     | 0.00%             | 2042-11-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31412LM98<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      32986 | PA      | $34278.82      | 0.00%             | 2037-05-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3131XDFB6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    1323787 | PA      | $1244923.53    | 0.01%             | 2033-01-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 36296WSF4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       3269 | PA      | $3280.63       | 0.00%             | 2039-05-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3132QW3Z0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    1175632 | PA      | $1132002.76    | 0.00%             | 2046-04-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140KUM58<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1880776 | PA      | $1628418.93    | 0.01%             | 2050-12-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138EJB49<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     168809 | PA      | $163716.77     | 0.00%             | 2027-07-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3132WHQU2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    1413518 | PA      | $1278680.94    | 0.01%             | 2046-11-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae II Pool                               | CUSIP: 36202FJQ0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     678410 | PA      | $683830.50     | 0.00%             | 2040-08-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 31297V3U0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      19374 | PA      | $19346.71      | 0.00%             | 2035-11-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31376ZMT7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        457 | PA      | $462.65        | 0.00%             | 2027-07-01      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3133B0Q22<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    1569791 | PA      | $1291818.06    | 0.01%             | 2051-11-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 31307MJW7<br>LEI: 254900HROIFWPRGM1V77 | Long             | ABS-MBS          | USGSE             | US        |     173113 | PA      | $164202.99     | 0.00%             | 2030-04-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae II Pool                               | CUSIP: 36202D3G4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       1363 | PA      | $1398.08       | 0.00%             | 2034-01-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae II Pool                               | CUSIP: 36179NMN5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      48332 | PA      | $45709.70      | 0.00%             | 2028-09-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 31297V7D4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |        232 | PA      | $235.84        | 0.00%             | 2035-11-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31371HDR6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       1262 | PA      | $1307.99       | 0.00%             | 2029-01-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140F04A9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     420609 | PA      | $406568.09     | 0.00%             | 2046-03-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140F4TJ5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      22447 | PA      | $19622.24      | 0.00%             | 2046-05-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3128M5VY3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       1357 | PA      | $1432.35       | 0.00%             | 2038-02-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 36241KZ35<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      30575 | PA      | $31513.66      | 0.00%             | 2039-02-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138AJK50<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      17580 | PA      | $17574.62      | 0.00%             | 2041-06-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 36296AVV3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        791 | PA      | $805.57        | 0.00%             | 2038-04-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3132FCA21<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      11671 | PA      | $12320.81      | 0.00%             | 2036-11-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3129442R1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     226708 | PA      | $220897.13     | 0.00%             | 2041-01-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 36290R7D9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      14406 | PA      | $14658.59      | 0.00%             | 2033-10-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3128MMS53<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     129761 | PA      | $122802.68     | 0.00%             | 2030-01-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31417TV96<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       7057 | PA      | $6940.63       | 0.00%             | 2024-12-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3128MJDL1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       3099 | PA      | $3269.05       | 0.00%             | 2036-01-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138WGRV8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    3553687 | PA      | $3387336.93    | 0.01%             | 2031-03-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31403DWH8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      24886 | PA      | $26659.99      | 0.00%             | 2036-10-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 3620AKJJ6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      10958 | PA      | $10995.81      | 0.00%             | 2040-04-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140JJHE2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     304394 | PA      | $294317.66     | 0.00%             | 2049-02-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 36208QVQ6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        121 | PA      | $123.67        | 0.00%             | 2028-12-15      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140MA3A0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    2723176 | PA      | $2237791.19    | 0.01%             | 2052-04-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 36297GCZ1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      10863 | PA      | $10900.28      | 0.00%             | 2040-02-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140H5XV8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     551721 | PA      | $519334.31     | 0.00%             | 2048-02-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31408GJ73<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        299 | PA      | $310.27        | 0.00%             | 2035-12-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3132KFAR3<br>LEI: 254900HROIFWPRGM1V77 | Long             | ABS-MBS          | USGSE             | US        |     134539 | PA      | $128921.14     | 0.00%             | 2030-08-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31371HVG0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        605 | PA      | $626.59        | 0.00%             | 2029-09-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31418C6V1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     738571 | PA      | $703609.32     | 0.00%             | 2029-01-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138EQM41<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     418805 | PA      | $404839.31     | 0.00%             | 2045-09-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 31335BA89<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    1425991 | PA      | $1311975.45    | 0.01%             | 2047-02-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31385HZE5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       1456 | PA      | $1508.14       | 0.00%             | 2031-12-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae II Pool                               | CUSIP: 36179T7M1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     487610 | PA      | $492880.74     | 0.00%             | 2048-08-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138WGG65<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1228671 | PA      | $1146935.87    | 0.00%             | 2046-01-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140K0P77<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     590201 | PA      | $571713.11     | 0.00%             | 2034-11-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140K2VU5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     533708 | PA      | $516989.89     | 0.00%             | 2034-10-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3131XDLG8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     835057 | PA      | $794037.02     | 0.00%             | 2033-03-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140JPD85<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     455931 | PA      | $450349.42     | 0.00%             | 2034-05-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31383E3E9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        748 | PA      | $769.71        | 0.00%             | 2029-06-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140J9EY3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   23793990 | PA      | $21722601.53   | 0.09%             | 2044-10-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31418U2K9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     252096 | PA      | $248740.27     | 0.00%             | 2025-06-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3128PUHG0<br>LEI: 254900HROIFWPRGM1V77 | Long             | ABS-MBS          | USGSE             | US        |     504753 | PA      | $492340.39     | 0.00%             | 2026-03-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| UMBS, TBA                                      | Uniform Mortgage-Backed Security, TBA            | CUSIP: 01F0426C2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |  174163000 | PA      | $169509582.34  | 0.72%             | 2052-12-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 36297H6P8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       2803 | PA      | $2812.85       | 0.00%             | 2040-02-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140HJJE2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     786663 | PA      | $786960.31     | 0.00%             | 2048-08-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 36211RSP5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       1084 | PA      | $1127.27       | 0.00%             | 2035-03-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3132A5HW8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     235697 | PA      | $233243.30     | 0.00%             | 2047-11-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 31287PCP6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |        283 | PA      | $293.29        | 0.00%             | 2032-02-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3132QRQ37<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      16982 | PA      | $14847.70      | 0.00%             | 2045-07-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 312932PM2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       1226 | PA      | $1195.47       | 0.00%             | 2039-04-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3128K7QC5<br>LEI: 254900HROIFWPRGM1V77 | Long             | ABS-MBS          | USGSE             | US        |      85237 | PA      | $88502.00      | 0.00%             | 2035-08-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3132LAUF7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      63746 | PA      | $63055.04      | 0.00%             | 2048-12-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 31335A5G9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     235733 | PA      | $229233.95     | 0.00%             | 2045-01-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31417L5L5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       5216 | PA      | $5324.95       | 0.00%             | 2039-10-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138WMSG7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       8865 | PA      | $8093.15       | 0.00%             | 2043-05-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140HEAV4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1057575 | PA      | $1075952.18    | 0.00%             | 2048-07-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3132VMVJ1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    1210085 | PA      | $1136233.95    | 0.00%             | 2048-04-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3131XT4Y3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     373998 | PA      | $359786.00     | 0.00%             | 2046-03-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3132WLEM4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      26985 | PA      | $23611.12      | 0.00%             | 2047-01-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 36180HHZ4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      54375 | PA      | $51710.16      | 0.00%             | 2043-06-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3132GKGD2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      14574 | PA      | $14172.41      | 0.00%             | 2041-10-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3132AAM76<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     971663 | PA      | $889311.08     | 0.00%             | 2043-09-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3132D6NZ9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   61115672 | PA      | $54988702.92   | 0.23%             | 2036-02-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 36208QDJ2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        150 | PA      | $150.32        | 0.00%             | 2027-12-15      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31410Y7G3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        570 | PA      | $611.09        | 0.00%             | 2036-09-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae II Pool                               | CUSIP: 36194BXQ3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     763171 | PA      | $721990.79     | 0.00%             | 2046-05-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140XCXY9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   17884833 | PA      | $15320578.62   | 0.07%             | 2051-09-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31386FQ99<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        638 | PA      | $661.68        | 0.00%             | 2030-12-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140XDS98<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   29133743 | PA      | $24949579.24   | 0.11%             | 2051-12-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3132D6NT3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   13870156 | PA      | $12479644.56   | 0.05%             | 2035-08-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31419EDM8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     792345 | PA      | $792107.87     | 0.00%             | 2040-12-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3128MCBK0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |        232 | PA      | $230.78        | 0.00%             | 2024-01-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3128F7MW1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |        313 | PA      | $317.35        | 0.00%             | 2026-01-01      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138XRAE9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     362074 | PA      | $347736.39     | 0.00%             | 2029-10-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31385XF85<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      21179 | PA      | $21806.90      | 0.00%             | 2033-07-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3133G8VR9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    3640349 | PA      | $3369330.84    | 0.01%             | 2035-06-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31414AWY4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       2379 | PA      | $2505.36       | 0.00%             | 2037-10-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3128M6RU4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |        715 | PA      | $729.98        | 0.00%             | 2038-09-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3128KKEM7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       1149 | PA      | $1169.85       | 0.00%             | 2037-01-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 31307MPV2<br>LEI: 254900HROIFWPRGM1V77 | Long             | ABS-MBS          | USGSE             | US        |    2325598 | PA      | $2205895.07    | 0.01%             | 2030-04-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31376WLY4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        488 | PA      | $487.84        | 0.00%             | 2026-09-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae II Pool                               | CUSIP: 36241KVU9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       2572 | PA      | $2677.59       | 0.00%             | 2038-10-20      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138XGNL3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1039838 | PA      | $1049319.70    | 0.00%             | 2043-12-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140X8FY8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   32598260 | PA      | $27978236.29   | 0.12%             | 2050-10-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138YSL20<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      41608 | PA      | $39427.16      | 0.00%             | 2030-07-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 36290NBA9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       1310 | PA      | $1333.47       | 0.00%             | 2033-09-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31405AUU5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        613 | PA      | $621.42        | 0.00%             | 2034-06-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 31335B5Z5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      33347 | PA      | $32264.78      | 0.00%             | 2046-12-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 36212VTV1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        161 | PA      | $166.78        | 0.00%             | 2031-07-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140HJFD8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     428755 | PA      | $416185.05     | 0.00%             | 2048-06-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31411YP56<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       4346 | PA      | $4516.89       | 0.00%             | 2037-06-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138WQAT9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     471268 | PA      | $417410.25     | 0.00%             | 2043-05-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31410GLY7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       2461 | PA      | $2593.91       | 0.00%             | 2036-01-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31382SFX4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       2568 | PA      | $2662.27       | 0.00%             | 2029-03-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3132L5TJ2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       5963 | PA      | $5813.48       | 0.00%             | 2040-06-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae II Pool                               | CUSIP: 3617JVPD5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    1483759 | PA      | $1455946.07    | 0.01%             | 2049-05-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31371LZR3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        944 | PA      | $1006.42       | 0.00%             | 2034-11-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 36201KAR7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        498 | PA      | $510.43        | 0.00%             | 2033-01-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140K8JS1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     762670 | PA      | $707147.02     | 0.00%             | 2035-01-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 312945CB2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       1769 | PA      | $1770.36       | 0.00%             | 2041-01-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3128PS5B9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      13184 | PA      | $12879.67      | 0.00%             | 2025-11-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3132HMXY2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      59783 | PA      | $56427.49      | 0.00%             | 2042-10-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3132QTXZ4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      15437 | PA      | $14936.10      | 0.00%             | 2045-10-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 312941CY1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       2645 | PA      | $2705.76       | 0.00%             | 2040-06-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140FPXB0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     140806 | PA      | $127244.54     | 0.00%             | 2046-12-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140K5ZJ9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1752237 | PA      | $1588243.88    | 0.01%             | 2050-02-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 31287UF72<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |        392 | PA      | $416.63        | 0.00%             | 2032-06-01      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 31307L2J6<br>LEI: 254900HROIFWPRGM1V77 | Long             | ABS-MBS          | USGSE             | US        |     546398 | PA      | $520068.79     | 0.00%             | 2030-02-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140KK7H1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     607814 | PA      | $527466.60     | 0.00%             | 2050-08-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140GSX64<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     273071 | PA      | $260013.36     | 0.00%             | 2032-06-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140X7J75<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   45322477 | PA      | $40653539.59   | 0.17%             | 2050-07-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3128MJZX1<br>LEI: 254900HROIFWPRGM1V77 | Long             | ABS-MBS          | USGSE             | US        |      90577 | PA      | $84496.36      | 0.00%             | 2047-04-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138ETQT6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1618891 | PA      | $1543110.05    | 0.01%             | 2031-06-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae II Pool                               | CUSIP: 36202DHL8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |         41 | PA      | $44.69         | 0.00%             | 2030-06-20      | Fixed         | 8.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31417AEV7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     169233 | PA      | $164412.38     | 0.00%             | 2041-10-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3133APSN0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    1671994 | PA      | $1536994.13    | 0.01%             | 2051-08-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140X6GN5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    9100204 | PA      | $8581269.95    | 0.04%             | 2047-07-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3132JNUQ8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      17865 | PA      | $16325.72      | 0.00%             | 2043-09-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31414RGQ2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        331 | PA      | $329.96        | 0.00%             | 2023-04-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138EHBD3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     256020 | PA      | $249217.77     | 0.00%             | 2041-05-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 31297QZZ5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       4565 | PA      | $4739.50       | 0.00%             | 2035-06-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3128LXBX7<br>LEI: 254900HROIFWPRGM1V77 | Long             | ABS-MBS          | USGSE             | US        |     334794 | PA      | $345657.64     | 0.00%             | 2035-06-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3131Y9MF7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     469843 | PA      | $451666.13     | 0.00%             | 2049-02-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 31292SCF5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     296051 | PA      | $287198.22     | 0.00%             | 2044-12-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138YXKS3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     162229 | PA      | $153727.29     | 0.00%             | 2030-08-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae II Pool                               | CUSIP: 36179RBX6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    8477943 | PA      | $8038934.98    | 0.03%             | 2045-04-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 31329PE82<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     875013 | PA      | $882249.91     | 0.00%             | 2048-07-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3128KDHU2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |        401 | PA      | $417.53        | 0.00%             | 2036-08-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 31307ULF3<br>LEI: 254900HROIFWPRGM1V77 | Long             | ABS-MBS          | USGSE             | US        |    1193990 | PA      | $1161886.15    | 0.00%             | 2032-09-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140FSQN6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      13785 | PA      | $13641.81      | 0.00%             | 2047-03-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31417B7C5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      14037 | PA      | $13620.93      | 0.00%             | 2042-06-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138WKZP3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      41586 | PA      | $39988.74      | 0.00%             | 2047-06-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3132CWXS8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   13626331 | PA      | $12260264.28   | 0.05%             | 2036-03-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31403RNA2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      50945 | PA      | $52456.10      | 0.00%             | 2033-10-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31389NDR3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        905 | PA      | $946.18        | 0.00%             | 2032-03-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 31292GY34<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       3522 | PA      | $3629.40       | 0.00%             | 2029-03-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31374TKM0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        432 | PA      | $444.25        | 0.00%             | 2029-01-01      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31374PQ91<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |         31 | PA      | $31.22         | 0.00%             | 2025-08-01      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3132DWCC5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   46959198 | PA      | $40259733.10   | 0.17%             | 2051-09-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 36295HVV9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        476 | PA      | $507.37        | 0.00%             | 2038-02-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae II Pool                               | CUSIP: 36179NBB3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    1958066 | PA      | $1860830.96    | 0.01%             | 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        |   33359262 | PA      | $29982431.80   | 0.13%             | 2036-05-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138WLBQ5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    6766942 | PA      | $6358594.47    | 0.03%             | 2047-07-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138XPHF3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     421999 | PA      | $430230.89     | 0.00%             | 2044-03-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 36225AGM6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |         73 | PA      | $73.44         | 0.00%             | 2025-07-15      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3133ACGB8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    3573885 | PA      | $3196886.56    | 0.01%             | 2050-11-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140E0ZD0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      15458 | PA      | $14941.66      | 0.00%             | 2045-09-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140HA2X7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      10832 | PA      | $9697.20       | 0.00%             | 2048-04-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140J5JU4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     435520 | PA      | $410079.74     | 0.00%             | 2047-05-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 36296QLN7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       7806 | PA      | $7833.24       | 0.00%             | 2039-03-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 31307UD62<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     381466 | PA      | $359103.69     | 0.00%             | 2032-07-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae II Pool                               | CUSIP: 36179QJT9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    1952263 | PA      | $1904122.67    | 0.01%             | 2044-07-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140HK3J5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     431744 | PA      | $418772.95     | 0.00%             | 2048-05-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140XJCH4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   50327076 | PA      | $41457491.04   | 0.18%             | 2052-02-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140XD6J0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   31642028 | PA      | $27089035.60   | 0.12%             | 2051-12-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138A9BD5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     279481 | PA      | $279399.71     | 0.00%             | 2041-03-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 31283HVE2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       3849 | PA      | $4028.70       | 0.00%             | 2033-03-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae II Pool                               | CUSIP: 36179UCD2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     534779 | PA      | $540559.49     | 0.00%             | 2048-09-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31385JRT7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       8615 | PA      | $9007.31       | 0.00%             | 2032-11-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3133G6FG5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     907854 | PA      | $879454.92     | 0.00%             | 2034-07-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31414J6J7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       1650 | PA      | $1714.57       | 0.00%             | 2038-01-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138MCWG5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       5999 | PA      | $5479.17       | 0.00%             | 2042-10-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31417UPU3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      20214 | PA      | $20638.55      | 0.00%             | 2039-11-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31413AJK0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       4507 | PA      | $4827.44       | 0.00%             | 2037-07-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3128PSLY1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       6703 | PA      | $6616.80       | 0.00%             | 2025-09-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138Y12K0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       4070 | PA      | $3909.22       | 0.00%             | 2029-09-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3133GFAN5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    1494035 | PA      | $1308637.04    | 0.01%             | 2036-10-01      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3128MMUC5<br>LEI: 254900HROIFWPRGM1V77 | Long             | ABS-MBS          | USGSE             | US        |     528178 | PA      | $506122.40     | 0.00%             | 2030-12-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3132QVJW2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     593427 | PA      | $554478.23     | 0.00%             | 2046-01-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 36206EEK7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |         17 | PA      | $17.14         | 0.00%             | 2025-11-15      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae II Pool                               | CUSIP: 36179T4M4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     101338 | PA      | $93001.43      | 0.00%             | 2048-07-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 31306XQS5<br>LEI: 254900HROIFWPRGM1V77 | Long             | ABS-MBS          | USGSE             | US        |     577791 | PA      | $554936.42     | 0.00%             | 2027-09-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31416BSV1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       5535 | PA      | $5928.56       | 0.00%             | 2038-12-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31410YQ98<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      16514 | PA      | $17414.59      | 0.00%             | 2036-11-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 36177KYP5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      12499 | PA      | $11589.02      | 0.00%             | 2042-03-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 31287RP94<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |        121 | PA      | $126.54        | 0.00%             | 2032-04-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 312946JY3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       4242 | PA      | $4245.20       | 0.00%             | 2041-03-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31410F2L8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        513 | PA      | $511.59        | 0.00%             | 2036-01-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140J5G78<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   18502096 | PA      | $17421308.72   | 0.07%             | 2046-12-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31379XCD5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |         69 | PA      | $70.02         | 0.00%             | 2028-07-01      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31418D6A5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  101910117 | PA      | $79247230.69   | 0.34%             | 2051-11-01      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3128M9K84<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      32199 | PA      | $32934.08      | 0.00%             | 2041-10-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3128KAL66<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       1245 | PA      | $1335.74       | 0.00%             | 2036-06-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3133AL6P8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     699614 | PA      | $600500.64     | 0.00%             | 2051-06-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31412MTG3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     128981 | PA      | $134067.84     | 0.00%             | 2038-05-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae II Pool                               | CUSIP: 36202FGY6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      27411 | PA      | $28169.61      | 0.00%             | 2040-06-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31414CJK5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       9056 | PA      | $9412.84       | 0.00%             | 2038-03-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31371M3X3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       6503 | PA      | $6857.54       | 0.00%             | 2036-12-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 36205X3V4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |         38 | PA      | $38.21         | 0.00%             | 2025-06-15      | Fixed         | 9.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31414MPX8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      33117 | PA      | $34930.86      | 0.00%             | 2038-02-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3133AAZF2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    1347344 | PA      | $1211413.03    | 0.01%             | 2050-10-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138A8RD0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     111285 | PA      | $108115.65     | 0.00%             | 2041-03-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138EQFK3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       8264 | PA      | $8028.35       | 0.00%             | 2043-01-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140Q8Y33<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     924055 | PA      | $897108.85     | 0.00%             | 2033-04-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31409C3J2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       4204 | PA      | $4366.90       | 0.00%             | 2036-02-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138YTRM8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     809433 | PA      | $782411.78     | 0.00%             | 2045-06-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140X7M48<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     805585 | PA      | $768148.13     | 0.00%             | 2050-07-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140QMRM8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1475902 | PA      | $1264907.84    | 0.01%             | 2051-12-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138AFEF3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      59472 | PA      | $60763.07      | 0.00%             | 2041-05-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3128KUM79<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       1272 | PA      | $1342.97       | 0.00%             | 2037-08-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 3620ASEY1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     342681 | PA      | $335884.53     | 0.00%             | 2041-04-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138WCJZ7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     860418 | PA      | $826345.98     | 0.00%             | 2029-08-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 36201LTM6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       3880 | PA      | $4061.05       | 0.00%             | 2032-04-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140JKTM8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     326372 | PA      | $313246.91     | 0.00%             | 2049-01-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3131XXHX2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    1351467 | PA      | $1274333.72    | 0.01%             | 2045-07-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31386EBE7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |         80 | PA      | $85.35         | 0.00%             | 2030-10-01      | Fixed         | 9.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140HMWE0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     918312 | PA      | $916154.29     | 0.00%             | 2048-08-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138XDMH0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       7365 | PA      | $7137.68       | 0.00%             | 2044-06-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae II Pool                               | CUSIP: 36241KVY1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      12898 | PA      | $13227.62      | 0.00%             | 2038-10-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 312939CX7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       3794 | PA      | $3796.29       | 0.00%             | 2040-02-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae II Pool                               | CUSIP: 36202FYA8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       7267 | PA      | $7468.13       | 0.00%             | 2041-10-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 31292HKJ2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       1528 | PA      | $1583.95       | 0.00%             | 2031-07-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31417Y6Q5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1013743 | PA      | $996192.70     | 0.00%             | 2031-10-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140QN4J8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   14385341 | PA      | $12726989.12   | 0.05%             | 2052-05-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 31307WHZ0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     826828 | PA      | $803463.36     | 0.00%             | 2033-07-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31418EAM2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   13717046 | PA      | $11281135.37   | 0.05%             | 2052-01-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3128M92T8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     203159 | PA      | $203108.21     | 0.00%             | 2044-03-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3132WDHW7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       7679 | PA      | $7164.87       | 0.00%             | 2046-04-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3132DMFD2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    1596254 | PA      | $1476713.88    | 0.01%             | 2049-12-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31386A2H8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |         18 | PA      | $19.07         | 0.00%             | 2030-10-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31417GEJ1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    4756721 | PA      | $4213113.32    | 0.02%             | 2043-04-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140HL4P8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     658557 | PA      | $649111.53     | 0.00%             | 2048-08-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138ETGM2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    4194340 | PA      | $3829201.27    | 0.02%             | 2045-01-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140FCNG9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     420254 | PA      | $391717.14     | 0.00%             | 2046-08-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31371HXH6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       1379 | PA      | $1407.09       | 0.00%             | 2029-07-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3132WMUC6<br>LEI: 254900HROIFWPRGM1V77 | Long             | ABS-MBS          | USGSE             | US        |     164942 | PA      | $164385.72     | 0.00%             | 2047-04-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 36180CM63<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       4414 | PA      | $4053.27       | 0.00%             | 2043-04-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3132D6NR7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   18034734 | PA      | $16692078.80   | 0.07%             | 2035-07-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3133AXHR6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   13228323 | PA      | $11328261.86   | 0.05%             | 2051-11-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31385FZ33<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        123 | PA      | $127.36        | 0.00%             | 2030-06-01      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3133KH5Q5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    4466574 | PA      | $4259038.74    | 0.02%             | 2050-05-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 312941QB6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      20540 | PA      | $21008.13      | 0.00%             | 2040-07-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3132A5HD0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     214052 | PA      | $211823.22     | 0.00%             | 2047-07-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 36225BW53<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       1462 | PA      | $1537.71       | 0.00%             | 2032-10-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 36292FHS9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       9616 | PA      | $10026.78      | 0.00%             | 2035-09-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31372VGW0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       1025 | PA      | $1025.09       | 0.00%             | 2024-05-01      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140EUKZ1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       5101 | PA      | $5052.51       | 0.00%             | 2046-03-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140KXS64<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1342182 | PA      | $1161446.44    | 0.00%             | 2050-12-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31374TH85<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        263 | PA      | $271.18        | 0.00%             | 2028-12-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140K3SD5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1225365 | PA      | $1186980.63    | 0.01%             | 2034-12-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 36179DLT5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     100091 | PA      | $95147.02      | 0.00%             | 2043-01-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 31283H4Z5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       5534 | PA      | $5714.07       | 0.00%             | 2034-12-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138WAKM8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     563676 | PA      | $546616.44     | 0.00%             | 2028-12-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 312936KB2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       2297 | PA      | $2348.08       | 0.00%             | 2039-10-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 3620ARQM6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      32341 | PA      | $31704.51      | 0.00%             | 2040-11-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31415BPS2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        360 | PA      | $367.40        | 0.00%             | 2038-04-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140GQFS0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1228315 | PA      | $1191413.12    | 0.01%             | 2048-08-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3128M5U57<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      23545 | PA      | $24447.03      | 0.00%             | 2036-07-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31418CAR5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      11467 | PA      | $10930.37      | 0.00%             | 2031-08-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140F9N76<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     170371 | PA      | $165946.14     | 0.00%             | 2031-08-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Non Gold Pool                        | CUSIP: 3128UGAQ0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     112212 | PA      | $110088.53     | 0.00%             | 2040-11-01      | Floating      | 4.15%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140X4FT8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     366451 | PA      | $365506.77     | 0.00%             | 2034-04-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140Q7L70<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     483362 | PA      | $487357.69     | 0.00%             | 2047-09-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3131XU5N3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     263938 | PA      | $238518.10     | 0.00%             | 2046-09-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 31292HDN1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |         29 | PA      | $30.81         | 0.00%             | 2030-06-01      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3132XWHJ3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     250134 | PA      | $233340.81     | 0.00%             | 2048-01-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140J8KW2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1831384 | PA      | $1899532.52    | 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        |   26795064 | PA      | $23776260.19   | 0.10%             | 2051-11-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140E5CC6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     295032 | PA      | $282444.00     | 0.00%             | 2030-10-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 312941VQ7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       9584 | PA      | $9802.45       | 0.00%             | 2040-07-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 36292LBW3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       3165 | PA      | $3288.89       | 0.00%             | 2036-03-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3132XYD53<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      40493 | PA      | $38965.91      | 0.00%             | 2048-04-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 3620A2T48<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       2919 | PA      | $2928.86       | 0.00%             | 2039-05-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31412K7M8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       4126 | PA      | $4351.29       | 0.00%             | 2036-12-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 31292GZB5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |        345 | PA      | $352.74        | 0.00%             | 2029-02-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3132KE2E4<br>LEI: 254900HROIFWPRGM1V77 | Long             | ABS-MBS          | USGSE             | US        |      95992 | PA      | $91050.96      | 0.00%             | 2030-03-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140EVTP2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     308401 | PA      | $283458.93     | 0.00%             | 2046-07-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3128MJ6A3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      60733 | PA      | $61304.51      | 0.00%             | 2049-02-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31413LKB4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       3138 | PA      | $3361.43       | 0.00%             | 2037-08-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 36210AMT1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |         32 | PA      | $32.99         | 0.00%             | 2028-08-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31386SL62<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        328 | PA      | $340.32        | 0.00%             | 2031-07-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3128M8RA4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      64585 | PA      | $64629.20      | 0.00%             | 2041-06-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31412XX25<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       1340 | PA      | $1393.02       | 0.00%             | 2037-07-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3132Y0K74<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     522573 | PA      | $507380.46     | 0.00%             | 2048-06-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140HBJF6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1174511 | PA      | $1184765.36    | 0.01%             | 2048-06-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 31292HSD7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |        611 | PA      | $658.69        | 0.00%             | 2032-09-01      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140MFK77<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1896285 | PA      | $1561678.24    | 0.01%             | 2052-02-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31418ACU0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      14152 | PA      | $13750.25      | 0.00%             | 2027-02-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31406PAP4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       9169 | PA      | $9510.34       | 0.00%             | 2035-03-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 3620A9TH4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      68173 | PA      | $70225.52      | 0.00%             | 2039-09-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 3620AQNE9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       1204 | PA      | $1207.84       | 0.00%             | 2040-04-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138X1WM4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      15251 | PA      | $14451.84      | 0.00%             | 2030-06-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3128KXBQ3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       1634 | PA      | $1724.94       | 0.00%             | 2037-10-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138WHBG6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      17767 | PA      | $16055.52      | 0.00%             | 2046-05-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3128L5P70<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      15069 | PA      | $16109.68      | 0.00%             | 2038-02-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3133G8J51<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     550200 | PA      | $520557.95     | 0.00%             | 2035-04-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3128M83F9<br>LEI: 254900HROIFWPRGM1V77 | Long             | ABS-MBS          | USGSE             | US        |      46801 | PA      | $48240.48      | 0.00%             | 2036-07-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140KBY32<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    2117675 | PA      | $1898046.90    | 0.01%             | 2050-06-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 36295HBR0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      11460 | PA      | $11898.14      | 0.00%             | 2039-09-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 31292GVB9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |        514 | PA      | $533.40        | 0.00%             | 2028-05-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140X4PG5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      53442 | PA      | $52810.95      | 0.00%             | 2049-05-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31410KC93<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       8877 | PA      | $9360.69       | 0.00%             | 2037-02-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3132WNEK4<br>LEI: 254900HROIFWPRGM1V77 | Long             | ABS-MBS          | USGSE             | US        |    1198483 | PA      | $1187164.37    | 0.01%             | 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        |   16140085 | PA      | $13325635.35   | 0.06%             | 2051-06-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140X3AZ1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1864403 | PA      | $1728672.71    | 0.01%             | 2034-10-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31407JYK2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       7265 | PA      | $7375.70       | 0.00%             | 2035-07-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 36225BEA2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |         77 | PA      | $79.34         | 0.00%             | 2029-05-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140K33C4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     674885 | PA      | $602717.47     | 0.00%             | 2049-12-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138ML5N0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    2187262 | PA      | $1997695.97    | 0.01%             | 2042-12-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140FRH57<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     196961 | PA      | $177990.89     | 0.00%             | 2047-02-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31417GMM5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     448763 | PA      | $423098.15     | 0.00%             | 2043-05-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3133WJM71<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     827826 | PA      | $795355.36     | 0.00%             | 2037-06-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138NYGR0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       5924 | PA      | $5586.05       | 0.00%             | 2043-01-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140QCMJ2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1195829 | PA      | $1067955.02    | 0.00%             | 2049-12-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31407FGK0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        858 | PA      | $870.94        | 0.00%             | 2035-07-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138WH6J6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     225184 | PA      | $203496.02     | 0.00%             | 2046-10-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 3622A27M8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    7109893 | PA      | $6491628.61    | 0.03%             | 2047-02-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31418C4C5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      68793 | PA      | $67936.68      | 0.00%             | 2033-11-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3133A66X4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    2141743 | PA      | $1918798.75    | 0.01%             | 2050-06-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3133KJQ39<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   11646686 | PA      | $10333310.07   | 0.04%             | 2050-07-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138NWVW6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      11630 | PA      | $11169.19      | 0.00%             | 2029-06-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 312934CX8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      38619 | PA      | $37651.61      | 0.00%             | 2039-07-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae II Pool                               | CUSIP: 3622AAHH0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   10675892 | PA      | $9452436.97    | 0.04%             | 2045-10-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138Y1CQ6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      24586 | PA      | $23631.55      | 0.00%             | 2029-08-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3133KH2L9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    6546985 | PA      | $5836122.30    | 0.02%             | 2050-05-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140HBHS0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      58767 | PA      | $60278.86      | 0.00%             | 2048-06-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31375BFN2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |         11 | PA      | $11.40         | 0.00%             | 2026-01-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 36290VYR9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       2010 | PA      | $2055.85       | 0.00%             | 2034-10-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140Q9JA2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     231615 | PA      | $228880.93     | 0.00%             | 2048-07-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140QKBK3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    7266246 | PA      | $6516621.04    | 0.03%             | 2051-04-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140HLWA0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     128603 | PA      | $124220.21     | 0.00%             | 2048-12-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3128K6G87<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       9289 | PA      | $9644.92       | 0.00%             | 2035-06-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 31283GPH4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |         68 | PA      | $68.48         | 0.00%             | 2025-11-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3132CWBD5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     325416 | PA      | $311535.11     | 0.00%             | 2033-04-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 36225ADJ6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |         40 | PA      | $39.97         | 0.00%             | 2025-01-15      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3128M7KJ4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      24936 | PA      | $24949.79      | 0.00%             | 2039-04-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31390PGD3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       2707 | PA      | $2816.88       | 0.00%             | 2032-08-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31385JK80<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        388 | PA      | $402.21        | 0.00%             | 2032-08-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 36225BDX3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        106 | PA      | $109.45        | 0.00%             | 2028-09-15      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 312945L89<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      14532 | PA      | $14131.69      | 0.00%             | 2041-02-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3128MMT94<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     239455 | PA      | $229455.84     | 0.00%             | 2030-11-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3131YBXB9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    1170424 | PA      | $1133811.33    | 0.00%             | 2034-04-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3132A5HR9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    4028353 | PA      | $3873665.84    | 0.02%             | 2047-10-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140X9R64<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    7261850 | PA      | $6533607.71    | 0.03%             | 2036-02-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31418VN73<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       5021 | PA      | $5019.15       | 0.00%             | 2040-07-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3133AP2S7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     298254 | PA      | $264929.65     | 0.00%             | 2051-08-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138MDV33<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     393569 | PA      | $348652.98     | 0.00%             | 2042-10-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31419HCS9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      11340 | PA      | $11337.08      | 0.00%             | 2040-12-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 3620ASET2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      12500 | PA      | $12543.77      | 0.00%             | 2041-04-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140KTEG6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   15424481 | PA      | $13185982.63   | 0.06%             | 2050-11-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140XTAQ4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    9212690 | PA      | $8541996.89    | 0.04%             | 2035-04-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 31307HP50<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     304811 | PA      | $293015.20     | 0.00%             | 2029-06-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 31297TXD0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       1929 | PA      | $1960.35       | 0.00%             | 2035-09-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138EQTZ5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     815960 | PA      | $815721.50     | 0.00%             | 2044-06-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3132WK6V5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     163437 | PA      | $157371.57     | 0.00%             | 2047-02-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138YPTM4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      89266 | PA      | $80725.81      | 0.00%             | 2045-05-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3128K1HF1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |        664 | PA      | $675.31        | 0.00%             | 2035-12-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae II Pool                               | CUSIP: 36179UKY7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   18470025 | PA      | $18304388.51   | 0.08%             | 2049-01-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138YSP67<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     463381 | PA      | $443610.98     | 0.00%             | 2030-04-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138ELCT8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      29473 | PA      | $31087.63      | 0.00%             | 2040-10-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140J9E64<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     223704 | PA      | $208822.47     | 0.00%             | 2047-02-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31402DS27<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       1299 | PA      | $1316.14       | 0.00%             | 2033-08-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140GRWU4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     713993 | PA      | $679851.01     | 0.00%             | 2032-06-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3132WM7L2<br>LEI: 254900HROIFWPRGM1V77 | Long             | ABS-MBS          | USGSE             | US        |    2689626 | PA      | $2525479.24    | 0.01%             | 2047-05-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140JGZ65<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     358941 | PA      | $362749.10     | 0.00%             | 2049-02-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138E0K99<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       4276 | PA      | $4122.74       | 0.00%             | 2027-01-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 31298UTG4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       1101 | PA      | $1177.14       | 0.00%             | 2031-09-01      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31417UJ55<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      10573 | PA      | $10794.90      | 0.00%             | 2039-12-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 312942CB9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       8025 | PA      | $7819.29       | 0.00%             | 2040-09-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31411YVG5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       6624 | PA      | $6883.83       | 0.00%             | 2037-06-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3132QVDV0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     846882 | PA      | $819402.43     | 0.00%             | 2046-01-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31409JLP3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       2879 | PA      | $3036.40       | 0.00%             | 2036-06-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140H7VB0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     630708 | PA      | $612933.01     | 0.00%             | 2048-01-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31411ENX1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        486 | PA      | $520.67        | 0.00%             | 2036-12-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae II Pool                               | CUSIP: 36179RNV7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     353817 | PA      | $324763.69     | 0.00%             | 2045-09-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae II Pool                               | CUSIP: 3617BVUV7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    3874655 | PA      | $3762477.71    | 0.02%             | 2048-01-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140X9MF9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    7266397 | PA      | $6830043.02    | 0.03%             | 2047-12-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31414NHM9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     717684 | PA      | $717088.77     | 0.00%             | 2039-02-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140MNF50<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    7552254 | PA      | $7347488.14    | 0.03%             | 2052-07-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140JKRM0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     872569 | PA      | $870519.60     | 0.00%             | 2049-01-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138WFT48<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     199399 | PA      | $190891.40     | 0.00%             | 2030-10-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31415RFG4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     458360 | PA      | $476438.61     | 0.00%             | 2038-07-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138XTED3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      51602 | PA      | $51451.90      | 0.00%             | 2044-05-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31417MCV3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       5448 | PA      | $5368.23       | 0.00%             | 2024-09-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138ETYW0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    3314059 | PA      | $3131318.14    | 0.01%             | 2046-07-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae II Pool                               | CUSIP: 36197KE81<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     428658 | PA      | $404925.61     | 0.00%             | 2047-03-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae II Pool                               | CUSIP: 3617G4DE9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    1998994 | PA      | $1888320.98    | 0.01%             | 2048-01-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3128MFH50<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    3323724 | PA      | $3128884.23    | 0.01%             | 2032-09-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 36291YYB7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       2277 | PA      | $2326.19       | 0.00%             | 2035-06-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae II Pool                               | CUSIP: 36179S2N6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   11321435 | PA      | $10390038.11   | 0.04%             | 2047-04-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3128MFH35<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     785449 | PA      | $739404.78     | 0.00%             | 2032-10-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 31283HH81<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |        809 | PA      | $839.85        | 0.00%             | 2030-08-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31416ND41<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       1601 | PA      | $1580.57       | 0.00%             | 2024-05-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31418CSG0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     799392 | PA      | $761166.64     | 0.00%             | 2032-12-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae II Pool                               | CUSIP: 36179NTC2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      36317 | PA      | $33452.47      | 0.00%             | 2043-11-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3128K8EE2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       1820 | PA      | $1849.83       | 0.00%             | 2035-10-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140H8CU7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    2757707 | PA      | $2666421.85    | 0.01%             | 2048-02-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 31283GZC4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |         61 | PA      | $63.24         | 0.00%             | 2027-06-01      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138A8RT5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     967461 | PA      | $988455.79     | 0.00%             | 2041-03-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3132WNWH1<br>LEI: 254900HROIFWPRGM1V77 | Long             | ABS-MBS          | USGSE             | US        |    3438657 | PA      | $3330025.36    | 0.01%             | 2047-06-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3128MMVE0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    1030098 | PA      | $982856.56     | 0.00%             | 2031-09-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 36208RYX6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        660 | PA      | $674.97        | 0.00%             | 2028-09-15      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 36210UPP2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       3820 | PA      | $3913.59       | 0.00%             | 2029-07-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 36176M3E1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       7705 | PA      | $7552.25       | 0.00%             | 2041-08-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 31292GVZ6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |         22 | PA      | $23.27         | 0.00%             | 2028-07-01      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae II Pool                               | CUSIP: 36179SCA3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     105370 | PA      | $105559.07     | 0.00%             | 2046-05-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140XDH25<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    4753237 | PA      | $4075191.79    | 0.02%             | 2051-10-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3128FABA4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |        903 | PA      | $907.22        | 0.00%             | 2026-04-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31418AHK7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   11736589 | PA      | $11067316.11   | 0.05%             | 2042-08-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 36209VM50<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        358 | PA      | $364.09        | 0.00%             | 2028-12-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 36225ATR1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |         96 | PA      | $95.70         | 0.00%             | 2024-05-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 36206NEE1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        512 | PA      | $514.99        | 0.00%             | 2025-12-15      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138E5ML9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      25891 | PA      | $25123.64      | 0.00%             | 2042-05-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31385W2D0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       4449 | PA      | $4651.94       | 0.00%             | 2033-03-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140FEHM9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     642513 | PA      | $586099.46     | 0.00%             | 2046-10-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3132GDC83<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      21540 | PA      | $21554.52      | 0.00%             | 2041-04-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140FGPX1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    2039082 | PA      | $1923307.38    | 0.01%             | 2047-01-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31410KD68<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       2083 | PA      | $2196.58       | 0.00%             | 2038-03-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31418CJ54<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      90318 | PA      | $91065.00      | 0.00%             | 2047-04-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140QNJX1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    5892857 | PA      | $5437496.23    | 0.02%             | 2037-02-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31402CVP4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        523 | PA      | $538.46        | 0.00%             | 2034-02-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3132VLDU8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     644461 | PA      | $620155.56     | 0.00%             | 2048-11-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140QAXY1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1454229 | PA      | $1466219.13    | 0.01%             | 2049-04-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140XGZN2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   62038174 | PA      | $53178857.76   | 0.23%             | 2052-01-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae II Pool                               | CUSIP: 36179QGF2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      30638 | PA      | $31486.37      | 0.00%             | 2044-06-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3131XCYX9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      68372 | PA      | $65100.19      | 0.00%             | 2032-07-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae II Pool                               | CUSIP: 36179UPB2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    7235563 | PA      | $7170675.52    | 0.03%             | 2049-03-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 3620ARH61<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      60325 | PA      | $60533.60      | 0.00%             | 2040-09-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138WJNC8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     602331 | PA      | $550488.52     | 0.00%             | 2046-12-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31373UM53<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        159 | PA      | $160.97        | 0.00%             | 2026-03-01      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138EGSJ4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     198075 | PA      | $205887.49     | 0.00%             | 2041-07-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3132WFNV7<br>LEI: 254900HROIFWPRGM1V77 | Long             | ABS-MBS          | USGSE             | US        |     784387 | PA      | $731867.73     | 0.00%             | 2046-08-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140H4C51<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1824722 | PA      | $1773296.82    | 0.01%             | 2047-12-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140KV4C1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    3855394 | PA      | $3194884.56    | 0.01%             | 2050-12-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 312938DK6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       6893 | PA      | $7045.03       | 0.00%             | 2039-12-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 36200MJ79<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       7488 | PA      | $7754.67       | 0.00%             | 2033-05-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3133GB5P5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     738485 | PA      | $683505.64     | 0.00%             | 2036-01-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 36182Q3H7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      13983 | PA      | $13598.57      | 0.00%             | 2044-08-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31402RDF3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       2156 | PA      | $2270.17       | 0.00%             | 2035-04-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae II Pool                               | CUSIP: 36179TE27<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    4666897 | PA      | $4531782.57    | 0.02%             | 2047-08-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3133KHWS1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     137190 | PA      | $123052.63     | 0.00%             | 2050-04-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 31307MTZ9<br>LEI: 254900HROIFWPRGM1V77 | Long             | ABS-MBS          | USGSE             | US        |     123609 | PA      | $117247.08     | 0.00%             | 2030-05-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 36201NTL4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        919 | PA      | $926.42        | 0.00%             | 2033-07-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae II Pool                               | CUSIP: 36179WDP0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     537663 | PA      | $435108.98     | 0.00%             | 2051-04-20      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae II Pool                               | CUSIP: 3617J4A33<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     749843 | PA      | $752618.93     | 0.00%             | 2048-12-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140JXKU1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    2705672 | PA      | $2544896.24    | 0.01%             | 2034-09-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140KUP63<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    7230088 | PA      | $5975705.83    | 0.03%             | 2050-12-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 31283HJ48<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |        665 | PA      | $705.12        | 0.00%             | 2031-02-01      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae II Pool                               | CUSIP: 36179WB23<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     151514 | PA      | $142354.28     | 0.00%             | 2051-03-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31412XYV0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        343 | PA      | $362.18        | 0.00%             | 2037-07-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31410GRN5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1039250 | PA      | $1077922.35    | 0.00%             | 2037-08-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 36200NBS9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        741 | PA      | $769.72        | 0.00%             | 2034-01-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31371F3Z3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        119 | PA      | $123.85        | 0.00%             | 2027-08-01      | Fixed         | 8.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae II Pool                               | CUSIP: 3617B3QV4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     996425 | PA      | $941258.85     | 0.00%             | 2047-12-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3132A3SA9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      94939 | PA      | $92416.96      | 0.00%             | 2040-12-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae II Pool                               | CUSIP: 36179TZ57<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    8801000 | PA      | $8532560.55    | 0.04%             | 2048-06-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31382F6E4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       2577 | PA      | $2654.10       | 0.00%             | 2029-02-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31414U6N3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      27509 | PA      | $28578.14      | 0.00%             | 2037-12-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 36213FLD3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       1181 | PA      | $1251.12       | 0.00%             | 2033-01-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3128MJZ94<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       2825 | PA      | $2719.34       | 0.00%             | 2047-06-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140QEY30<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   22126827 | PA      | $19175414.89   | 0.08%             | 2050-09-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3131XCTH0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     400991 | PA      | $389862.47     | 0.00%             | 2032-04-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3132WJP47<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     844627 | PA      | $769783.01     | 0.00%             | 2046-11-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140J9HV6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      53524 | PA      | $50603.78      | 0.00%             | 2030-08-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 36290SA43<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       3634 | PA      | $3709.65       | 0.00%             | 2033-08-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3128MJAG5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       1008 | PA      | $1063.03       | 0.00%             | 2034-08-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 36295QHL7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       4874 | PA      | $5022.62       | 0.00%             | 2040-06-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 31292SAM2<br>LEI: 254900HROIFWPRGM1V77 | Long             | ABS-MBS          | USGSE             | US        |     805532 | PA      | $760325.02     | 0.00%             | 2042-09-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 31335AQ92<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       5620 | PA      | $5608.62       | 0.00%             | 2045-11-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140GTBK5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     368483 | PA      | $346531.76     | 0.00%             | 2032-10-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3132ADPF9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     466708 | PA      | $470568.22     | 0.00%             | 2048-11-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140FDHZ2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     341292 | PA      | $315132.11     | 0.00%             | 2031-11-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31383EFY2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        520 | PA      | $539.26        | 0.00%             | 2029-06-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3128MBY50<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       2202 | PA      | $2194.46       | 0.00%             | 2023-06-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31418ECU2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   47137097 | PA      | $42299329.06   | 0.18%             | 2037-04-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31419ANJ2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      31314 | PA      | $32549.59      | 0.00%             | 2039-12-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae II Pool                               | CUSIP: 36202F3M6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      74097 | PA      | $70459.27      | 0.00%             | 2042-02-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 36208CHG5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |         78 | PA      | $79.38         | 0.00%             | 2028-09-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31416BHH4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       1773 | PA      | $1764.55       | 0.00%             | 2023-06-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31418DP55<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    2216843 | PA      | $2097448.25    | 0.01%             | 2035-06-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140J5Q77<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |          6 | PA      | $6.32          | 0.00%             | 2027-03-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 3622AADS0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    5020411 | PA      | $4588100.26    | 0.02%             | 2047-02-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138LSK41<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       4107 | PA      | $3985.02       | 0.00%             | 2042-05-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140EUC64<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     471742 | PA      | $440360.68     | 0.00%             | 2045-12-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 3620A9PX3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       2013 | PA      | $2074.10       | 0.00%             | 2039-10-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138YPW81<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     106583 | PA      | $102035.75     | 0.00%             | 2030-05-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31409ELR0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      21878 | PA      | $23070.14      | 0.00%             | 2036-05-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3128MJTQ3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       3819 | PA      | $3706.72       | 0.00%             | 2043-11-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138WD7G0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    2973013 | PA      | $2826855.13    | 0.01%             | 2030-02-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140HMUZ5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     630357 | PA      | $622510.63     | 0.00%             | 2033-07-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31368HK44<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       2561 | PA      | $2646.44       | 0.00%             | 2031-11-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31419JSC3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     226638 | PA      | $213686.86     | 0.00%             | 2040-11-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 36295UAQ4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       7752 | PA      | $7779.35       | 0.00%             | 2040-02-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31410LFW7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      10973 | PA      | $10346.19      | 0.00%             | 2041-10-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 31307VF76<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     272436 | PA      | $263503.88     | 0.00%             | 2028-01-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140GWR39<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     617547 | PA      | $588017.17     | 0.00%             | 2033-01-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 36241KYF9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       1857 | PA      | $2013.08       | 0.00%             | 2038-12-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31413UJN0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        535 | PA      | $564.47        | 0.00%             | 2037-10-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 31288GCW0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |        378 | PA      | $395.62        | 0.00%             | 2033-03-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31391HDP6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       1409 | PA      | $1463.38       | 0.00%             | 2032-05-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 36208KRS0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       1231 | PA      | $1246.90       | 0.00%             | 2027-08-15      | Fixed         | 8.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140F5CD3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    4035704 | PA      | $3647016.42    | 0.02%             | 2046-12-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae II Pool                               | CUSIP: 36202F2H8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     112457 | PA      | $108569.04     | 0.00%             | 2027-01-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 36210UPD9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       2659 | PA      | $2698.18       | 0.00%             | 2029-07-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 36176XB73<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     143043 | PA      | $135947.93     | 0.00%             | 2042-02-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140KVY46<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    2308100 | PA      | $2077138.13    | 0.01%             | 2036-01-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140FFY70<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     216350 | PA      | $203712.00     | 0.00%             | 2046-11-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3133KNF99<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    4936200 | PA      | $4213877.52    | 0.02%             | 2051-12-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 36207J5H2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |         27 | PA      | $27.38         | 0.00%             | 2028-06-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140X55S8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    2422342 | PA      | $2272261.61    | 0.01%             | 2049-01-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31414DQ74<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |         50 | PA      | $49.58         | 0.00%             | 2023-05-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3132D57D8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   15635797 | PA      | $13681155.12   | 0.06%             | 2036-03-01      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 31296SUV6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       6151 | PA      | $6524.18       | 0.00%             | 2033-12-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3133ABBT6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   10311709 | PA      | $8865062.08    | 0.04%             | 2050-10-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae II Pool                               | CUSIP: 36202E5G0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       5620 | PA      | $5772.57       | 0.00%             | 2039-05-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138X3TW2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       9493 | PA      | $8666.69       | 0.00%             | 2043-08-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3133B7Q35<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    6326664 | PA      | $5805943.30    | 0.02%             | 2052-03-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140KK6J8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     831953 | PA      | $744800.71     | 0.00%             | 2050-08-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 36209PM61<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        478 | PA      | $485.96        | 0.00%             | 2028-10-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 36295RQ92<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     481174 | PA      | $513367.69     | 0.00%             | 2038-12-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 31283HJB2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |         30 | PA      | $32.22         | 0.00%             | 2031-01-01      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3132QUHG1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     125065 | PA      | $117532.69     | 0.00%             | 2045-11-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3128MJBQ2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       6519 | PA      | $6768.69       | 0.00%             | 2035-03-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140FS5L3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     493217 | PA      | $474033.93     | 0.00%             | 2032-02-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3133B06V0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    1019563 | PA      | $936453.27     | 0.00%             | 2051-12-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 36201A2R8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        722 | PA      | $732.93        | 0.00%             | 2031-12-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3132M8X76<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       6372 | PA      | $6370.46       | 0.00%             | 2043-12-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 31297FM42<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |        355 | PA      | $366.65        | 0.00%             | 2034-11-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3128MB6Q5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       2816 | PA      | $2800.48       | 0.00%             | 2023-12-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 36290TKD0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       7559 | PA      | $7724.56       | 0.00%             | 2035-11-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3132J4B40<br>LEI: 254900HROIFWPRGM1V77 | Long             | ABS-MBS          | USGSE             | US        |    7430147 | PA      | $7182461.74    | 0.03%             | 2035-05-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 31307VRG3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     164239 | PA      | $159822.66     | 0.00%             | 2033-01-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3133KMKH7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    3423056 | PA      | $2935234.89    | 0.01%             | 2051-08-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3132ACQC7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     376780 | PA      | $372333.76     | 0.00%             | 2048-07-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31410GJA2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       2880 | PA      | $2970.80       | 0.00%             | 2035-02-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae II Pool                               | CUSIP: 36179XFG6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   68605928 | PA      | $65421325.61   | 0.28%             | 2052-09-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31410GWH2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       5225 | PA      | $5429.78       | 0.00%             | 2037-11-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae II Pool                               | CUSIP: 36179MCJ7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    2649014 | PA      | $2544452.41    | 0.01%             | 2027-05-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3128PSUZ8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      10316 | PA      | $10078.40      | 0.00%             | 2025-10-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 36200DKK8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       4246 | PA      | $4425.43       | 0.00%             | 2032-12-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 36291NUZ2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       1844 | PA      | $1924.11       | 0.00%             | 2036-02-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31415XBD2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       1847 | PA      | $1948.17       | 0.00%             | 2038-10-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3132VNB28<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     519330 | PA      | $504607.60     | 0.00%             | 2049-03-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae II Pool                               | CUSIP: 36179R7K9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    4352624 | PA      | $4239140.46    | 0.02%             | 2046-04-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140LTR71<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    2017180 | PA      | $1814217.06    | 0.01%             | 2036-07-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31418CUB8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   20358782 | PA      | $19576790.83   | 0.08%             | 2048-02-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138E2AZ8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      31599 | PA      | $30706.75      | 0.00%             | 2026-12-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae II Pool                               | CUSIP: 36179VVX5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     649388 | PA      | $555033.99     | 0.00%             | 2050-10-20      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31416JMP3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       1153 | PA      | $1149.90       | 0.00%             | 2033-08-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138MHUM3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      22454 | PA      | $21545.04      | 0.00%             | 2027-12-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 3622AADT8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     346845 | PA      | $318527.98     | 0.00%             | 2044-01-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3131XUMZ7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     239696 | PA      | $220311.22     | 0.00%             | 2046-06-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3133KMKG9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    1271735 | PA      | $1090449.40    | 0.00%             | 2051-07-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 31339SCT0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     590158 | PA      | $582518.40     | 0.00%             | 2049-08-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140X9KK0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     128898 | PA      | $115950.64     | 0.00%             | 2036-01-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31388DYB8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       1005 | PA      | $1041.16       | 0.00%             | 2031-08-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31385JDJ4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       3422 | PA      | $3660.27       | 0.00%             | 2032-05-01      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 36180F2T8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      58329 | PA      | $55470.57      | 0.00%             | 2043-10-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31418CRZ9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     140170 | PA      | $141328.29     | 0.00%             | 2047-09-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae II Pool                               | CUSIP: 36179XDE3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   46861329 | PA      | $45839020.13   | 0.20%             | 2052-08-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 31307TPD7<br>LEI: 254900HROIFWPRGM1V77 | Long             | ABS-MBS          | USGSE             | US        |    1184481 | PA      | $1152633.19    | 0.00%             | 2032-04-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |

### Signature

**Date Signed:** 2022-12-29

**Name of Applicant:** iShares Trust

**Signature:** Ann Frechette

**Name of Signer:** Ann Frechette

**Title:** Assistant Treasurer