# EDGAR Filing Document

**Accession Number:** 0000225030
**File Stem:** 0001387131-23-002454
**Filing Date:** 2023-2
**Character Count:** 348221
**Document Hash:** 61cc7153f228bd815d2938d978582dd3
**Contains OCR:** False
**Source Format:** 

## Filing Content

## Filing Summary
**0001387131-23-002454.hdr.sgml**: 20230227

**ACCESSION NUMBER**: 0001387131-23-002454

**CONFORMED SUBMISSION TYPE**: NPORT-P

**PUBLIC DOCUMENT COUNT**: 1

**CONFORMED PERIOD OF REPORT**: 20221231

**FILED AS OF DATE**: 20230227

**DATE AS OF CHANGE**: 20230227

**PERIOD START**: 20221231

**FILER**: 

**COMPANY DATA:**
- **COMPANY CONFORMED NAME:** AFL CIO HOUSING INVESTMENT TRUST
- **CENTRAL INDEX KEY:** 0000225030
- **IRS NUMBER:** 526220193
- **FISCAL YEAR END:** 1231

**FILING VALUES:**
- **FORM TYPE:** NPORT-P
- **SEC ACT:** 1940 Act
- **SEC FILE NUMBER:** 811-03493
- **FILM NUMBER:** 23676291

**BUSINESS ADDRESS:**
- **STREET 1:** 1227 25TH STREET, NW
- **STREET 2:** SUITE 500
- **CITY:** WASHINGTON
- **STATE:** DC
- **ZIP:** 20037
- **BUSINESS PHONE:** (202) 331-8055

**MAIL ADDRESS:**
- **STREET 1:** 1227 25TH STREET, NW
- **STREET 2:** SUITE 500
- **CITY:** WASHINGTON
- **STATE:** DC
- **ZIP:** 20037

## Series and Classes Contracts Data

### AFL CIO HOUSING INVESTMENT TRUST (Series ID: S000009768)

| Class ID   | Class Name                       | Ticker Symbol   |
|:---|:---|:---|
| C000026832 | AFL CIO HOUSING INVESTMENT TRUST |  |

## Form NPORT-P: Monthly Portfolio Investments Report

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

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

- **a. Name of Registrant:** AFL CIO Housing Investment Trust

- **b. Investment Company Act file number:** 811-03493

- **c. CIK number of Registrant:** 0000225030

- **d. LEI of Registrant:** 549300VD1CNIEZWGKO35

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

  - **Street Address 1:** 1227 25th Street, NW

  - **City:** Washington

  - **State:** DC

  - **Foreign country:** US

  - **Zip / Postal Code:** 20037

  - **Telephone number:** 202-331-8055

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

- **a. Name of Series:** AFL CIO Housing Investment Trust

- **b. EDGAR series identifier (if any):** S000009768

- **c. LEI of Series:** 549300RFU4BMM7Q31B86

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

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

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

**Item A.4. Final filing**

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

### Fund Information

**Total Assets:** $6112723304.00

**Total Liabilities:** $87660386.00

**Net Assets:** $6025062918.00

**Delayed Delivery Securities:** $72885337.00

**Cash Not Reported:** $974449.00

**Currency Risk Metrics (dv01):**

- 

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

- **3-Month:** 1129.97 | **1-Year:** 66204.16 | **5-Year:** 1119703.55 | **10-Year:** 2004887.89 | **30-Year:** 399648.98

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

- **3-Month:** 695.55 | **1-Year:** 57273.37 | **5-Year:** 0 | **10-Year:** 0 | **30-Year:** 0

**Monthly Return Information**

| Class               | Month 1 Return (%)   | Month 2 Return (%)   | Month 3 Return (%)   |
|:---|:---|:---|:---|
| Class ID C000026832 | -1.94%               | 3.52%                | -0.58%               |

**Monthly Gains & Losses**

| Period   | Net Realized Gain/Loss   | Net Unrealized Appreciation/Depreciation   |
|:---|:---|:---|
| Month 1  | $-29529202.00            | $-102015746.00                             |
| Month 2  | $-600377.00              | $190917123.00                              |
| Month 3  | $-439175.00              | $-50586279.00                              |

### 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   |
|:---|:---|:---|:---|:---|:---|:---|---:|:---|:---|:---|:---|:---|:---|:---|---:|:---|
| Blackrock Liquidity Funds                     | Blackrock Liquidity FedFund  | CUSIP: N/A<br>LEI: 5493007YVNX55LTRQ706       | Long             | STIV             | RF                | US        |  54498351 | NS      | $54498350.91  | 0.90%             | N/A             | None          |  | No            |                  1 | On Loan: No      |
| Halkin Finance                                | Commerical Paper             | CUSIP: 40588MM37<br>LEI: N/A                  | Long             | STIV             |  | US        |  39990422 | PA      | $39990422.24  | 0.66%             | N/A             | None          |  | No            |                  1 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION         | SINGLE FAMILY ARM            | CUSIP: 31402G5Z2<br>LEI: 254900HROIFWPRGM1V77 | Long             | ABS-MBS          | USGSE             | US        |    288726 | PA      | $293139.08    | 0.00%             | 2033-07-01      | Floating      | 3.97%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION         | SINGLE FAMILY ARM            | CUSIP: 31401CAR4<br>LEI: 254900HROIFWPRGM1V77 | Long             | ABS-MBS          | USGSE             | US        |    120397 | PA      | $122041.87    | 0.00%             | 2033-05-01      | Floating      | 3.23%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION         | SINGLE FAMILY ARM            | CUSIP: 31402HAM3<br>LEI: 254900HROIFWPRGM1V77 | Long             | ABS-MBS          | USGSE             | US        |    169601 | PA      | $172687.95    | 0.00%             | 2033-08-01      | Floating      | 4.22%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION         | SINGLE FAMILY ARM            | CUSIP: 31385XKH9<br>LEI: 254900HROIFWPRGM1V77 | Long             | ABS-MBS          | USGSE             | US        |    390871 | PA      | $397066.69    | 0.01%             | 2033-08-01      | Floating      | 3.83%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION         | SINGLE FAMILY ARM            | CUSIP: 31403UYG0<br>LEI: 254900HROIFWPRGM1V77 | Long             | ABS-MBS          | USGSE             | US        |    686344 | PA      | $692964.79    | 0.01%             | 2033-11-01      | Floating      | 4.39%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION         | SINGLE FAMILY ARM            | CUSIP: 31401XXA0<br>LEI: 254900HROIFWPRGM1V77 | Long             | ABS-MBS          | USGSE             | US        |    105021 | PA      | $105379.20    | 0.00%             | 2033-07-01      | Floating      | 3.74%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION         | SINGLE FAMILY ARM            | CUSIP: 31402DSK7<br>LEI: 254900HROIFWPRGM1V77 | Long             | ABS-MBS          | USGSE             | US        |    113618 | PA      | $113533.54    | 0.00%             | 2033-08-01      | Floating      | 2.86%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION         | SINGLE FAMILY ARM            | CUSIP: 31396P5W7<br>LEI: 254900HROIFWPRGM1V77 | Long             | ABS-MBS          | USGSE             | US        |    102391 | PA      | $101329.31    | 0.00%             | 2037-03-25      | Floating      | 4.64%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION         | SINGLE FAMILY ARM            | CUSIP: 31404KRV6<br>LEI: 254900HROIFWPRGM1V77 | Long             | ABS-MBS          | USGSE             | US        |    389666 | PA      | $384997.51    | 0.01%             | 2034-04-01      | Floating      | 2.77%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION         | SINGLE FAMILY ARM            | CUSIP: 31405UT33<br>LEI: 254900HROIFWPRGM1V77 | Long             | ABS-MBS          | USGSE             | US        |    145124 | PA      | $143154.13    | 0.00%             | 2034-11-01      | Floating      | 3.87%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION         | SINGLE FAMILY ARM            | CUSIP: 31396VRS9<br>LEI: 254900HROIFWPRGM1V77 | Long             | ABS-MBS          | USGSE             | US        |    244380 | PA      | $239594.19    | 0.00%             | 2037-04-25      | Floating      | 4.79%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION         | SINGLE FAMILY ARM            | CUSIP: 3136A4TC3<br>LEI: 254900HROIFWPRGM1V77 | Long             | ABS-MBS          | USGSE             | US        |   1756029 | PA      | $1724658.95   | 0.03%             | 2042-03-25      | Floating      | 4.94%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION         | SINGLE FAMILY ARM            | CUSIP: 3136A6PG3<br>LEI: 254900HROIFWPRGM1V77 | Long             | ABS-MBS          | USGSE             | US        |   3215676 | PA      | $3142318.37   | 0.05%             | 2042-06-25      | Floating      | 4.89%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION         | SINGLE FAMILY ARM            | CUSIP: 3136A9HU5<br>LEI: 254900HROIFWPRGM1V77 | Long             | ABS-MBS          | USGSE             | US        |   1410167 | PA      | $1372293.42   | 0.02%             | 2042-10-25      | Floating      | 4.85%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION         | SINGLE FAMILY ARM            | CUSIP: 3136AGXD9<br>LEI: 254900HROIFWPRGM1V77 | Long             | ABS-MBS          | USGSE             | US        |   3379362 | PA      | $3308505.99   | 0.05%             | 2043-10-25      | Floating      | 4.99%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION         | SINGLE FAMILY ARM            | CUSIP: 31396V4B1<br>LEI: 254900HROIFWPRGM1V77 | Long             | ABS-MBS          | USGSE             | US        |    530664 | PA      | $526121.88    | 0.01%             | 2037-06-25      | Floating      | 4.71%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION         | SINGLE FAMILY ARM            | CUSIP: 3138EJXW3<br>LEI: 254900HROIFWPRGM1V77 | Long             | ABS-MBS          | USGSE             | US        |   1626126 | PA      | $1613709.38   | 0.03%             | 2042-10-01      | Floating      | 3.91%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION         | SINGLE FAMILY ARM            | CUSIP: 3140J7PV1<br>LEI: 254900HROIFWPRGM1V77 | Long             | ABS-MBS          | USGSE             | US        |   2041572 | PA      | $2021410.34   | 0.03%             | 2045-02-01      | Floating      | 3.39%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corporation        | SINGLE FAMILY ARM            | CUSIP: 31342ATN9<br>LEI: 254900HROIFWPRGM1V77 | Long             | ABS-MBS          | USGSE             | US        |     32164 | PA      | $32462.99     | 0.00%             | 2033-06-01      | Floating      | 3.35%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corporation        | SINGLE FAMILY ARM            | CUSIP: 31336CLK7<br>LEI: 254900HROIFWPRGM1V77 | Long             | ABS-MBS          | USGSE             | US        |    146017 | PA      | $148119.64    | 0.00%             | 2033-10-01      | Floating      | 4.34%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corporation        | SINGLE FAMILY ARM            | CUSIP: 3128JPEZ9<br>LEI: 254900HROIFWPRGM1V77 | Long             | ABS-MBS          | USGSE             | US        |     96533 | PA      | $96946.05     | 0.00%             | 2035-07-01      | Floating      | 4.02%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corporation        | SINGLE FAMILY ARM            | CUSIP: 31396HUT4<br>LEI: 254900HROIFWPRGM1V77 | Long             | ABS-MBS          | USGSE             | US        |    279841 | PA      | $277324.30    | 0.00%             | 2036-02-15      | Floating      | 4.62%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corporation        | SINGLE FAMILY ARM            | CUSIP: 31396JYM1<br>LEI: 254900HROIFWPRGM1V77 | Long             | ABS-MBS          | USGSE             | US        |    238334 | PA      | $235742.83    | 0.00%             | 2036-04-15      | Floating      | 4.67%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corporation        | SINGLE FAMILY ARM            | CUSIP: 3137A3CK3<br>LEI: 254900HROIFWPRGM1V77 | Long             | ABS-MBS          | USGSE             | US        |   1914135 | PA      | $1884181.82   | 0.03%             | 2040-11-15      | Floating      | 4.82%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corporation        | SINGLE FAMILY ARM            | CUSIP: 3137AXXG3<br>LEI: 254900HROIFWPRGM1V77 | Long             | ABS-MBS          | USGSE             | US        |   1889914 | PA      | $1830602.09   | 0.03%             | 2043-01-15      | Floating      | 4.67%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corporation        | SINGLE FAMILY ARM            | CUSIP: 3137GAPT8<br>LEI: 254900HROIFWPRGM1V77 | Long             | ABS-MBS          | USGSE             | US        |    715699 | PA      | $700543.16    | 0.01%             | 2040-10-15      | Floating      | 4.82%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corporation        | SINGLE FAMILY ARM            | CUSIP: 3137B3PV4<br>LEI: 254900HROIFWPRGM1V77 | Long             | ABS-MBS          | USGSE             | US        |   1981822 | PA      | $1930879.40   | 0.03%             | 2043-08-15      | Floating      | 4.72%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corporation        | SINGLE FAMILY ARM            | CUSIP: 31398QUV7<br>LEI: 254900HROIFWPRGM1V77 | Long             | ABS-MBS          | USGSE             | US        |   1513593 | PA      | $1493529.26   | 0.02%             | 2040-10-15      | Floating      | 4.80%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corporation        | SINGLE FAMILY ARM            | CUSIP: 3137BBHC7<br>LEI: 254900HROIFWPRGM1V77 | Long             | ABS-MBS          | USGSE             | US        |   2266148 | PA      | $2213075.51   | 0.04%             | 2044-06-15      | Floating      | 4.82%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corporation        | SINGLE FAMILY ARM            | CUSIP: 3137B6NX5<br>LEI: 254900HROIFWPRGM1V77 | Long             | ABS-MBS          | USGSE             | US        |    490879 | PA      | $478873.41    | 0.01%             | 2043-12-15      | Floating      | 4.82%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corporation        | SINGLE FAMILY ARM            | CUSIP: 31397KE23<br>LEI: 254900HROIFWPRGM1V77 | Long             | ABS-MBS          | USGSE             | US        |   1750706 | PA      | $1746556.96   | 0.03%             | 2037-08-15      | Floating      | 4.99%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corporation        | SINGLE FAMILY ARM            | CUSIP: 3137A3L31<br>LEI: 254900HROIFWPRGM1V77 | Long             | ABS-MBS          | USGSE             | US        |   1396095 | PA      | $1362671.20   | 0.02%             | 2040-11-15      | Floating      | 4.87%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corporation        | SINGLE FAMILY ARM            | CUSIP: 31397GWG1<br>LEI: 254900HROIFWPRGM1V77 | Long             | ABS-MBS          | USGSE             | US        |     69070 | PA      | $68547.18     | 0.00%             | 2037-05-15      | Floating      | 4.65%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corporation        | 15 YR SINGLE FAMILY MBS      | CUSIP: 3128PQVN8<br>LEI: 254900HROIFWPRGM1V77 | Long             | ABS-MBS          | USGSE             | US        |      7580 | PA      | $7505.47      | 0.00%             | 2025-01-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corporation        | 15 YR SINGLE FAMILY MBS      | CUSIP: 3128PQU25<br>LEI: 254900HROIFWPRGM1V77 | Long             | ABS-MBS          | USGSE             | US        |      3061 | PA      | $3036.43      | 0.00%             | 2025-01-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corporation        | 15 YR SINGLE FAMILY MBS      | CUSIP: 3128MCKV6<br>LEI: 254900HROIFWPRGM1V77 | Long             | ABS-MBS          | USGSE             | US        |      1687 | PA      | $1672.10      | 0.00%             | 2024-12-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corporation        | 15 YR SINGLE FAMILY MBS      | CUSIP: 3128PQKX8<br>LEI: 254900HROIFWPRGM1V77 | Long             | ABS-MBS          | USGSE             | US        |     63703 | PA      | $62970.16     | 0.00%             | 2024-11-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corporation        | 15 YR SINGLE FAMILY MBS      | CUSIP: 3128MCPK5<br>LEI: 254900HROIFWPRGM1V77 | Long             | ABS-MBS          | USGSE             | US        |     13216 | PA      | $13046.67     | 0.00%             | 2025-05-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corporation        | 15 YR SINGLE FAMILY MBS      | CUSIP: 3128PRBZ1<br>LEI: 254900HROIFWPRGM1V77 | Long             | ABS-MBS          | USGSE             | US        |      6734 | PA      | $6655.81      | 0.00%             | 2025-03-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corporation        | 15 YR SINGLE FAMILY MBS      | CUSIP: 3128PRNS4<br>LEI: 254900HROIFWPRGM1V77 | Long             | ABS-MBS          | USGSE             | US        |       785 | PA      | $774.07       | 0.00%             | 2025-05-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corporation        | 15 YR SINGLE FAMILY MBS      | CUSIP: 31294L6X6<br>LEI: 254900HROIFWPRGM1V77 | Long             | ABS-MBS          | USGSE             | US        |       363 | PA      | $358.86       | 0.00%             | 2025-04-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corporation        | 15 YR SINGLE FAMILY MBS      | CUSIP: 3128MCJ63<br>LEI: 254900HROIFWPRGM1V77 | Long             | ABS-MBS          | USGSE             | US        |       853 | PA      | $844.25       | 0.00%             | 2024-11-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corporation        | 15 YR SINGLE FAMILY MBS      | CUSIP: 3128MCLY9<br>LEI: 254900HROIFWPRGM1V77 | Long             | ABS-MBS          | USGSE             | US        |      6337 | PA      | $6266.87      | 0.00%             | 2025-01-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corporation        | 15 YR SINGLE FAMILY MBS      | CUSIP: 3128MCWR2<br>LEI: 254900HROIFWPRGM1V77 | Long             | ABS-MBS          | USGSE             | US        |     27293 | PA      | $26904.91     | 0.00%             | 2025-08-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corporation        | 15 YR SINGLE FAMILY MBS      | CUSIP: 3128PT3C7<br>LEI: 254900HROIFWPRGM1V77 | Long             | ABS-MBS          | USGSE             | US        |       901 | PA      | $886.38       | 0.00%             | 2026-02-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corporation        | 15 YR SINGLE FAMILY MBS      | CUSIP: 3128PUPG1<br>LEI: 254900HROIFWPRGM1V77 | Long             | ABS-MBS          | USGSE             | US        |      9351 | PA      | $9191.65      | 0.00%             | 2026-04-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corporation        | 15 YR SINGLE FAMILY MBS      | CUSIP: 3128PUR46<br>LEI: 254900HROIFWPRGM1V77 | Long             | ABS-MBS          | USGSE             | US        |      2869 | PA      | $2835.60      | 0.00%             | 2026-04-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corporation        | 15 YR SINGLE FAMILY MBS      | CUSIP: 3128MMNB5<br>LEI: 254900HROIFWPRGM1V77 | Long             | ABS-MBS          | USGSE             | US        |     26073 | PA      | $25641.73     | 0.00%             | 2026-04-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corporation        | 15 YR SINGLE FAMILY MBS      | CUSIP: 3128PUFW7<br>LEI: 254900HROIFWPRGM1V77 | Long             | ABS-MBS          | USGSE             | US        |      8251 | PA      | $8163.53      | 0.00%             | 2026-03-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corporation        | 15 YR SINGLE FAMILY MBS      | CUSIP: 3128PUWW8<br>LEI: 254900HROIFWPRGM1V77 | Long             | ABS-MBS          | USGSE             | US        |      7855 | PA      | $7719.91      | 0.00%             | 2026-04-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corporation        | 15 YR SINGLE FAMILY MBS      | CUSIP: 3128MDNQ2<br>LEI: 254900HROIFWPRGM1V77 | Long             | ABS-MBS          | USGSE             | US        |     31838 | PA      | $31572.08     | 0.00%             | 2026-06-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corporation        | 15 YR SINGLE FAMILY MBS      | CUSIP: 31306XNY5<br>LEI: 254900HROIFWPRGM1V77 | Long             | ABS-MBS          | USGSE             | US        |    113700 | PA      | $109895.85    | 0.00%             | 2027-09-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corporation        | 15 YR SINGLE FAMILY MBS      | CUSIP: 3128PT7B5<br>LEI: 254900HROIFWPRGM1V77 | Long             | ABS-MBS          | USGSE             | US        |      4832 | PA      | $4709.41      | 0.00%             | 2026-02-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corporation        | 15 YR SINGLE FAMILY MBS      | CUSIP: 31306XCR2<br>LEI: 254900HROIFWPRGM1V77 | Long             | ABS-MBS          | USGSE             | US        |     34036 | PA      | $32896.24     | 0.00%             | 2027-08-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corporation        | 15 YR SINGLE FAMILY MBS      | CUSIP: 31306XND1<br>LEI: 254900HROIFWPRGM1V77 | Long             | ABS-MBS          | USGSE             | US        |     51730 | PA      | $50009.16     | 0.00%             | 2027-09-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corporation        | 15 YR SINGLE FAMILY MBS      | CUSIP: 31306XKM4<br>LEI: 254900HROIFWPRGM1V77 | Long             | ABS-MBS          | USGSE             | US        |     91948 | PA      | $88870.47     | 0.00%             | 2027-09-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corporation        | 15 YR SINGLE FAMILY MBS      | CUSIP: 3128PTSP1<br>LEI: 254900HROIFWPRGM1V77 | Long             | ABS-MBS          | USGSE             | US        |   1206857 | PA      | $1176838.78   | 0.02%             | 2026-01-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corporation        | 15 YR SINGLE FAMILY MBS      | CUSIP: 31306YB75<br>LEI: 254900HROIFWPRGM1V77 | Long             | ABS-MBS          | USGSE             | US        |     71561 | PA      | $69141.72     | 0.00%             | 2027-10-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corporation        | 15 YR SINGLE FAMILY MBS      | CUSIP: 3128MMRC9<br>LEI: 254900HROIFWPRGM1V77 | Long             | ABS-MBS          | USGSE             | US        |    348965 | PA      | $336704.77    | 0.01%             | 2028-09-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corporation        | 15 YR SINGLE FAMILY MBS      | CUSIP: 3128MDRN5<br>LEI: 254900HROIFWPRGM1V77 | Long             | ABS-MBS          | USGSE             | US        |      8761 | PA      | $8687.90      | 0.00%             | 2026-06-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corporation        | 15 YR SINGLE FAMILY MBS      | CUSIP: 3128PT4D4<br>LEI: 254900HROIFWPRGM1V77 | Long             | ABS-MBS          | USGSE             | US        |     73951 | PA      | $72727.24     | 0.00%             | 2026-02-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corporation        | 15 YR SINGLE FAMILY MBS      | CUSIP: 3128MDVC4<br>LEI: 254900HROIFWPRGM1V77 | Long             | ABS-MBS          | USGSE             | US        |    455418 | PA      | $446936.86    | 0.01%             | 2026-08-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION         | 15 YR SINGLE FAMILY MBS      | CUSIP: 31418PTH8<br>LEI: 254900HROIFWPRGM1V77 | Long             | ABS-MBS          | USGSE             | US        |    113951 | PA      | $112489.62    | 0.00%             | 2025-03-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION         | 15 YR SINGLE FAMILY MBS      | CUSIP: 31418PKG9<br>LEI: 254900HROIFWPRGM1V77 | Long             | ABS-MBS          | USGSE             | US        |       168 | PA      | $166.80       | 0.00%             | 2025-03-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION         | 15 YR SINGLE FAMILY MBS      | CUSIP: 31418NQS2<br>LEI: 254900HROIFWPRGM1V77 | Long             | ABS-MBS          | USGSE             | US        |      6587 | PA      | $6494.92      | 0.00%             | 2025-02-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION         | 15 YR SINGLE FAMILY MBS      | CUSIP: 31418QT78<br>LEI: 254900HROIFWPRGM1V77 | Long             | ABS-MBS          | USGSE             | US        |      3152 | PA      | $3111.54      | 0.00%             | 2025-02-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION         | 15 YR SINGLE FAMILY MBS      | CUSIP: 31417UXT7<br>LEI: 254900HROIFWPRGM1V77 | Long             | ABS-MBS          | USGSE             | US        |     12234 | PA      | $12073.40     | 0.00%             | 2025-03-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION         | 15 YR SINGLE FAMILY MBS      | CUSIP: 31417MTG8<br>LEI: 254900HROIFWPRGM1V77 | Long             | ABS-MBS          | USGSE             | US        |      6697 | PA      | $6622.60      | 0.00%             | 2024-09-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION         | 15 YR SINGLE FAMILY MBS      | CUSIP: 31417UXN0<br>LEI: 254900HROIFWPRGM1V77 | Long             | ABS-MBS          | USGSE             | US        |      4311 | PA      | $4255.45      | 0.00%             | 2025-02-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION         | 15 YR SINGLE FAMILY MBS      | CUSIP: 31418PXW0<br>LEI: 254900HROIFWPRGM1V77 | Long             | ABS-MBS          | USGSE             | US        |       255 | PA      | $252.55       | 0.00%             | 2025-02-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION         | 15 YR SINGLE FAMILY MBS      | CUSIP: 31416QVA0<br>LEI: 254900HROIFWPRGM1V77 | Long             | ABS-MBS          | USGSE             | US        |       441 | PA      | $437.33       | 0.00%             | 2024-07-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION         | 15 YR SINGLE FAMILY MBS      | CUSIP: 31418P3N3<br>LEI: 254900HROIFWPRGM1V77 | Long             | ABS-MBS          | USGSE             | US        |      4537 | PA      | $4480.88      | 0.00%             | 2025-02-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION         | 15 YR SINGLE FAMILY MBS      | CUSIP: 31418PFJ9<br>LEI: 254900HROIFWPRGM1V77 | Long             | ABS-MBS          | USGSE             | US        |    191118 | PA      | $188790.14    | 0.00%             | 2025-02-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION         | 15 YR SINGLE FAMILY MBS      | CUSIP: 31417NJZ5<br>LEI: 254900HROIFWPRGM1V77 | Long             | ABS-MBS          | USGSE             | US        |    170473 | PA      | $169082.11    | 0.00%             | 2024-12-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION         | 15 YR SINGLE FAMILY MBS      | CUSIP: 31418RW64<br>LEI: 254900HROIFWPRGM1V77 | Long             | ABS-MBS          | USGSE             | US        |    209107 | PA      | $207204.26    | 0.00%             | 2025-03-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION         | 15 YR SINGLE FAMILY MBS      | CUSIP: 31417TNQ7<br>LEI: 254900HROIFWPRGM1V77 | Long             | ABS-MBS          | USGSE             | US        |    129601 | PA      | $128484.48    | 0.00%             | 2025-01-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION         | 15 YR SINGLE FAMILY MBS      | CUSIP: 31417SAP5<br>LEI: 254900HROIFWPRGM1V77 | Long             | ABS-MBS          | USGSE             | US        |      2210 | PA      | $2197.62      | 0.00%             | 2024-10-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION         | 15 YR SINGLE FAMILY MBS      | CUSIP: 31418TLB1<br>LEI: 254900HROIFWPRGM1V77 | Long             | ABS-MBS          | USGSE             | US        |     91239 | PA      | $90429.73     | 0.00%             | 2025-05-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION         | 15 YR SINGLE FAMILY MBS      | CUSIP: 31418PLN3<br>LEI: 254900HROIFWPRGM1V77 | Long             | ABS-MBS          | USGSE             | US        |      1171 | PA      | $1161.05      | 0.00%             | 2025-04-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION         | 15 YR SINGLE FAMILY MBS      | CUSIP: 31417YPE1<br>LEI: 254900HROIFWPRGM1V77 | Long             | ABS-MBS          | USGSE             | US        |     42068 | PA      | $41713.26     | 0.00%             | 2025-05-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION         | 15 YR SINGLE FAMILY MBS      | CUSIP: 31412UBX7<br>LEI: 254900HROIFWPRGM1V77 | Long             | ABS-MBS          | USGSE             | US        |     29253 | PA      | $29054.41     | 0.00%             | 2024-05-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION         | 15 YR SINGLE FAMILY MBS      | CUSIP: 3138AR5T7<br>LEI: 254900HROIFWPRGM1V77 | Long             | ABS-MBS          | USGSE             | US        |     61482 | PA      | $59429.01     | 0.00%             | 2026-10-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION         | 15 YR SINGLE FAMILY MBS      | CUSIP: 31416PW78<br>LEI: 254900HROIFWPRGM1V77 | Long             | ABS-MBS          | USGSE             | US        |     11006 | PA      | $10891.47     | 0.00%             | 2024-05-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION         | 15 YR SINGLE FAMILY MBS      | CUSIP: 31418T2H9<br>LEI: 254900HROIFWPRGM1V77 | Long             | ABS-MBS          | USGSE             | US        |      4337 | PA      | $4260.05      | 0.00%             | 2025-09-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION         | 15 YR SINGLE FAMILY MBS      | CUSIP: 3138AAGA3<br>LEI: 254900HROIFWPRGM1V77 | Long             | ABS-MBS          | USGSE             | US        |      2161 | PA      | $2115.98      | 0.00%             | 2026-04-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION         | 15 YR SINGLE FAMILY MBS      | CUSIP: 3140EY4P3<br>LEI: 254900HROIFWPRGM1V77 | Long             | ABS-MBS          | USGSE             | US        |   3323745 | PA      | $3113695.73   | 0.05%             | 2031-04-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corporation        | 30 YR SINGLE FAMILY MBS      | CUSIP: 31356HSN8<br>LEI: 254900HROIFWPRGM1V77 | Long             | ABS-MBS          | USGSE             | US        |      9177 | PA      | $9324.05      | 0.00%             | 2024-07-01      | Fixed         | 8.50%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corporation        | 30 YR SINGLE FAMILY MBS      | CUSIP: 31292GUZ7<br>LEI: 254900HROIFWPRGM1V77 | Long             | ABS-MBS          | USGSE             | US        |       589 | PA      | $608.85       | 0.00%             | 2028-04-01      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corporation        | 30 YR SINGLE FAMILY MBS      | CUSIP: 31292GU20<br>LEI: 254900HROIFWPRGM1V77 | Long             | ABS-MBS          | USGSE             | US        |       284 | PA      | $290.79       | 0.00%             | 2028-04-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corporation        | 30 YR SINGLE FAMILY MBS      | CUSIP: 31292G7H3<br>LEI: 254900HROIFWPRGM1V77 | Long             | ABS-MBS          | USGSE             | US        |      9781 | PA      | $10447.27     | 0.00%             | 2029-12-01      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corporation        | 30 YR SINGLE FAMILY MBS      | CUSIP: 31292G6K7<br>LEI: 254900HROIFWPRGM1V77 | Long             | ABS-MBS          | USGSE             | US        |      1644 | PA      | $1717.45      | 0.00%             | 2029-10-01      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corporation        | 30 YR SINGLE FAMILY MBS      | CUSIP: 31292HAV6<br>LEI: 254900HROIFWPRGM1V77 | Long             | ABS-MBS          | USGSE             | US        |       457 | PA      | $478.24       | 0.00%             | 2030-02-01      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corporation        | 30 YR SINGLE FAMILY MBS      | CUSIP: 31292HAK0<br>LEI: 254900HROIFWPRGM1V77 | Long             | ABS-MBS          | USGSE             | US        |      2292 | PA      | $2451.27      | 0.00%             | 2030-01-01      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corporation        | 30 YR SINGLE FAMILY MBS      | CUSIP: 31292HA95<br>LEI: 254900HROIFWPRGM1V77 | Long             | ABS-MBS          | USGSE             | US        |     10676 | PA      | $11718.44     | 0.00%             | 2030-03-01      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corporation        | 30 YR SINGLE FAMILY MBS      | CUSIP: 31293PG41<br>LEI: 254900HROIFWPRGM1V77 | Long             | ABS-MBS          | USGSE             | US        |      3891 | PA      | $4102.65      | 0.00%             | 2029-04-01      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corporation        | 30 YR SINGLE FAMILY MBS      | CUSIP: 31292HAA2<br>LEI: 254900HROIFWPRGM1V77 | Long             | ABS-MBS          | USGSE             | US        |       274 | PA      | $291.28       | 0.00%             | 2029-12-01      | Fixed         | 8.00%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corporation        | 30 YR SINGLE FAMILY MBS      | CUSIP: 31293T4W4<br>LEI: 254900HROIFWPRGM1V77 | Long             | ABS-MBS          | USGSE             | US        |      3936 | PA      | $4123.52      | 0.00%             | 2029-08-01      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corporation        | 30 YR SINGLE FAMILY MBS      | CUSIP: 31292HFU3<br>LEI: 254900HROIFWPRGM1V77 | Long             | ABS-MBS          | USGSE             | US        |       403 | PA      | $426.86       | 0.00%             | 2030-10-01      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corporation        | 30 YR SINGLE FAMILY MBS      | CUSIP: 31292HH56<br>LEI: 254900HROIFWPRGM1V77 | Long             | ABS-MBS          | USGSE             | US        |       440 | PA      | $466.16       | 0.00%             | 2031-03-01      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corporation        | 30 YR SINGLE FAMILY MBS      | CUSIP: 31292HJJ4<br>LEI: 254900HROIFWPRGM1V77 | Long             | ABS-MBS          | USGSE             | US        |       162 | PA      | $169.38       | 0.00%             | 2031-04-01      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corporation        | 30 YR SINGLE FAMILY MBS      | CUSIP: 31298PZK9<br>LEI: 254900HROIFWPRGM1V77 | Long             | ABS-MBS          | USGSE             | US        |      6344 | PA      | $6575.89      | 0.00%             | 2031-06-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corporation        | 30 YR SINGLE FAMILY MBS      | CUSIP: 31292HVU5<br>LEI: 254900HROIFWPRGM1V77 | Long             | ABS-MBS          | USGSE             | US        |        55 | PA      | $15.55        | 0.00%             | 2033-04-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corporation        | 30 YR SINGLE FAMILY MBS      | CUSIP: 31287VXK1<br>LEI: 254900HROIFWPRGM1V77 | Long             | ABS-MBS          | USGSE             | US        |      5004 | PA      | $5227.48      | 0.00%             | 2032-08-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corporation        | 30 YR SINGLE FAMILY MBS      | CUSIP: 31283HSW6<br>LEI: 254900HROIFWPRGM1V77 | Long             | ABS-MBS          | USGSE             | US        |      4973 | PA      | $5176.30      | 0.00%             | 2032-07-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corporation        | 30 YR SINGLE FAMILY MBS      | CUSIP: 31296SUF1<br>LEI: 254900HROIFWPRGM1V77 | Long             | ABS-MBS          | USGSE             | US        |    118454 | PA      | $122292.39    | 0.00%             | 2033-12-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corporation        | 30 YR SINGLE FAMILY MBS      | CUSIP: 31292H4K7<br>LEI: 254900HROIFWPRGM1V77 | Long             | ABS-MBS          | USGSE             | US        |    216750 | PA      | $223107.43    | 0.00%             | 2033-12-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corporation        | 30 YR SINGLE FAMILY MBS      | CUSIP: 31297B6N7<br>LEI: 254900HROIFWPRGM1V77 | Long             | ABS-MBS          | USGSE             | US        |      2140 | PA      | $2208.15      | 0.00%             | 2034-07-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corporation        | 30 YR SINGLE FAMILY MBS      | CUSIP: 31297DTE8<br>LEI: 254900HROIFWPRGM1V77 | Long             | ABS-MBS          | USGSE             | US        |    381121 | PA      | $393956.89    | 0.01%             | 2034-08-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corporation        | 30 YR SINGLE FAMILY MBS      | CUSIP: 31297DTB4<br>LEI: 254900HROIFWPRGM1V77 | Long             | ABS-MBS          | USGSE             | US        |    138803 | PA      | $143529.92    | 0.00%             | 2034-08-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corporation        | 30 YR SINGLE FAMILY MBS      | CUSIP: 31297CZM5<br>LEI: 254900HROIFWPRGM1V77 | Long             | ABS-MBS          | USGSE             | US        |     55053 | PA      | $55688.08     | 0.00%             | 2034-08-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corporation        | 30 YR SINGLE FAMILY MBS      | CUSIP: 31297DJN9<br>LEI: 254900HROIFWPRGM1V77 | Long             | ABS-MBS          | USGSE             | US        |     49155 | PA      | $50814.22     | 0.00%             | 2034-08-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corporation        | 30 YR SINGLE FAMILY MBS      | CUSIP: 31297DAH1<br>LEI: 254900HROIFWPRGM1V77 | Long             | ABS-MBS          | USGSE             | US        |     17955 | PA      | $18557.11     | 0.00%             | 2034-08-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corporation        | 30 YR SINGLE FAMILY MBS      | CUSIP: 31297F5C3<br>LEI: 254900HROIFWPRGM1V77 | Long             | ABS-MBS          | USGSE             | US        |     73308 | PA      | $73967.56     | 0.00%             | 2034-10-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corporation        | 30 YR SINGLE FAMILY MBS      | CUSIP: 31297F5W9<br>LEI: 254900HROIFWPRGM1V77 | Long             | ABS-MBS          | USGSE             | US        |     43362 | PA      | $44853.89     | 0.00%             | 2034-10-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corporation        | 30 YR SINGLE FAMILY MBS      | CUSIP: 31297GDF5<br>LEI: 254900HROIFWPRGM1V77 | Long             | ABS-MBS          | USGSE             | US        |     30445 | PA      | $31495.04     | 0.00%             | 2034-11-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corporation        | 30 YR SINGLE FAMILY MBS      | CUSIP: 31297HLJ6<br>LEI: 254900HROIFWPRGM1V77 | Long             | ABS-MBS          | USGSE             | US        |    119460 | PA      | $122187.81    | 0.00%             | 2035-01-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corporation        | 30 YR SINGLE FAMILY MBS      | CUSIP: 31297HY86<br>LEI: 254900HROIFWPRGM1V77 | Long             | ABS-MBS          | USGSE             | US        |    249782 | PA      | $256853.38    | 0.00%             | 2035-01-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corporation        | 30 YR SINGLE FAMILY MBS      | CUSIP: 31297HR68<br>LEI: 254900HROIFWPRGM1V77 | Long             | ABS-MBS          | USGSE             | US        |    311926 | PA      | $319376.95    | 0.01%             | 2035-01-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corporation        | 30 YR SINGLE FAMILY MBS      | CUSIP: 31297HR50<br>LEI: 254900HROIFWPRGM1V77 | Long             | ABS-MBS          | USGSE             | US        |    126239 | PA      | $129131.99    | 0.00%             | 2035-01-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corporation        | 30 YR SINGLE FAMILY MBS      | CUSIP: 31297HAE9<br>LEI: 254900HROIFWPRGM1V77 | Long             | ABS-MBS          | USGSE             | US        |    183286 | PA      | $188056.79    | 0.00%             | 2034-12-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corporation        | 30 YR SINGLE FAMILY MBS      | CUSIP: 31297LBQ2<br>LEI: 254900HROIFWPRGM1V77 | Long             | ABS-MBS          | USGSE             | US        |    173545 | PA      | $176172.54    | 0.00%             | 2035-01-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corporation        | 30 YR SINGLE FAMILY MBS      | CUSIP: 31297MR42<br>LEI: 254900HROIFWPRGM1V77 | Long             | ABS-MBS          | USGSE             | US        |    157867 | PA      | $163608.77    | 0.00%             | 2035-04-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corporation        | 30 YR SINGLE FAMILY MBS      | CUSIP: 31297MR34<br>LEI: 254900HROIFWPRGM1V77 | Long             | ABS-MBS          | USGSE             | US        |     54009 | PA      | $54757.25     | 0.00%             | 2035-04-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corporation        | 30 YR SINGLE FAMILY MBS      | CUSIP: 31297NB39<br>LEI: 254900HROIFWPRGM1V77 | Long             | ABS-MBS          | USGSE             | US        |    267360 | PA      | $276809.02    | 0.00%             | 2035-05-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corporation        | 30 YR SINGLE FAMILY MBS      | CUSIP: 31297QRZ4<br>LEI: 254900HROIFWPRGM1V77 | Long             | ABS-MBS          | USGSE             | US        |    209638 | PA      | $216948.96    | 0.00%             | 2035-05-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corporation        | 30 YR SINGLE FAMILY MBS      | CUSIP: 3128K66R6<br>LEI: 254900HROIFWPRGM1V77 | Long             | ABS-MBS          | USGSE             | US        |     66704 | PA      | $67242.11     | 0.00%             | 2035-07-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corporation        | 30 YR SINGLE FAMILY MBS      | CUSIP: 3128K7RU4<br>LEI: 254900HROIFWPRGM1V77 | Long             | ABS-MBS          | USGSE             | US        |     79013 | PA      | $81936.87     | 0.00%             | 2035-09-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corporation        | 30 YR SINGLE FAMILY MBS      | CUSIP: 31297V5R5<br>LEI: 254900HROIFWPRGM1V77 | Long             | ABS-MBS          | USGSE             | US        |    123987 | PA      | $131211.85    | 0.00%             | 2035-11-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corporation        | 30 YR SINGLE FAMILY MBS      | CUSIP: 31297VLY2<br>LEI: 254900HROIFWPRGM1V77 | Long             | ABS-MBS          | USGSE             | US        |     43407 | PA      | $45493.86     | 0.00%             | 2035-11-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corporation        | 30 YR SINGLE FAMILY MBS      | CUSIP: 3128K7HL5<br>LEI: 254900HROIFWPRGM1V77 | Long             | ABS-MBS          | USGSE             | US        |     25897 | PA      | $26578.78     | 0.00%             | 2035-08-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corporation        | 30 YR SINGLE FAMILY MBS      | CUSIP: 3128KAYT2<br>LEI: 254900HROIFWPRGM1V77 | Long             | ABS-MBS          | USGSE             | US        |      3419 | PA      | $3588.87      | 0.00%             | 2036-06-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corporation        | 30 YR SINGLE FAMILY MBS      | CUSIP: 3128KGD70<br>LEI: 254900HROIFWPRGM1V77 | Long             | ABS-MBS          | USGSE             | US        |    236536 | PA      | $246723.05    | 0.00%             | 2036-11-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corporation        | 30 YR SINGLE FAMILY MBS      | CUSIP: 3128KHSS6<br>LEI: 254900HROIFWPRGM1V77 | Long             | ABS-MBS          | USGSE             | US        |    138546 | PA      | $144205.73    | 0.00%             | 2036-12-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corporation        | 30 YR SINGLE FAMILY MBS      | CUSIP: 3128KCG43<br>LEI: 254900HROIFWPRGM1V77 | Long             | ABS-MBS          | USGSE             | US        |     51084 | PA      | $52305.84     | 0.00%             | 2036-07-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corporation        | 30 YR SINGLE FAMILY MBS      | CUSIP: 3128LXS76<br>LEI: 254900HROIFWPRGM1V77 | Long             | ABS-MBS          | USGSE             | US        |    206632 | PA      | $211513.77    | 0.00%             | 2036-10-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corporation        | 30 YR SINGLE FAMILY MBS      | CUSIP: 3128LXRR3<br>LEI: 254900HROIFWPRGM1V77 | Long             | ABS-MBS          | USGSE             | US        |     41031 | PA      | $41958.05     | 0.00%             | 2036-06-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corporation        | 30 YR SINGLE FAMILY MBS      | CUSIP: 3128KL4H7<br>LEI: 254900HROIFWPRGM1V77 | Long             | ABS-MBS          | USGSE             | US        |     23936 | PA      | $24859.57     | 0.00%             | 2037-03-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corporation        | 30 YR SINGLE FAMILY MBS      | CUSIP: 3128KLRU3<br>LEI: 254900HROIFWPRGM1V77 | Long             | ABS-MBS          | USGSE             | US        |    120551 | PA      | $125593.15    | 0.00%             | 2037-02-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corporation        | 30 YR SINGLE FAMILY MBS      | CUSIP: 3128M4FX6<br>LEI: 254900HROIFWPRGM1V77 | Long             | ABS-MBS          | USGSE             | US        |     39293 | PA      | $40934.81     | 0.00%             | 2037-02-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corporation        | 30 YR SINGLE FAMILY MBS      | CUSIP: 3128KR6X7<br>LEI: 254900HROIFWPRGM1V77 | Long             | ABS-MBS          | USGSE             | US        |     39920 | PA      | $41341.17     | 0.00%             | 2037-06-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corporation        | 30 YR SINGLE FAMILY MBS      | CUSIP: 3128KSER9<br>LEI: 254900HROIFWPRGM1V77 | Long             | ABS-MBS          | USGSE             | US        |    233496 | PA      | $241880.67    | 0.00%             | 2037-06-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corporation        | 30 YR SINGLE FAMILY MBS      | CUSIP: 3128KR7M0<br>LEI: 254900HROIFWPRGM1V77 | Long             | ABS-MBS          | USGSE             | US        |     82398 | PA      | $85384.09     | 0.00%             | 2037-06-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corporation        | 30 YR SINGLE FAMILY MBS      | CUSIP: 3128KTKF6<br>LEI: 254900HROIFWPRGM1V77 | Long             | ABS-MBS          | USGSE             | US        |     29805 | PA      | $30788.07     | 0.00%             | 2037-07-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corporation        | 30 YR SINGLE FAMILY MBS      | CUSIP: 3128L04M1<br>LEI: 254900HROIFWPRGM1V77 | Long             | ABS-MBS          | USGSE             | US        |    100649 | PA      | $107142.93    | 0.00%             | 2037-11-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corporation        | 30 YR SINGLE FAMILY MBS      | CUSIP: 3128M5NV8<br>LEI: 254900HROIFWPRGM1V77 | Long             | ABS-MBS          | USGSE             | US        |     86019 | PA      | $89239.34     | 0.00%             | 2037-12-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corporation        | 30 YR SINGLE FAMILY MBS      | CUSIP: 3128M5BA7<br>LEI: 254900HROIFWPRGM1V77 | Long             | ABS-MBS          | USGSE             | US        |    234303 | PA      | $243548.36    | 0.00%             | 2037-09-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corporation        | 30 YR SINGLE FAMILY MBS      | CUSIP: 3128M5DW7<br>LEI: 254900HROIFWPRGM1V77 | Long             | ABS-MBS          | USGSE             | US        |      5788 | PA      | $6046.49      | 0.00%             | 2037-10-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corporation        | 30 YR SINGLE FAMILY MBS      | CUSIP: 3128LDNF7<br>LEI: 254900HROIFWPRGM1V77 | Long             | ABS-MBS          | USGSE             | US        |    121158 | PA      | $127242.93    | 0.00%             | 2038-07-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corporation        | 30 YR SINGLE FAMILY MBS      | CUSIP: 3128LCQ25<br>LEI: 254900HROIFWPRGM1V77 | Long             | ABS-MBS          | USGSE             | US        |     13805 | PA      | $14019.34     | 0.00%             | 2038-06-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corporation        | 30 YR SINGLE FAMILY MBS      | CUSIP: 3128MJLD0<br>LEI: 254900HROIFWPRGM1V77 | Long             | ABS-MBS          | USGSE             | US        |    243317 | PA      | $245128.85    | 0.00%             | 2039-02-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corporation        | 30 YR SINGLE FAMILY MBS      | CUSIP: 312932H41<br>LEI: 254900HROIFWPRGM1V77 | Long             | ABS-MBS          | USGSE             | US        |    101220 | PA      | $98012.38     | 0.00%             | 2039-04-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corporation        | 30 YR SINGLE FAMILY MBS      | CUSIP: 3128KXPZ8<br>LEI: 254900HROIFWPRGM1V77 | Long             | ABS-MBS          | USGSE             | US        |      3061 | PA      | $3185.74      | 0.00%             | 2037-10-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corporation        | 30 YR SINGLE FAMILY MBS      | CUSIP: 312938FB4<br>LEI: 254900HROIFWPRGM1V77 | Long             | ABS-MBS          | USGSE             | US        |      6623 | PA      | $6563.65      | 0.00%             | 2039-12-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corporation        | 30 YR SINGLE FAMILY MBS      | CUSIP: 312938CG6<br>LEI: 254900HROIFWPRGM1V77 | Long             | ABS-MBS          | USGSE             | US        |    235358 | PA      | $233143.29    | 0.00%             | 2039-12-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corporation        | 30 YR SINGLE FAMILY MBS      | CUSIP: 312941SC2<br>LEI: 254900HROIFWPRGM1V77 | Long             | ABS-MBS          | USGSE             | US        |    597105 | PA      | $599430.18    | 0.01%             | 2040-08-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corporation        | 30 YR SINGLE FAMILY MBS      | CUSIP: 312941WB9<br>LEI: 254900HROIFWPRGM1V77 | Long             | ABS-MBS          | USGSE             | US        |    213603 | PA      | $205277.64    | 0.00%             | 2040-08-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corporation        | 30 YR SINGLE FAMILY MBS      | CUSIP: 312942AD7<br>LEI: 254900HROIFWPRGM1V77 | Long             | ABS-MBS          | USGSE             | US        |     73512 | PA      | $70544.09     | 0.00%             | 2040-09-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corporation        | 30 YR SINGLE FAMILY MBS      | CUSIP: 312942KX2<br>LEI: 254900HROIFWPRGM1V77 | Long             | ABS-MBS          | USGSE             | US        |    766746 | PA      | $752544.59    | 0.01%             | 2040-09-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corporation        | 30 YR SINGLE FAMILY MBS      | CUSIP: 312946EH5<br>LEI: 254900HROIFWPRGM1V77 | Long             | ABS-MBS          | USGSE             | US        |     98689 | PA      | $97190.70     | 0.00%             | 2041-03-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corporation        | 30 YR SINGLE FAMILY MBS      | CUSIP: 3128MJQX1<br>LEI: 254900HROIFWPRGM1V77 | Long             | ABS-MBS          | USGSE             | US        |   1476166 | PA      | $1376774.82   | 0.02%             | 2041-12-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corporation        | 30 YR SINGLE FAMILY MBS      | CUSIP: 3129447K1<br>LEI: 254900HROIFWPRGM1V77 | Long             | ABS-MBS          | USGSE             | US        |     13848 | PA      | $13175.15     | 0.00%             | 2041-01-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corporation        | 30 YR SINGLE FAMILY MBS      | CUSIP: 3128MJQ78<br>LEI: 254900HROIFWPRGM1V77 | Long             | ABS-MBS          | USGSE             | US        |   1868264 | PA      | $1734739.50   | 0.03%             | 2042-02-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corporation        | 30 YR SINGLE FAMILY MBS      | CUSIP: 3132GKF43<br>LEI: 254900HROIFWPRGM1V77 | Long             | ABS-MBS          | USGSE             | US        |    927086 | PA      | $861209.49    | 0.01%             | 2041-10-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corporation        | 30 YR SINGLE FAMILY MBS      | CUSIP: 3132HLM34<br>LEI: 254900HROIFWPRGM1V77 | Long             | ABS-MBS          | USGSE             | US        |   2360527 | PA      | $2118516.86   | 0.04%             | 2042-08-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corporation        | 30 YR SINGLE FAMILY MBS      | CUSIP: 31292SAN0<br>LEI: 254900HROIFWPRGM1V77 | Long             | ABS-MBS          | USGSE             | US        |   3667353 | PA      | $3295012.44   | 0.05%             | 2042-09-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corporation        | 30 YR SINGLE FAMILY MBS      | CUSIP: 3132HNTY5<br>LEI: 254900HROIFWPRGM1V77 | Long             | ABS-MBS          | USGSE             | US        |    278626 | PA      | $248933.77    | 0.00%             | 2042-11-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corporation        | 30 YR SINGLE FAMILY MBS      | CUSIP: 3132HQBE1<br>LEI: 254900HROIFWPRGM1V77 | Long             | ABS-MBS          | USGSE             | US        |   2096984 | PA      | $1856035.65   | 0.03%             | 2042-11-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corporation        | 30 YR SINGLE FAMILY MBS      | CUSIP: 31292SAX8<br>LEI: 254900HROIFWPRGM1V77 | Long             | ABS-MBS          | USGSE             | US        |   3244982 | PA      | $2880897.97   | 0.05%             | 2043-01-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corporation        | 30 YR SINGLE FAMILY MBS      | CUSIP: 3132HP4F8<br>LEI: 254900HROIFWPRGM1V77 | Long             | ABS-MBS          | USGSE             | US        |   1650224 | PA      | $1458813.87   | 0.02%             | 2042-12-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corporation        | 30 YR SINGLE FAMILY MBS      | CUSIP: 3132HRH45<br>LEI: 254900HROIFWPRGM1V77 | Long             | ABS-MBS          | USGSE             | US        |   3052951 | PA      | $2720455.84   | 0.05%             | 2043-01-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corporation        | 30 YR SINGLE FAMILY MBS      | CUSIP: 3132HPN42<br>LEI: 254900HROIFWPRGM1V77 | Long             | ABS-MBS          | USGSE             | US        |   1982771 | PA      | $1798279.63   | 0.03%             | 2042-11-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corporation        | 30 YR SINGLE FAMILY MBS      | CUSIP: 3132GRKD2<br>LEI: 254900HROIFWPRGM1V77 | Long             | ABS-MBS          | USGSE             | US        |   3041532 | PA      | $2782715.96   | 0.05%             | 2042-02-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corporation        | 30 YR SINGLE FAMILY MBS      | CUSIP: 3132GRKB6<br>LEI: 254900HROIFWPRGM1V77 | Long             | ABS-MBS          | USGSE             | US        |   2514464 | PA      | $2287496.95   | 0.04%             | 2042-02-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corporation        | 30 YR SINGLE FAMILY MBS      | CUSIP: 3132GTYK7<br>LEI: 254900HROIFWPRGM1V77 | Long             | ABS-MBS          | USGSE             | US        |   1843352 | PA      | $1686553.84   | 0.03%             | 2042-05-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corporation        | 30 YR SINGLE FAMILY MBS      | CUSIP: 312934SC7<br>LEI: 254900HROIFWPRGM1V77 | Long             | ABS-MBS          | USGSE             | US        |   1117533 | PA      | $1074724.53   | 0.02%             | 2039-08-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corporation        | 30 YR SINGLE FAMILY MBS      | CUSIP: 3132GEZY9<br>LEI: 254900HROIFWPRGM1V77 | Long             | ABS-MBS          | USGSE             | US        |    418013 | PA      | $401401.81    | 0.01%             | 2041-07-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corporation        | 30 YR SINGLE FAMILY MBS      | CUSIP: 3132GRTL5<br>LEI: 254900HROIFWPRGM1V77 | Long             | ABS-MBS          | USGSE             | US        |    278846 | PA      | $268336.16    | 0.00%             | 2042-02-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corporation        | 30 YR SINGLE FAMILY MBS      | CUSIP: 3128M7CL8<br>LEI: 254900HROIFWPRGM1V77 | Long             | ABS-MBS          | USGSE             | US        |    288028 | PA      | $276877.00    | 0.00%             | 2039-02-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corporation        | 30 YR SINGLE FAMILY MBS      | CUSIP: 3128M6T73<br>LEI: 254900HROIFWPRGM1V77 | Long             | ABS-MBS          | USGSE             | US        |    215492 | PA      | $207209.07    | 0.00%             | 2038-01-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corporation        | 30 YR SINGLE FAMILY MBS      | CUSIP: 312942U78<br>LEI: 254900HROIFWPRGM1V77 | Long             | ABS-MBS          | USGSE             | US        |    863782 | PA      | $824734.83    | 0.01%             | 2040-10-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corporation        | 30 YR SINGLE FAMILY MBS      | CUSIP: 312936FJ1<br>LEI: 254900HROIFWPRGM1V77 | Long             | ABS-MBS          | USGSE             | US        |   1370877 | PA      | $1310327.69   | 0.02%             | 2039-10-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corporation        | 30 YR SINGLE FAMILY MBS      | CUSIP: 312933RC0<br>LEI: 254900HROIFWPRGM1V77 | Long             | ABS-MBS          | USGSE             | US        |    873949 | PA      | $835762.33    | 0.01%             | 2039-06-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corporation        | 30 YR SINGLE FAMILY MBS      | CUSIP: 3132L5TQ6<br>LEI: 254900HROIFWPRGM1V77 | Long             | ABS-MBS          | USGSE             | US        |    340041 | PA      | $324504.34    | 0.01%             | 2040-01-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corporation        | 30 YR SINGLE FAMILY MBS      | CUSIP: 3132GFVU8<br>LEI: 254900HROIFWPRGM1V77 | Long             | ABS-MBS          | USGSE             | US        |    209732 | PA      | $200101.77    | 0.00%             | 2041-08-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corporation        | 30 YR SINGLE FAMILY MBS      | CUSIP: 312944Q95<br>LEI: 254900HROIFWPRGM1V77 | Long             | ABS-MBS          | USGSE             | US        |    172851 | PA      | $165045.66    | 0.00%             | 2040-12-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corporation        | 30 YR SINGLE FAMILY MBS      | CUSIP: 3132GDJ60<br>LEI: 254900HROIFWPRGM1V77 | Long             | ABS-MBS          | USGSE             | US        |    505156 | PA      | $482183.58    | 0.01%             | 2041-04-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corporation        | 30 YR SINGLE FAMILY MBS      | CUSIP: 3128MJUC2<br>LEI: 254900HROIFWPRGM1V77 | Long             | ABS-MBS          | USGSE             | US        |   1610105 | PA      | $1528721.67   | 0.03%             | 2044-03-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corporation        | 30 YR SINGLE FAMILY MBS      | CUSIP: 312938GE7<br>LEI: 254900HROIFWPRGM1V77 | Long             | ABS-MBS          | USGSE             | US        |    436295 | PA      | $417017.96    | 0.01%             | 2039-12-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corporation        | 30 YR SINGLE FAMILY MBS      | CUSIP: 312945RT7<br>LEI: 254900HROIFWPRGM1V77 | Long             | ABS-MBS          | USGSE             | US        |    157920 | PA      | $150733.01    | 0.00%             | 2041-02-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corporation        | 30 YR SINGLE FAMILY MBS      | CUSIP: 3132M3DF1<br>LEI: 254900HROIFWPRGM1V77 | Long             | ABS-MBS          | USGSE             | US        |    663251 | PA      | $631087.74    | 0.01%             | 2043-11-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corporation        | 30 YR SINGLE FAMILY MBS      | CUSIP: 3128MJTN0<br>LEI: 254900HROIFWPRGM1V77 | Long             | ABS-MBS          | USGSE             | US        |   1522072 | PA      | $1404338.50   | 0.02%             | 2043-11-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corporation        | 30 YR SINGLE FAMILY MBS      | CUSIP: 31292SCB4<br>LEI: 254900HROIFWPRGM1V77 | Long             | ABS-MBS          | USGSE             | US        |    930346 | PA      | $860843.71    | 0.01%             | 2044-10-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corporation        | 30 YR SINGLE FAMILY MBS      | CUSIP: 3132M9PA6<br>LEI: 254900HROIFWPRGM1V77 | Long             | ABS-MBS          | USGSE             | US        |    757104 | PA      | $700535.39    | 0.01%             | 2044-10-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corporation        | 30 YR SINGLE FAMILY MBS      | CUSIP: 3132M9Y73<br>LEI: 254900HROIFWPRGM1V77 | Long             | ABS-MBS          | USGSE             | US        |    554875 | PA      | $513428.93    | 0.01%             | 2044-10-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corporation        | 30 YR SINGLE FAMILY MBS      | CUSIP: 3132MAAK7<br>LEI: 254900HROIFWPRGM1V77 | Long             | ABS-MBS          | USGSE             | US        |    103890 | PA      | $96114.34     | 0.00%             | 2044-10-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corporation        | 30 YR SINGLE FAMILY MBS      | CUSIP: 3128MJVS6<br>LEI: 254900HROIFWPRGM1V77 | Long             | ABS-MBS          | USGSE             | US        |   2164530 | PA      | $2008748.45   | 0.03%             | 2045-01-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corporation        | 30 YR SINGLE FAMILY MBS      | CUSIP: 3132QLTA1<br>LEI: 254900HROIFWPRGM1V77 | Long             | ABS-MBS          | USGSE             | US        |    332564 | PA      | $307511.27    | 0.01%             | 2045-01-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corporation        | 30 YR SINGLE FAMILY MBS      | CUSIP: 3132QLSJ3<br>LEI: 254900HROIFWPRGM1V77 | Long             | ABS-MBS          | USGSE             | US        |    450812 | PA      | $416794.02    | 0.01%             | 2044-12-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corporation        | 30 YR SINGLE FAMILY MBS      | CUSIP: 3128MJVW7<br>LEI: 254900HROIFWPRGM1V77 | Long             | ABS-MBS          | USGSE             | US        |    485144 | PA      | $448007.43    | 0.01%             | 2045-02-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corporation        | 30 YR SINGLE FAMILY MBS      | CUSIP: 3132JNQ59<br>LEI: 254900HROIFWPRGM1V77 | Long             | ABS-MBS          | USGSE             | US        |    780529 | PA      | $723036.35    | 0.01%             | 2043-09-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corporation        | 30 YR SINGLE FAMILY MBS      | CUSIP: 3132M92L7<br>LEI: 254900HROIFWPRGM1V77 | Long             | ABS-MBS          | USGSE             | US        |    438023 | PA      | $404757.28    | 0.01%             | 2044-10-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corporation        | 30 YR SINGLE FAMILY MBS      | CUSIP: 3132M75X2<br>LEI: 254900HROIFWPRGM1V77 | Long             | ABS-MBS          | USGSE             | US        |    957129 | PA      | $885270.80    | 0.01%             | 2044-07-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corporation        | 30 YR SINGLE FAMILY MBS      | CUSIP: 3132QNE62<br>LEI: 254900HROIFWPRGM1V77 | Long             | ABS-MBS          | USGSE             | US        |   1591869 | PA      | $1467790.04   | 0.02%             | 2045-03-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corporation        | 30 YR SINGLE FAMILY MBS      | CUSIP: 3128MJVL1<br>LEI: 254900HROIFWPRGM1V77 | Long             | ABS-MBS          | USGSE             | US        |    553722 | PA      | $511801.71    | 0.01%             | 2044-12-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corporation        | 30 YR SINGLE FAMILY MBS      | CUSIP: 3128MJVR8<br>LEI: 254900HROIFWPRGM1V77 | Long             | ABS-MBS          | USGSE             | US        |   1899298 | PA      | $1728119.76   | 0.03%             | 2045-01-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corporation        | 30 YR SINGLE FAMILY MBS      | CUSIP: 3128MJVV9<br>LEI: 254900HROIFWPRGM1V77 | Long             | ABS-MBS          | USGSE             | US        |   2577195 | PA      | $2348280.75   | 0.04%             | 2045-02-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corporation        | 30 YR SINGLE FAMILY MBS      | CUSIP: 3132M8F68<br>LEI: 254900HROIFWPRGM1V77 | Long             | ABS-MBS          | USGSE             | US        |    421258 | PA      | $389756.70    | 0.01%             | 2044-07-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corporation        | 30 YR SINGLE FAMILY MBS      | CUSIP: 3132L6ST9<br>LEI: 254900HROIFWPRGM1V77 | Long             | ABS-MBS          | USGSE             | US        |   1888676 | PA      | $1745724.91   | 0.03%             | 2044-11-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corporation        | 30 YR SINGLE FAMILY MBS      | CUSIP: 3128MJV31<br>LEI: 254900HROIFWPRGM1V77 | Long             | ABS-MBS          | USGSE             | US        |    522306 | PA      | $482369.78    | 0.01%             | 2045-03-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corporation        | 30 YR SINGLE FAMILY MBS      | CUSIP: 3132QRA26<br>LEI: 254900HROIFWPRGM1V77 | Long             | ABS-MBS          | USGSE             | US        |   1150227 | PA      | $1054283.52   | 0.02%             | 2045-07-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corporation        | 30 YR SINGLE FAMILY MBS      | CUSIP: 3128MJWQ9<br>LEI: 254900HROIFWPRGM1V77 | Long             | ABS-MBS          | USGSE             | US        |   1452225 | PA      | $1338728.32   | 0.02%             | 2045-07-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corporation        | 30 YR SINGLE FAMILY MBS      | CUSIP: 3128MJVP2<br>LEI: 254900HROIFWPRGM1V77 | Long             | ABS-MBS          | USGSE             | US        |    182865 | PA      | $171578.95    | 0.00%             | 2044-12-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corporation        | 30 YR SINGLE FAMILY MBS      | CUSIP: 3128MJVB3<br>LEI: 254900HROIFWPRGM1V77 | Long             | ABS-MBS          | USGSE             | US        |   1911754 | PA      | $1755722.97   | 0.03%             | 2044-10-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corporation        | 30 YR SINGLE FAMILY MBS      | CUSIP: 3132MAVQ1<br>LEI: 254900HROIFWPRGM1V77 | Long             | ABS-MBS          | USGSE             | US        |   1118075 | PA      | $1049244.47   | 0.02%             | 2044-11-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corporation        | 30 YR SINGLE FAMILY MBS      | CUSIP: 3132GGHN8<br>LEI: 254900HROIFWPRGM1V77 | Long             | ABS-MBS          | USGSE             | US        |    179969 | PA      | $169903.25    | 0.00%             | 2041-08-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corporation        | 30 YR SINGLE FAMILY MBS      | CUSIP: 3132QLEX7<br>LEI: 254900HROIFWPRGM1V77 | Long             | ABS-MBS          | USGSE             | US        |     63014 | PA      | $58960.70     | 0.00%             | 2044-12-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corporation        | 30 YR SINGLE FAMILY MBS      | CUSIP: 3128MJXE5<br>LEI: 254900HROIFWPRGM1V77 | Long             | ABS-MBS          | USGSE             | US        |   2963092 | PA      | $2703712.65   | 0.04%             | 2045-11-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corporation        | 30 YR SINGLE FAMILY MBS      | CUSIP: 3128MJYR5<br>LEI: 254900HROIFWPRGM1V77 | Long             | ABS-MBS          | USGSE             | US        |   3715475 | PA      | $3156113.01   | 0.05%             | 2046-08-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corporation        | 30 YR SINGLE FAMILY MBS      | CUSIP: 3128MJYF1<br>LEI: 254900HROIFWPRGM1V77 | Long             | ABS-MBS          | USGSE             | US        |    873534 | PA      | $750426.01    | 0.01%             | 2046-04-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corporation        | 30 YR SINGLE FAMILY MBS      | CUSIP: 3128MJSJ0<br>LEI: 254900HROIFWPRGM1V77 | Long             | ABS-MBS          | USGSE             | US        |   1295169 | PA      | $1115990.72   | 0.02%             | 2043-01-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corporation        | 30 YR SINGLE FAMILY MBS      | CUSIP: 3132QRC40<br>LEI: 254900HROIFWPRGM1V77 | Long             | ABS-MBS          | USGSE             | US        |    821480 | PA      | $726154.32    | 0.01%             | 2045-07-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corporation        | 30 YR SINGLE FAMILY MBS      | CUSIP: 3128MJVQ0<br>LEI: 254900HROIFWPRGM1V77 | Long             | ABS-MBS          | USGSE             | US        |    611908 | PA      | $541650.67    | 0.01%             | 2045-01-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corporation        | 30 YR SINGLE FAMILY MBS      | CUSIP: 3128MJYT1<br>LEI: 254900HROIFWPRGM1V77 | Long             | ABS-MBS          | USGSE             | US        |   1064650 | PA      | $938571.36    | 0.02%             | 2046-09-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corporation        | 30 YR SINGLE FAMILY MBS      | CUSIP: 3128MJWU0<br>LEI: 254900HROIFWPRGM1V77 | Long             | ABS-MBS          | USGSE             | US        |   1651255 | PA      | $1459466.79   | 0.02%             | 2045-08-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corporation        | 30 YR SINGLE FAMILY MBS      | CUSIP: 3132WGQ26<br>LEI: 254900HROIFWPRGM1V77 | Long             | ABS-MBS          | USGSE             | US        |   2441813 | PA      | $2152309.14   | 0.04%             | 2046-09-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corporation        | 30 YR SINGLE FAMILY MBS      | CUSIP: 3128MJXK1<br>LEI: 254900HROIFWPRGM1V77 | Long             | ABS-MBS          | USGSE             | US        |   4459912 | PA      | $4092354.30   | 0.07%             | 2045-12-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corporation        | 30 YR SINGLE FAMILY MBS      | CUSIP: 3128MJYC8<br>LEI: 254900HROIFWPRGM1V77 | Long             | ABS-MBS          | USGSE             | US        |   1117987 | PA      | $1021426.10   | 0.02%             | 2046-05-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corporation        | 30 YR SINGLE FAMILY MBS      | CUSIP: 3132WGFX0<br>LEI: 254900HROIFWPRGM1V77 | Long             | ABS-MBS          | USGSE             | US        |   1713966 | PA      | $1562646.86   | 0.03%             | 2046-09-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corporation        | 30 YR SINGLE FAMILY MBS      | CUSIP: 3132WEKW1<br>LEI: 254900HROIFWPRGM1V77 | Long             | ABS-MBS          | USGSE             | US        |   5455902 | PA      | $4984722.47   | 0.08%             | 2046-06-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corporation        | 30 YR SINGLE FAMILY MBS      | CUSIP: 3132WFFT1<br>LEI: 254900HROIFWPRGM1V77 | Long             | ABS-MBS          | USGSE             | US        |    740144 | PA      | $691799.08    | 0.01%             | 2046-07-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corporation        | 30 YR SINGLE FAMILY MBS      | CUSIP: 3132QREU0<br>LEI: 254900HROIFWPRGM1V77 | Long             | ABS-MBS          | USGSE             | US        |    680054 | PA      | $636488.07    | 0.01%             | 2045-07-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corporation        | 30 YR SINGLE FAMILY MBS      | CUSIP: 3128MJX88<br>LEI: 254900HROIFWPRGM1V77 | Long             | ABS-MBS          | USGSE             | US        |   1672684 | PA      | $1532433.21   | 0.03%             | 2046-04-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corporation        | 30 YR SINGLE FAMILY MBS      | CUSIP: 3128MJYH7<br>LEI: 254900HROIFWPRGM1V77 | Long             | ABS-MBS          | USGSE             | US        |    513141 | PA      | $469720.44    | 0.01%             | 2046-06-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corporation        | 30 YR SINGLE FAMILY MBS      | CUSIP: 3132WJEB3<br>LEI: 254900HROIFWPRGM1V77 | Long             | ABS-MBS          | USGSE             | US        |    616439 | PA      | $563546.13    | 0.01%             | 2046-10-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corporation        | 30 YR SINGLE FAMILY MBS      | CUSIP: 3132QQHU9<br>LEI: 254900HROIFWPRGM1V77 | Long             | ABS-MBS          | USGSE             | US        |    472394 | PA      | $442857.05    | 0.01%             | 2045-06-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corporation        | 30 YR SINGLE FAMILY MBS      | CUSIP: 3132QVPU9<br>LEI: 254900HROIFWPRGM1V77 | Long             | ABS-MBS          | USGSE             | US        |    280098 | PA      | $262147.65    | 0.00%             | 2046-01-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corporation        | 30 YR SINGLE FAMILY MBS      | CUSIP: 3132QWS75<br>LEI: 254900HROIFWPRGM1V77 | Long             | ABS-MBS          | USGSE             | US        |    758978 | PA      | $710222.04    | 0.01%             | 2046-03-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corporation        | 30 YR SINGLE FAMILY MBS      | CUSIP: 3132QVPP0<br>LEI: 254900HROIFWPRGM1V77 | Long             | ABS-MBS          | USGSE             | US        |   1547989 | PA      | $1448694.79   | 0.02%             | 2046-01-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corporation        | 30 YR SINGLE FAMILY MBS      | CUSIP: 3128MJYJ3<br>LEI: 254900HROIFWPRGM1V77 | Long             | ABS-MBS          | USGSE             | US        |    879503 | PA      | $821294.20    | 0.01%             | 2046-06-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corporation        | 30 YR SINGLE FAMILY MBS      | CUSIP: 3132WDGM0<br>LEI: 254900HROIFWPRGM1V77 | Long             | ABS-MBS          | USGSE             | US        |    465917 | PA      | $435511.28    | 0.01%             | 2046-04-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corporation        | 30 YR SINGLE FAMILY MBS      | CUSIP: 3132WECW0<br>LEI: 254900HROIFWPRGM1V77 | Long             | ABS-MBS          | USGSE             | US        |   1159764 | PA      | $1082984.59   | 0.02%             | 2046-06-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corporation        | 30 YR SINGLE FAMILY MBS      | CUSIP: 3132QXA49<br>LEI: 254900HROIFWPRGM1V77 | Long             | ABS-MBS          | USGSE             | US        |   1586543 | PA      | $1483134.45   | 0.02%             | 2046-04-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corporation        | 30 YR SINGLE FAMILY MBS      | CUSIP: 3128MJU81<br>LEI: 254900HROIFWPRGM1V77 | Long             | ABS-MBS          | USGSE             | US        |   3515032 | PA      | $3275854.83   | 0.05%             | 2044-09-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corporation        | 30 YR SINGLE FAMILY MBS      | CUSIP: 3128MJWW6<br>LEI: 254900HROIFWPRGM1V77 | Long             | ABS-MBS          | USGSE             | US        |   4533134 | PA      | $4227997.96   | 0.07%             | 2045-08-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corporation        | 30 YR SINGLE FAMILY MBS      | CUSIP: 3128MJXY1<br>LEI: 254900HROIFWPRGM1V77 | Long             | ABS-MBS          | USGSE             | US        |    711298 | PA      | $665066.02    | 0.01%             | 2046-02-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corporation        | 30 YR SINGLE FAMILY MBS      | CUSIP: 3132WGUH8<br>LEI: 254900HROIFWPRGM1V77 | Long             | ABS-MBS          | USGSE             | US        |    956140 | PA      | $892306.43    | 0.01%             | 2046-09-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corporation        | 30 YR SINGLE FAMILY MBS      | CUSIP: 3132WJP54<br>LEI: 254900HROIFWPRGM1V77 | Long             | ABS-MBS          | USGSE             | US        |    814785 | PA      | $759638.78    | 0.01%             | 2046-12-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corporation        | 30 YR SINGLE FAMILY MBS      | CUSIP: 3132WJFB2<br>LEI: 254900HROIFWPRGM1V77 | Long             | ABS-MBS          | USGSE             | US        |   1760276 | PA      | $1642833.98   | 0.03%             | 2046-10-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corporation        | 30 YR SINGLE FAMILY MBS      | CUSIP: 3132WJLF6<br>LEI: 254900HROIFWPRGM1V77 | Long             | ABS-MBS          | USGSE             | US        |    520812 | PA      | $485534.26    | 0.01%             | 2046-12-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corporation        | 30 YR SINGLE FAMILY MBS      | CUSIP: 3132QS4X3<br>LEI: 254900HROIFWPRGM1V77 | Long             | ABS-MBS          | USGSE             | US        |   6762310 | PA      | $6292189.29   | 0.10%             | 2045-09-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corporation        | 30 YR SINGLE FAMILY MBS      | CUSIP: 3128MJX54<br>LEI: 254900HROIFWPRGM1V77 | Long             | ABS-MBS          | USGSE             | US        |      4450 | PA      | $4130.35      | 0.00%             | 2046-03-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corporation        | 30 YR SINGLE FAMILY MBS      | CUSIP: 31335AWW4<br>LEI: 254900HROIFWPRGM1V77 | Long             | ABS-MBS          | USGSE             | US        |      4979 | PA      | $4615.82      | 0.00%             | 2046-07-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corporation        | 30 YR SINGLE FAMILY MBS      | CUSIP: 3128MJ2H2<br>LEI: 254900HROIFWPRGM1V77 | Long             | ABS-MBS          | USGSE             | US        |     64482 | PA      | $59552.50     | 0.00%             | 2047-08-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corporation        | 30 YR SINGLE FAMILY MBS      | CUSIP: 3132QVJF9<br>LEI: 254900HROIFWPRGM1V77 | Long             | ABS-MBS          | USGSE             | US        |     91860 | PA      | $85267.74     | 0.00%             | 2046-01-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corporation        | 30 YR SINGLE FAMILY MBS      | CUSIP: 3128MJ2D1<br>LEI: 254900HROIFWPRGM1V77 | Long             | ABS-MBS          | USGSE             | US        |   3733551 | PA      | $3420017.85   | 0.06%             | 2047-07-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION         | 30 YR SINGLE FAMILY MBS      | CUSIP: 31371E4Y8<br>LEI: 254900HROIFWPRGM1V77 | Long             | ABS-MBS          | USGSE             | US        |        48 | PA      | $49.53        | 0.00%             | 2025-05-01      | Fixed         | 9.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION         | 30 YR SINGLE FAMILY MBS      | CUSIP: 31378FZ81<br>LEI: 254900HROIFWPRGM1V77 | Long             | ABS-MBS          | USGSE             | US        |     15196 | PA      | $15603.49     | 0.00%             | 2027-09-01      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION         | 30 YR SINGLE FAMILY MBS      | CUSIP: 31371GVF4<br>LEI: 254900HROIFWPRGM1V77 | Long             | ABS-MBS          | USGSE             | US        |       508 | PA      | $525.52       | 0.00%             | 2028-07-01      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION         | 30 YR SINGLE FAMILY MBS      | CUSIP: 31371GX47<br>LEI: 254900HROIFWPRGM1V77 | Long             | ABS-MBS          | USGSE             | US        |       437 | PA      | $450.88       | 0.00%             | 2028-08-01      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION         | 30 YR SINGLE FAMILY MBS      | CUSIP: 31380LFK9<br>LEI: 254900HROIFWPRGM1V77 | Long             | ABS-MBS          | USGSE             | US        |     10801 | PA      | $11105.25     | 0.00%             | 2028-09-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION         | 30 YR SINGLE FAMILY MBS      | CUSIP: 31379YRM7<br>LEI: 254900HROIFWPRGM1V77 | Long             | ABS-MBS          | USGSE             | US        |     14954 | PA      | $15380.38     | 0.00%             | 2028-09-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION         | 30 YR SINGLE FAMILY MBS      | CUSIP: 31371HDU9<br>LEI: 254900HROIFWPRGM1V77 | Long             | ABS-MBS          | USGSE             | US        |     18188 | PA      | $18457.74     | 0.00%             | 2028-11-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION         | 30 YR SINGLE FAMILY MBS      | CUSIP: 31371HFM5<br>LEI: 254900HROIFWPRGM1V77 | Long             | ABS-MBS          | USGSE             | US        |     20602 | PA      | $20911.00     | 0.00%             | 2029-01-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION         | 30 YR SINGLE FAMILY MBS      | CUSIP: 31378QD99<br>LEI: 254900HROIFWPRGM1V77 | Long             | ABS-MBS          | USGSE             | US        |     14648 | PA      | $14867.05     | 0.00%             | 2028-12-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION         | 30 YR SINGLE FAMILY MBS      | CUSIP: 31378UHX3<br>LEI: 254900HROIFWPRGM1V77 | Long             | ABS-MBS          | USGSE             | US        |      5589 | PA      | $5630.10      | 0.00%             | 2027-01-01      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION         | 30 YR SINGLE FAMILY MBS      | CUSIP: 31371JDS0<br>LEI: 254900HROIFWPRGM1V77 | Long             | ABS-MBS          | USGSE             | US        |      4523 | PA      | $4881.26      | 0.00%             | 2030-03-01      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION         | 30 YR SINGLE FAMILY MBS      | CUSIP: 31371J3C6<br>LEI: 254900HROIFWPRGM1V77 | Long             | ABS-MBS          | USGSE             | US        |       119 | PA      | $124.45       | 0.00%             | 2031-05-01      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION         | 30 YR SINGLE FAMILY MBS      | CUSIP: 31371J3W2<br>LEI: 254900HROIFWPRGM1V77 | Long             | ABS-MBS          | USGSE             | US        |       133 | PA      | $142.31       | 0.00%             | 2031-05-01      | Fixed         | 8.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION         | 30 YR SINGLE FAMILY MBS      | CUSIP: 31387JEM4<br>LEI: 254900HROIFWPRGM1V77 | Long             | ABS-MBS          | USGSE             | US        |     45451 | PA      | $47882.64     | 0.00%             | 2031-05-01      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION         | 30 YR SINGLE FAMILY MBS      | CUSIP: 31387JTH9<br>LEI: 254900HROIFWPRGM1V77 | Long             | ABS-MBS          | USGSE             | US        |     88557 | PA      | $92809.73     | 0.00%             | 2031-06-01      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION         | 30 YR SINGLE FAMILY MBS      | CUSIP: 31387XF83<br>LEI: 254900HROIFWPRGM1V77 | Long             | ABS-MBS          | USGSE             | US        |      6212 | PA      | $6195.53      | 0.00%             | 2031-09-01      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION         | 30 YR SINGLE FAMILY MBS      | CUSIP: 31388KPY2<br>LEI: 254900HROIFWPRGM1V77 | Long             | ABS-MBS          | USGSE             | US        |     22443 | PA      | $23744.97     | 0.00%             | 2031-08-01      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION         | 30 YR SINGLE FAMILY MBS      | CUSIP: 31385H3F7<br>LEI: 254900HROIFWPRGM1V77 | Long             | ABS-MBS          | USGSE             | US        |      9794 | PA      | $10371.22     | 0.00%             | 2032-01-01      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION         | 30 YR SINGLE FAMILY MBS      | CUSIP: 31388XSQ8<br>LEI: 254900HROIFWPRGM1V77 | Long             | ABS-MBS          | USGSE             | US        |     11391 | PA      | $11903.57     | 0.00%             | 2032-02-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION         | 30 YR SINGLE FAMILY MBS      | CUSIP: 31389F6R8<br>LEI: 254900HROIFWPRGM1V77 | Long             | ABS-MBS          | USGSE             | US        |     56348 | PA      | $59683.58     | 0.00%             | 2031-11-01      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION         | 30 YR SINGLE FAMILY MBS      | CUSIP: 31385H6T4<br>LEI: 254900HROIFWPRGM1V77 | Long             | ABS-MBS          | USGSE             | US        |       214 | PA      | $226.53       | 0.00%             | 2032-03-01      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION         | 30 YR SINGLE FAMILY MBS      | CUSIP: 31371JSB1<br>LEI: 254900HROIFWPRGM1V77 | Long             | ABS-MBS          | USGSE             | US        |      7258 | PA      | $7645.86      | 0.00%             | 2030-11-01      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION         | 30 YR SINGLE FAMILY MBS      | CUSIP: 31389NR23<br>LEI: 254900HROIFWPRGM1V77 | Long             | ABS-MBS          | USGSE             | US        |     55424 | PA      | $58551.66     | 0.00%             | 2032-05-01      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION         | 30 YR SINGLE FAMILY MBS      | CUSIP: 31390FSW0<br>LEI: 254900HROIFWPRGM1V77 | Long             | ABS-MBS          | USGSE             | US        |     47663 | PA      | $50748.46     | 0.00%             | 2032-05-01      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION         | 30 YR SINGLE FAMILY MBS      | CUSIP: 31390FE54<br>LEI: 254900HROIFWPRGM1V77 | Long             | ABS-MBS          | USGSE             | US        |     17647 | PA      | $18618.48     | 0.00%             | 2032-04-01      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION         | 30 YR SINGLE FAMILY MBS      | CUSIP: 31385WT33<br>LEI: 254900HROIFWPRGM1V77 | Long             | ABS-MBS          | USGSE             | US        |       948 | PA      | $986.17       | 0.00%             | 2032-11-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION         | 30 YR SINGLE FAMILY MBS      | CUSIP: 31378QDP3<br>LEI: 254900HROIFWPRGM1V77 | Long             | ABS-MBS          | USGSE             | US        |     21182 | PA      | $21718.10     | 0.00%             | 2028-05-01      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION         | 30 YR SINGLE FAMILY MBS      | CUSIP: 31401NXX2<br>LEI: 254900HROIFWPRGM1V77 | Long             | ABS-MBS          | USGSE             | US        |    137130 | PA      | $137177.96    | 0.00%             | 2033-04-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION         | 30 YR SINGLE FAMILY MBS      | CUSIP: 31403NFZ5<br>LEI: 254900HROIFWPRGM1V77 | Long             | ABS-MBS          | USGSE             | US        |    121897 | PA      | $125096.23    | 0.00%             | 2033-11-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION         | 30 YR SINGLE FAMILY MBS      | CUSIP: 31403YNJ8<br>LEI: 254900HROIFWPRGM1V77 | Long             | ABS-MBS          | USGSE             | US        |     49263 | PA      | $50176.35     | 0.00%             | 2034-01-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION         | 30 YR SINGLE FAMILY MBS      | CUSIP: 31404EQZ2<br>LEI: 254900HROIFWPRGM1V77 | Long             | ABS-MBS          | USGSE             | US        |     22796 | PA      | $23225.76     | 0.00%             | 2034-03-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION         | 30 YR SINGLE FAMILY MBS      | CUSIP: 31405FHB1<br>LEI: 254900HROIFWPRGM1V77 | Long             | ABS-MBS          | USGSE             | US        |    147105 | PA      | $152338.80    | 0.00%             | 2034-07-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION         | 30 YR SINGLE FAMILY MBS      | CUSIP: 31405JZK3<br>LEI: 254900HROIFWPRGM1V77 | Long             | ABS-MBS          | USGSE             | US        |     24201 | PA      | $24823.35     | 0.00%             | 2034-07-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION         | 30 YR SINGLE FAMILY MBS      | CUSIP: 31404X3E2<br>LEI: 254900HROIFWPRGM1V77 | Long             | ABS-MBS          | USGSE             | US        |    207490 | PA      | $209195.54    | 0.00%             | 2034-05-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION         | 30 YR SINGLE FAMILY MBS      | CUSIP: 31405PAT7<br>LEI: 254900HROIFWPRGM1V77 | Long             | ABS-MBS          | USGSE             | US        |    104068 | PA      | $106020.55    | 0.00%             | 2034-10-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION         | 30 YR SINGLE FAMILY MBS      | CUSIP: 31405JA87<br>LEI: 254900HROIFWPRGM1V77 | Long             | ABS-MBS          | USGSE             | US        |     72373 | PA      | $74184.61     | 0.00%             | 2034-08-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION         | 30 YR SINGLE FAMILY MBS      | CUSIP: 31405PBS8<br>LEI: 254900HROIFWPRGM1V77 | Long             | ABS-MBS          | USGSE             | US        |     47814 | PA      | $48743.42     | 0.00%             | 2034-10-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION         | 30 YR SINGLE FAMILY MBS      | CUSIP: 31405KFN6<br>LEI: 254900HROIFWPRGM1V77 | Long             | ABS-MBS          | USGSE             | US        |     52406 | PA      | $53782.96     | 0.00%             | 2034-09-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION         | 30 YR SINGLE FAMILY MBS      | CUSIP: 31405NDX0<br>LEI: 254900HROIFWPRGM1V77 | Long             | ABS-MBS          | USGSE             | US        |     84074 | PA      | $86103.96     | 0.00%             | 2034-09-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION         | 30 YR SINGLE FAMILY MBS      | CUSIP: 31405NDA0<br>LEI: 254900HROIFWPRGM1V77 | Long             | ABS-MBS          | USGSE             | US        |    102661 | PA      | $105391.71    | 0.00%             | 2034-09-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION         | 30 YR SINGLE FAMILY MBS      | CUSIP: 31405QRG5<br>LEI: 254900HROIFWPRGM1V77 | Long             | ABS-MBS          | USGSE             | US        |    207225 | PA      | $214187.79    | 0.00%             | 2034-11-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION         | 30 YR SINGLE FAMILY MBS      | CUSIP: 31406GMH9<br>LEI: 254900HROIFWPRGM1V77 | Long             | ABS-MBS          | USGSE             | US        |     94173 | PA      | $96709.28     | 0.00%             | 2035-02-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION         | 30 YR SINGLE FAMILY MBS      | CUSIP: 31405TP97<br>LEI: 254900HROIFWPRGM1V77 | Long             | ABS-MBS          | USGSE             | US        |     50321 | PA      | $51631.52     | 0.00%             | 2034-12-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION         | 30 YR SINGLE FAMILY MBS      | CUSIP: 31406S6D0<br>LEI: 254900HROIFWPRGM1V77 | Long             | ABS-MBS          | USGSE             | US        |     97203 | PA      | $100759.56    | 0.00%             | 2035-05-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION         | 30 YR SINGLE FAMILY MBS      | CUSIP: 31406PRW1<br>LEI: 254900HROIFWPRGM1V77 | Long             | ABS-MBS          | USGSE             | US        |      5138 | PA      | $5289.98      | 0.00%             | 2035-03-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION         | 30 YR SINGLE FAMILY MBS      | CUSIP: 31407D4B8<br>LEI: 254900HROIFWPRGM1V77 | Long             | ABS-MBS          | USGSE             | US        |     64043 | PA      | $64487.60     | 0.00%             | 2035-07-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION         | 30 YR SINGLE FAMILY MBS      | CUSIP: 31407BTX7<br>LEI: 254900HROIFWPRGM1V77 | Long             | ABS-MBS          | USGSE             | US        |    103104 | PA      | $103845.27    | 0.00%             | 2035-07-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION         | 30 YR SINGLE FAMILY MBS      | CUSIP: 31407C6H5<br>LEI: 254900HROIFWPRGM1V77 | Long             | ABS-MBS          | USGSE             | US        |    133196 | PA      | $137114.87    | 0.00%             | 2035-06-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION         | 30 YR SINGLE FAMILY MBS      | CUSIP: 31407JLQ3<br>LEI: 254900HROIFWPRGM1V77 | Long             | ABS-MBS          | USGSE             | US        |     95531 | PA      | $98099.50     | 0.00%             | 2035-07-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION         | 30 YR SINGLE FAMILY MBS      | CUSIP: 31407JMM1<br>LEI: 254900HROIFWPRGM1V77 | Long             | ABS-MBS          | USGSE             | US        |     37667 | PA      | $39086.38     | 0.00%             | 2035-08-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION         | 30 YR SINGLE FAMILY MBS      | CUSIP: 31407G5W4<br>LEI: 254900HROIFWPRGM1V77 | Long             | ABS-MBS          | USGSE             | US        |     70755 | PA      | $73390.74     | 0.00%             | 2035-08-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION         | 30 YR SINGLE FAMILY MBS      | CUSIP: 31406UKE7<br>LEI: 254900HROIFWPRGM1V77 | Long             | ABS-MBS          | USGSE             | US        |     63313 | PA      | $65202.97     | 0.00%             | 2035-08-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION         | 30 YR SINGLE FAMILY MBS      | CUSIP: 31371MER4<br>LEI: 254900HROIFWPRGM1V77 | Long             | ABS-MBS          | USGSE             | US        |     52983 | PA      | $54892.10     | 0.00%             | 2035-09-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION         | 30 YR SINGLE FAMILY MBS      | CUSIP: 31407UEN3<br>LEI: 254900HROIFWPRGM1V77 | Long             | ABS-MBS          | USGSE             | US        |      2866 | PA      | $2877.62      | 0.00%             | 2035-12-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION         | 30 YR SINGLE FAMILY MBS      | CUSIP: 31407XRZ6<br>LEI: 254900HROIFWPRGM1V77 | Long             | ABS-MBS          | USGSE             | US        |    151966 | PA      | $158506.99    | 0.00%             | 2035-09-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION         | 30 YR SINGLE FAMILY MBS      | CUSIP: 31409T5V6<br>LEI: 254900HROIFWPRGM1V77 | Long             | ABS-MBS          | USGSE             | US        |     25084 | PA      | $25932.17     | 0.00%             | 2035-12-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION         | 30 YR SINGLE FAMILY MBS      | CUSIP: 31371MQC4<br>LEI: 254900HROIFWPRGM1V77 | Long             | ABS-MBS          | USGSE             | US        |     24900 | PA      | $25761.58     | 0.00%             | 2036-03-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION         | 30 YR SINGLE FAMILY MBS      | CUSIP: 31408JCJ8<br>LEI: 254900HROIFWPRGM1V77 | Long             | ABS-MBS          | USGSE             | US        |      4988 | PA      | $5037.98      | 0.00%             | 2035-12-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION         | 30 YR SINGLE FAMILY MBS      | CUSIP: 31408W4C3<br>LEI: 254900HROIFWPRGM1V77 | Long             | ABS-MBS          | USGSE             | US        |    153896 | PA      | $160171.12    | 0.00%             | 2036-01-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION         | 30 YR SINGLE FAMILY MBS      | CUSIP: 31408BYR3<br>LEI: 254900HROIFWPRGM1V77 | Long             | ABS-MBS          | USGSE             | US        |    166140 | PA      | $172886.31    | 0.00%             | 2036-02-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION         | 30 YR SINGLE FAMILY MBS      | CUSIP: 31410R5U9<br>LEI: 254900HROIFWPRGM1V77 | Long             | ABS-MBS          | USGSE             | US        |    123590 | PA      | $128637.10    | 0.00%             | 2036-05-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION         | 30 YR SINGLE FAMILY MBS      | CUSIP: 31410MDY3<br>LEI: 254900HROIFWPRGM1V77 | Long             | ABS-MBS          | USGSE             | US        |    276424 | PA      | $288727.12    | 0.00%             | 2036-04-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION         | 30 YR SINGLE FAMILY MBS      | CUSIP: 31408ERU8<br>LEI: 254900HROIFWPRGM1V77 | Long             | ABS-MBS          | USGSE             | US        |     64670 | PA      | $67397.71     | 0.00%             | 2036-01-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION         | 30 YR SINGLE FAMILY MBS      | CUSIP: 31409X3M9<br>LEI: 254900HROIFWPRGM1V77 | Long             | ABS-MBS          | USGSE             | US        |     41742 | PA      | $44433.65     | 0.00%             | 2036-05-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION         | 30 YR SINGLE FAMILY MBS      | CUSIP: 31412BWQ1<br>LEI: 254900HROIFWPRGM1V77 | Long             | ABS-MBS          | USGSE             | US        |     26636 | PA      | $27678.87     | 0.00%             | 2037-01-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION         | 30 YR SINGLE FAMILY MBS      | CUSIP: 31411WGA9<br>LEI: 254900HROIFWPRGM1V77 | Long             | ABS-MBS          | USGSE             | US        |     56801 | PA      | $58135.76     | 0.00%             | 2037-06-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION         | 30 YR SINGLE FAMILY MBS      | CUSIP: 31412XMY7<br>LEI: 254900HROIFWPRGM1V77 | Long             | ABS-MBS          | USGSE             | US        |    101473 | PA      | $106080.26    | 0.00%             | 2037-07-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION         | 30 YR SINGLE FAMILY MBS      | CUSIP: 31371NEU5<br>LEI: 254900HROIFWPRGM1V77 | Long             | ABS-MBS          | USGSE             | US        |     54201 | PA      | $55534.43     | 0.00%             | 2037-06-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION         | 30 YR SINGLE FAMILY MBS      | CUSIP: 31411WFV4<br>LEI: 254900HROIFWPRGM1V77 | Long             | ABS-MBS          | USGSE             | US        |       345 | PA      | $352.52       | 0.00%             | 2037-06-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION         | 30 YR SINGLE FAMILY MBS      | CUSIP: 31411X2J3<br>LEI: 254900HROIFWPRGM1V77 | Long             | ABS-MBS          | USGSE             | US        |       276 | PA      | $283.56       | 0.00%             | 2037-05-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION         | 30 YR SINGLE FAMILY MBS      | CUSIP: 31413HJT6<br>LEI: 254900HROIFWPRGM1V77 | Long             | ABS-MBS          | USGSE             | US        |      9213 | PA      | $9471.24      | 0.00%             | 2037-08-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION         | 30 YR SINGLE FAMILY MBS      | CUSIP: 31414LZ68<br>LEI: 254900HROIFWPRGM1V77 | Long             | ABS-MBS          | USGSE             | US        |       190 | PA      | $195.88       | 0.00%             | 2038-02-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION         | 30 YR SINGLE FAMILY MBS      | CUSIP: 31411FHZ0<br>LEI: 254900HROIFWPRGM1V77 | Long             | ABS-MBS          | USGSE             | US        |      3343 | PA      | $3416.84      | 0.00%             | 2036-12-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION         | 30 YR SINGLE FAMILY MBS      | CUSIP: 31412SGP4<br>LEI: 254900HROIFWPRGM1V77 | Long             | ABS-MBS          | USGSE             | US        |      5666 | PA      | $5823.34      | 0.00%             | 2037-12-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION         | 30 YR SINGLE FAMILY MBS      | CUSIP: 31413DD61<br>LEI: 254900HROIFWPRGM1V77 | Long             | ABS-MBS          | USGSE             | US        |      6380 | PA      | $6561.03      | 0.00%             | 2037-07-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION         | 30 YR SINGLE FAMILY MBS      | CUSIP: 31413UR76<br>LEI: 254900HROIFWPRGM1V77 | Long             | ABS-MBS          | USGSE             | US        |      7284 | PA      | $7490.53      | 0.00%             | 2037-11-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION         | 30 YR SINGLE FAMILY MBS      | CUSIP: 31413YTT8<br>LEI: 254900HROIFWPRGM1V77 | Long             | ABS-MBS          | USGSE             | US        |    117568 | PA      | $120779.42    | 0.00%             | 2037-11-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION         | 30 YR SINGLE FAMILY MBS      | CUSIP: 31414AW65<br>LEI: 254900HROIFWPRGM1V77 | Long             | ABS-MBS          | USGSE             | US        |     55566 | PA      | $57401.85     | 0.00%             | 2038-01-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION         | 30 YR SINGLE FAMILY MBS      | CUSIP: 31414SYM9<br>LEI: 254900HROIFWPRGM1V77 | Long             | ABS-MBS          | USGSE             | US        |     22343 | PA      | $22784.38     | 0.00%             | 2038-05-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION         | 30 YR SINGLE FAMILY MBS      | CUSIP: 31414CU97<br>LEI: 254900HROIFWPRGM1V77 | Long             | ABS-MBS          | USGSE             | US        |     15324 | PA      | $15118.15     | 0.00%             | 2038-03-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION         | 30 YR SINGLE FAMILY MBS      | CUSIP: 31415MET8<br>LEI: 254900HROIFWPRGM1V77 | Long             | ABS-MBS          | USGSE             | US        |      5214 | PA      | $5307.07      | 0.00%             | 2038-06-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION         | 30 YR SINGLE FAMILY MBS      | CUSIP: 31414AHL9<br>LEI: 254900HROIFWPRGM1V77 | Long             | ABS-MBS          | USGSE             | US        |     15009 | PA      | $15362.26     | 0.00%             | 2037-11-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION         | 30 YR SINGLE FAMILY MBS      | CUSIP: 31368HMU4<br>LEI: 254900HROIFWPRGM1V77 | Long             | ABS-MBS          | USGSE             | US        |    151090 | PA      | $156294.29    | 0.00%             | 2036-07-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION         | 30 YR SINGLE FAMILY MBS      | CUSIP: 31416TDZ9<br>LEI: 254900HROIFWPRGM1V77 | Long             | ABS-MBS          | USGSE             | US        |     55094 | PA      | $54475.00     | 0.00%             | 2039-07-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION         | 30 YR SINGLE FAMILY MBS      | CUSIP: 31416TED7<br>LEI: 254900HROIFWPRGM1V77 | Long             | ABS-MBS          | USGSE             | US        |    379499 | PA      | $374942.77    | 0.01%             | 2039-08-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION         | 30 YR SINGLE FAMILY MBS      | CUSIP: 31416TE21<br>LEI: 254900HROIFWPRGM1V77 | Long             | ABS-MBS          | USGSE             | US        |    621520 | PA      | $613260.61    | 0.01%             | 2039-08-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION         | 30 YR SINGLE FAMILY MBS      | CUSIP: 31412UY79<br>LEI: 254900HROIFWPRGM1V77 | Long             | ABS-MBS          | USGSE             | US        |   1223883 | PA      | $1207270.81   | 0.02%             | 2039-08-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION         | 30 YR SINGLE FAMILY MBS      | CUSIP: 31417YNE3<br>LEI: 254900HROIFWPRGM1V77 | Long             | ABS-MBS          | USGSE             | US        |    297200 | PA      | $295809.66    | 0.00%             | 2040-04-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION         | 30 YR SINGLE FAMILY MBS      | CUSIP: 31416A4V9<br>LEI: 254900HROIFWPRGM1V77 | Long             | ABS-MBS          | USGSE             | US        |     34880 | PA      | $34661.14     | 0.00%             | 2038-11-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION         | 30 YR SINGLE FAMILY MBS      | CUSIP: 31418RBS9<br>LEI: 254900HROIFWPRGM1V77 | Long             | ABS-MBS          | USGSE             | US        |     43043 | PA      | $42738.74     | 0.00%             | 2040-03-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION         | 30 YR SINGLE FAMILY MBS      | CUSIP: 31416J5H0<br>LEI: 254900HROIFWPRGM1V77 | Long             | ABS-MBS          | USGSE             | US        |    136666 | PA      | $133709.14    | 0.00%             | 2039-01-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION         | 30 YR SINGLE FAMILY MBS      | CUSIP: 31418X2G2<br>LEI: 254900HROIFWPRGM1V77 | Long             | ABS-MBS          | USGSE             | US        |    586296 | PA      | $570885.31    | 0.01%             | 2040-07-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION         | 30 YR SINGLE FAMILY MBS      | CUSIP: 31418U3V4<br>LEI: 254900HROIFWPRGM1V77 | Long             | ABS-MBS          | USGSE             | US        |    813599 | PA      | $796321.00    | 0.01%             | 2040-07-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION         | 30 YR SINGLE FAMILY MBS      | CUSIP: 31418XDN5<br>LEI: 254900HROIFWPRGM1V77 | Long             | ABS-MBS          | USGSE             | US        |    113354 | PA      | $110383.41    | 0.00%             | 2040-08-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION         | 30 YR SINGLE FAMILY MBS      | CUSIP: 31419ADT1<br>LEI: 254900HROIFWPRGM1V77 | Long             | ABS-MBS          | USGSE             | US        |       109 | PA      | $104.09       | 0.00%             | 2040-07-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION         | 30 YR SINGLE FAMILY MBS      | CUSIP: 31419GRA4<br>LEI: 254900HROIFWPRGM1V77 | Long             | ABS-MBS          | USGSE             | US        |    117603 | PA      | $112469.97    | 0.00%             | 2040-11-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION         | 30 YR SINGLE FAMILY MBS      | CUSIP: 31419E3V9<br>LEI: 254900HROIFWPRGM1V77 | Long             | ABS-MBS          | USGSE             | US        |   1170774 | PA      | $1119234.91   | 0.02%             | 2040-11-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION         | 30 YR SINGLE FAMILY MBS      | CUSIP: 31419E3Y3<br>LEI: 254900HROIFWPRGM1V77 | Long             | ABS-MBS          | USGSE             | US        |    986047 | PA      | $942915.04    | 0.02%             | 2040-11-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION         | 30 YR SINGLE FAMILY MBS      | CUSIP: 31416WJL7<br>LEI: 254900HROIFWPRGM1V77 | Long             | ABS-MBS          | USGSE             | US        |    127629 | PA      | $124775.01    | 0.00%             | 2040-06-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION         | 30 YR SINGLE FAMILY MBS      | CUSIP: 3138A4RP2<br>LEI: 254900HROIFWPRGM1V77 | Long             | ABS-MBS          | USGSE             | US        |   2051779 | PA      | $1990801.00   | 0.03%             | 2041-01-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION         | 30 YR SINGLE FAMILY MBS      | CUSIP: 31412RHW0<br>LEI: 254900HROIFWPRGM1V77 | Long             | ABS-MBS          | USGSE             | US        |    162378 | PA      | $158748.52    | 0.00%             | 2040-04-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION         | 30 YR SINGLE FAMILY MBS      | CUSIP: 31417MTA1<br>LEI: 254900HROIFWPRGM1V77 | Long             | ABS-MBS          | USGSE             | US        |     96853 | PA      | $94670.46     | 0.00%             | 2039-09-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION         | 30 YR SINGLE FAMILY MBS      | CUSIP: 31419B5R2<br>LEI: 254900HROIFWPRGM1V77 | Long             | ABS-MBS          | USGSE             | US        |    109609 | PA      | $107156.25    | 0.00%             | 2040-09-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION         | 30 YR SINGLE FAMILY MBS      | CUSIP: 31416WSN3<br>LEI: 254900HROIFWPRGM1V77 | Long             | ABS-MBS          | USGSE             | US        |   1266124 | PA      | $1249654.92   | 0.02%             | 2040-09-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION         | 30 YR SINGLE FAMILY MBS      | CUSIP: 3138A9AL8<br>LEI: 254900HROIFWPRGM1V77 | Long             | ABS-MBS          | USGSE             | US        |    639532 | PA      | $631897.40    | 0.01%             | 2041-03-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION         | 30 YR SINGLE FAMILY MBS      | CUSIP: 31417YXL6<br>LEI: 254900HROIFWPRGM1V77 | Long             | ABS-MBS          | USGSE             | US        |    756895 | PA      | $749011.44    | 0.01%             | 2041-02-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION         | 30 YR SINGLE FAMILY MBS      | CUSIP: 31416YDW5<br>LEI: 254900HROIFWPRGM1V77 | Long             | ABS-MBS          | USGSE             | US        |    810644 | PA      | $799665.01    | 0.01%             | 2041-04-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION         | 30 YR SINGLE FAMILY MBS      | CUSIP: 3138A8G83<br>LEI: 254900HROIFWPRGM1V77 | Long             | ABS-MBS          | USGSE             | US        |     54445 | PA      | $52502.20     | 0.00%             | 2041-02-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION         | 30 YR SINGLE FAMILY MBS      | CUSIP: 3138AX4P3<br>LEI: 254900HROIFWPRGM1V77 | Long             | ABS-MBS          | USGSE             | US        |    623050 | PA      | $575958.54    | 0.01%             | 2042-02-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION         | 30 YR SINGLE FAMILY MBS      | CUSIP: 3138E6EK8<br>LEI: 254900HROIFWPRGM1V77 | Long             | ABS-MBS          | USGSE             | US        |    566317 | PA      | $523720.89    | 0.01%             | 2042-02-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION         | 30 YR SINGLE FAMILY MBS      | CUSIP: 3138E3AA1<br>LEI: 254900HROIFWPRGM1V77 | Long             | ABS-MBS          | USGSE             | US        |    120495 | PA      | $111473.82    | 0.00%             | 2042-02-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION         | 30 YR SINGLE FAMILY MBS      | CUSIP: 3138E57H5<br>LEI: 254900HROIFWPRGM1V77 | Long             | ABS-MBS          | USGSE             | US        |    403972 | PA      | $373975.63    | 0.01%             | 2042-01-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION         | 30 YR SINGLE FAMILY MBS      | CUSIP: 31418AF45<br>LEI: 254900HROIFWPRGM1V77 | Long             | ABS-MBS          | USGSE             | US        |    561724 | PA      | $517938.23    | 0.01%             | 2042-06-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION         | 30 YR SINGLE FAMILY MBS      | CUSIP: 3138EAMS3<br>LEI: 254900HROIFWPRGM1V77 | Long             | ABS-MBS          | USGSE             | US        |     71135 | PA      | $63542.41     | 0.00%             | 2042-04-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION         | 30 YR SINGLE FAMILY MBS      | CUSIP: 31418AFH6<br>LEI: 254900HROIFWPRGM1V77 | Long             | ABS-MBS          | USGSE             | US        |    227319 | PA      | $203376.61    | 0.00%             | 2042-05-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION         | 30 YR SINGLE FAMILY MBS      | CUSIP: 3138AT4S6<br>LEI: 254900HROIFWPRGM1V77 | Long             | ABS-MBS          | USGSE             | US        |   1500522 | PA      | $1372103.75   | 0.02%             | 2042-06-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION         | 30 YR SINGLE FAMILY MBS      | CUSIP: 3138LX5Q8<br>LEI: 254900HROIFWPRGM1V77 | Long             | ABS-MBS          | USGSE             | US        |    459989 | PA      | $408962.64    | 0.01%             | 2042-09-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION         | 30 YR SINGLE FAMILY MBS      | CUSIP: 3138LQPC2<br>LEI: 254900HROIFWPRGM1V77 | Long             | ABS-MBS          | USGSE             | US        |    317384 | PA      | $281718.63    | 0.00%             | 2042-07-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION         | 30 YR SINGLE FAMILY MBS      | CUSIP: 3138LUDV4<br>LEI: 254900HROIFWPRGM1V77 | Long             | ABS-MBS          | USGSE             | US        |    237278 | PA      | $210452.16    | 0.00%             | 2042-06-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION         | 30 YR SINGLE FAMILY MBS      | CUSIP: 3138M1K31<br>LEI: 254900HROIFWPRGM1V77 | Long             | ABS-MBS          | USGSE             | US        |    442064 | PA      | $394828.78    | 0.01%             | 2042-07-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION         | 30 YR SINGLE FAMILY MBS      | CUSIP: 3138LWEN7<br>LEI: 254900HROIFWPRGM1V77 | Long             | ABS-MBS          | USGSE             | US        |    244120 | PA      | $216499.49    | 0.00%             | 2042-07-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION         | 30 YR SINGLE FAMILY MBS      | CUSIP: 3138LWD73<br>LEI: 254900HROIFWPRGM1V77 | Long             | ABS-MBS          | USGSE             | US        |    254603 | PA      | $226343.39    | 0.00%             | 2042-07-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION         | 30 YR SINGLE FAMILY MBS      | CUSIP: 3138M53S6<br>LEI: 254900HROIFWPRGM1V77 | Long             | ABS-MBS          | USGSE             | US        |    364561 | PA      | $323559.75    | 0.01%             | 2042-09-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION         | 30 YR SINGLE FAMILY MBS      | CUSIP: 3138LW6E6<br>LEI: 254900HROIFWPRGM1V77 | Long             | ABS-MBS          | USGSE             | US        |    392577 | PA      | $348426.38    | 0.01%             | 2042-06-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION         | 30 YR SINGLE FAMILY MBS      | CUSIP: 31418AHJ0<br>LEI: 254900HROIFWPRGM1V77 | Long             | ABS-MBS          | USGSE             | US        |    148836 | PA      | $132135.54    | 0.00%             | 2042-08-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION         | 30 YR SINGLE FAMILY MBS      | CUSIP: 3138MQWL3<br>LEI: 254900HROIFWPRGM1V77 | Long             | ABS-MBS          | USGSE             | US        |    498345 | PA      | $442196.43    | 0.01%             | 2042-12-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION         | 30 YR SINGLE FAMILY MBS      | CUSIP: 31417DKR3<br>LEI: 254900HROIFWPRGM1V77 | Long             | ABS-MBS          | USGSE             | US        |   2458764 | PA      | $2235438.60   | 0.04%             | 2042-10-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION         | 30 YR SINGLE FAMILY MBS      | CUSIP: 3138MPP58<br>LEI: 254900HROIFWPRGM1V77 | Long             | ABS-MBS          | USGSE             | US        |    113120 | PA      | $102720.52    | 0.00%             | 2042-11-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION         | 30 YR SINGLE FAMILY MBS      | CUSIP: 31417CNL5<br>LEI: 254900HROIFWPRGM1V77 | Long             | ABS-MBS          | USGSE             | US        |   2741025 | PA      | $2498902.86   | 0.04%             | 2042-08-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION         | 30 YR SINGLE FAMILY MBS      | CUSIP: 3138LWDV0<br>LEI: 254900HROIFWPRGM1V77 | Long             | ABS-MBS          | USGSE             | US        |     31858 | PA      | $28836.94     | 0.00%             | 2042-07-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION         | 30 YR SINGLE FAMILY MBS      | CUSIP: 31417CCF0<br>LEI: 254900HROIFWPRGM1V77 | Long             | ABS-MBS          | USGSE             | US        |     29404 | PA      | $26620.19     | 0.00%             | 2042-06-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION         | 30 YR SINGLE FAMILY MBS      | CUSIP: 3138EKD51<br>LEI: 254900HROIFWPRGM1V77 | Long             | ABS-MBS          | USGSE             | US        |     48456 | PA      | $43837.77     | 0.00%             | 2042-10-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION         | 30 YR SINGLE FAMILY MBS      | CUSIP: 31417DK77<br>LEI: 254900HROIFWPRGM1V77 | Long             | ABS-MBS          | USGSE             | US        |    197636 | PA      | $179218.24    | 0.00%             | 2042-10-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION         | 30 YR SINGLE FAMILY MBS      | CUSIP: 3138EKG41<br>LEI: 254900HROIFWPRGM1V77 | Long             | ABS-MBS          | USGSE             | US        |   2850996 | PA      | $2718018.27   | 0.05%             | 2042-02-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION         | 30 YR SINGLE FAMILY MBS      | CUSIP: 31417VN66<br>LEI: 254900HROIFWPRGM1V77 | Long             | ABS-MBS          | USGSE             | US        |   1879878 | PA      | $1792688.20   | 0.03%             | 2039-12-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION         | 30 YR SINGLE FAMILY MBS      | CUSIP: 3138X0C55<br>LEI: 254900HROIFWPRGM1V77 | Long             | ABS-MBS          | USGSE             | US        |    106646 | PA      | $101310.97    | 0.00%             | 2043-09-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION         | 30 YR SINGLE FAMILY MBS      | CUSIP: 31412PR60<br>LEI: 254900HROIFWPRGM1V77 | Long             | ABS-MBS          | USGSE             | US        |    187748 | PA      | $179053.59    | 0.00%             | 2039-05-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION         | 30 YR SINGLE FAMILY MBS      | CUSIP: 31417MZL0<br>LEI: 254900HROIFWPRGM1V77 | Long             | ABS-MBS          | USGSE             | US        |    193715 | PA      | $184706.70    | 0.00%             | 2039-11-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION         | 30 YR SINGLE FAMILY MBS      | CUSIP: 31419AG43<br>LEI: 254900HROIFWPRGM1V77 | Long             | ABS-MBS          | USGSE             | US        |    820723 | PA      | $781777.80    | 0.01%             | 2040-08-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION         | 30 YR SINGLE FAMILY MBS      | CUSIP: 3138XQ5A5<br>LEI: 254900HROIFWPRGM1V77 | Long             | ABS-MBS          | USGSE             | US        |   2043039 | PA      | $1895350.35   | 0.03%             | 2044-05-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION         | 30 YR SINGLE FAMILY MBS      | CUSIP: 3138YBPY3<br>LEI: 254900HROIFWPRGM1V77 | Long             | ABS-MBS          | USGSE             | US        |    348005 | PA      | $321045.98    | 0.01%             | 2045-01-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION         | 30 YR SINGLE FAMILY MBS      | CUSIP: 3138YEVQ7<br>LEI: 254900HROIFWPRGM1V77 | Long             | ABS-MBS          | USGSE             | US        |    557352 | PA      | $514142.35    | 0.01%             | 2045-01-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION         | 30 YR SINGLE FAMILY MBS      | CUSIP: 3138YEV87<br>LEI: 254900HROIFWPRGM1V77 | Long             | ABS-MBS          | USGSE             | US        |    442923 | PA      | $408467.53    | 0.01%             | 2045-01-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION         | 30 YR SINGLE FAMILY MBS      | CUSIP: 3138YENY9<br>LEI: 254900HROIFWPRGM1V77 | Long             | ABS-MBS          | USGSE             | US        |   3494027 | PA      | $3162681.09   | 0.05%             | 2045-03-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION         | 30 YR SINGLE FAMILY MBS      | CUSIP: 3138YTQW7<br>LEI: 254900HROIFWPRGM1V77 | Long             | ABS-MBS          | USGSE             | US        |   1513113 | PA      | $1375820.80   | 0.02%             | 2045-06-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION         | 30 YR SINGLE FAMILY MBS      | CUSIP: 3138ELYV9<br>LEI: 254900HROIFWPRGM1V77 | Long             | ABS-MBS          | USGSE             | US        |    494136 | PA      | $465949.32    | 0.01%             | 2043-11-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION         | 30 YR SINGLE FAMILY MBS      | CUSIP: 3138WBSS5<br>LEI: 254900HROIFWPRGM1V77 | Long             | ABS-MBS          | USGSE             | US        |    474428 | PA      | $446438.99    | 0.01%             | 2044-05-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION         | 30 YR SINGLE FAMILY MBS      | CUSIP: 3140EW5C5<br>LEI: 254900HROIFWPRGM1V77 | Long             | ABS-MBS          | USGSE             | US        |   4960706 | PA      | $4491440.89   | 0.07%             | 2046-01-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION         | 30 YR SINGLE FAMILY MBS      | CUSIP: 3140E9JX5<br>LEI: 254900HROIFWPRGM1V77 | Long             | ABS-MBS          | USGSE             | US        |   3369314 | PA      | $3065536.59   | 0.05%             | 2046-01-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION         | 30 YR SINGLE FAMILY MBS      | CUSIP: 3140F76S3<br>LEI: 254900HROIFWPRGM1V77 | Long             | ABS-MBS          | USGSE             | US        |   3467246 | PA      | $3040744.91   | 0.05%             | 2046-06-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION         | 30 YR SINGLE FAMILY MBS      | CUSIP: 3140F8D46<br>LEI: 254900HROIFWPRGM1V77 | Long             | ABS-MBS          | USGSE             | US        |   1357842 | PA      | $1190793.67   | 0.02%             | 2046-06-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION         | 30 YR SINGLE FAMILY MBS      | CUSIP: 3140E7FG0<br>LEI: 254900HROIFWPRGM1V77 | Long             | ABS-MBS          | USGSE             | US        |   6142504 | PA      | $5383328.28   | 0.09%             | 2046-06-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION         | 30 YR SINGLE FAMILY MBS      | CUSIP: 3138WJBM9<br>LEI: 254900HROIFWPRGM1V77 | Long             | ABS-MBS          | USGSE             | US        |   1967339 | PA      | $1822193.04   | 0.03%             | 2046-10-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION         | 30 YR SINGLE FAMILY MBS      | CUSIP: 3140EW6Z3<br>LEI: 254900HROIFWPRGM1V77 | Long             | ABS-MBS          | USGSE             | US        |   1606059 | PA      | $1490185.29   | 0.02%             | 2046-03-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION         | 30 YR SINGLE FAMILY MBS      | CUSIP: 3140E12T9<br>LEI: 254900HROIFWPRGM1V77 | Long             | ABS-MBS          | USGSE             | US        |   4289595 | PA      | $4022092.34   | 0.07%             | 2045-10-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION         | 30 YR SINGLE FAMILY MBS      | CUSIP: 3138WGG65<br>LEI: 254900HROIFWPRGM1V77 | Long             | ABS-MBS          | USGSE             | US        |   1366707 | PA      | $1262640.05   | 0.02%             | 2046-01-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION         | 30 YR SINGLE FAMILY MBS      | CUSIP: 3138WJQ43<br>LEI: 254900HROIFWPRGM1V77 | Long             | ABS-MBS          | USGSE             | US        |   5640852 | PA      | $5225718.71   | 0.09%             | 2046-12-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION         | 30 YR SINGLE FAMILY MBS      | CUSIP: 3140FNJL9<br>LEI: 254900HROIFWPRGM1V77 | Long             | ABS-MBS          | USGSE             | US        |   3778196 | PA      | $3459461.96   | 0.06%             | 2047-01-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION         | 30 YR SINGLE FAMILY MBS      | CUSIP: 3140FMLM6<br>LEI: 254900HROIFWPRGM1V77 | Long             | ABS-MBS          | USGSE             | US        |   1823593 | PA      | $1668425.75   | 0.03%             | 2046-12-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION         | 30 YR SINGLE FAMILY MBS      | CUSIP: 3140FRAX3<br>LEI: 254900HROIFWPRGM1V77 | Long             | ABS-MBS          | USGSE             | US        |   2372376 | PA      | $2170692.55   | 0.04%             | 2047-01-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION         | 30 YR SINGLE FAMILY MBS      | CUSIP: 3138ERU57<br>LEI: 254900HROIFWPRGM1V77 | Long             | ABS-MBS          | USGSE             | US        |    821306 | PA      | $751409.26    | 0.01%             | 2047-01-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION         | 30 YR SINGLE FAMILY MBS      | CUSIP: 3140FP4G1<br>LEI: 254900HROIFWPRGM1V77 | Long             | ABS-MBS          | USGSE             | US        |   1201441 | PA      | $1098979.30   | 0.02%             | 2047-02-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION         | 30 YR SINGLE FAMILY MBS      | CUSIP: 3140E4WF0<br>LEI: 254900HROIFWPRGM1V77 | Long             | ABS-MBS          | USGSE             | US        |    919402 | PA      | $849821.38    | 0.01%             | 2045-09-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION         | 30 YR SINGLE FAMILY MBS      | CUSIP: 3138WE4D8<br>LEI: 254900HROIFWPRGM1V77 | Long             | ABS-MBS          | USGSE             | US        |    448750 | PA      | $414946.24    | 0.01%             | 2045-07-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION         | 30 YR SINGLE FAMILY MBS      | CUSIP: 3140GS7L0<br>LEI: 254900HROIFWPRGM1V77 | Long             | ABS-MBS          | USGSE             | US        |   1623611 | PA      | $1470258.93   | 0.02%             | 2047-07-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION         | 30 YR SINGLE FAMILY MBS      | CUSIP: 3138WKRE7<br>LEI: 254900HROIFWPRGM1V77 | Long             | ABS-MBS          | USGSE             | US        |    725027 | PA      | $658117.81    | 0.01%             | 2047-04-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION         | 30 YR SINGLE FAMILY MBS      | CUSIP: 3138WKRC1<br>LEI: 254900HROIFWPRGM1V77 | Long             | ABS-MBS          | USGSE             | US        |    751927 | PA      | $682557.35    | 0.01%             | 2047-04-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION         | 30 YR SINGLE FAMILY MBS      | CUSIP: 3140FQWY9<br>LEI: 254900HROIFWPRGM1V77 | Long             | ABS-MBS          | USGSE             | US        |   1925070 | PA      | $1747566.73   | 0.03%             | 2047-02-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION         | 30 YR SINGLE FAMILY MBS      | CUSIP: 3140FTRN3<br>LEI: 254900HROIFWPRGM1V77 | Long             | ABS-MBS          | USGSE             | US        |   1273706 | PA      | $1152752.33   | 0.02%             | 2047-06-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION         | 30 YR SINGLE FAMILY MBS      | CUSIP: 3140FQY27<br>LEI: 254900HROIFWPRGM1V77 | Long             | ABS-MBS          | USGSE             | US        |    706916 | PA      | $641195.50    | 0.01%             | 2047-01-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION         | 30 YR SINGLE FAMILY MBS      | CUSIP: 3140FUKP2<br>LEI: 254900HROIFWPRGM1V77 | Long             | ABS-MBS          | USGSE             | US        |    566763 | PA      | $513624.77    | 0.01%             | 2047-03-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION         | 30 YR SINGLE FAMILY MBS      | CUSIP: 3138WJBN7<br>LEI: 254900HROIFWPRGM1V77 | Long             | ABS-MBS          | USGSE             | US        |   3725660 | PA      | $3438057.01   | 0.06%             | 2046-10-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION         | 30 YR SINGLE FAMILY MBS      | CUSIP: 3140J6GL5<br>LEI: 254900HROIFWPRGM1V77 | Long             | ABS-MBS          | USGSE             | US        |   2980059 | PA      | $2744205.72   | 0.05%             | 2047-10-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION         | 30 YR SINGLE FAMILY MBS      | CUSIP: 31418CCJ1<br>LEI: 254900HROIFWPRGM1V77 | Long             | ABS-MBS          | USGSE             | US        |   1301041 | PA      | $1185838.40   | 0.02%             | 2046-10-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION         | 30 YR SINGLE FAMILY MBS      | CUSIP: 3140F4A22<br>LEI: 254900HROIFWPRGM1V77 | Long             | ABS-MBS          | USGSE             | US        |    850276 | PA      | $774961.27    | 0.01%             | 2046-08-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION         | 30 YR SINGLE FAMILY MBS      | CUSIP: 31418CBR4<br>LEI: 254900HROIFWPRGM1V77 | Long             | ABS-MBS          | USGSE             | US        |   1073017 | PA      | $977985.93    | 0.02%             | 2046-09-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION         | 30 YR SINGLE FAMILY MBS      | CUSIP: 3140FHSV0<br>LEI: 254900HROIFWPRGM1V77 | Long             | ABS-MBS          | USGSE             | US        |   1347998 | PA      | $1227408.41   | 0.02%             | 2046-11-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION         | 30 YR SINGLE FAMILY MBS      | CUSIP: 3138WJZ43<br>LEI: 254900HROIFWPRGM1V77 | Long             | ABS-MBS          | USGSE             | US        |   1752662 | PA      | $1594460.38   | 0.03%             | 2047-02-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION         | 30 YR SINGLE FAMILY MBS      | CUSIP: 3138WKRK3<br>LEI: 254900HROIFWPRGM1V77 | Long             | ABS-MBS          | USGSE             | US        |   3471723 | PA      | $3239705.00   | 0.05%             | 2047-04-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION         | 30 YR SINGLE FAMILY MBS      | CUSIP: 31418CS47<br>LEI: 254900HROIFWPRGM1V77 | Long             | ABS-MBS          | USGSE             | US        |   3861671 | PA      | $3551022.72   | 0.06%             | 2048-01-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION         | 30 YR SINGLE FAMILY MBS      | CUSIP: 3140FFMG3<br>LEI: 254900HROIFWPRGM1V77 | Long             | ABS-MBS          | USGSE             | US        |   1161931 | PA      | $1110118.83   | 0.02%             | 2046-10-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION         | 30 YR SINGLE FAMILY MBS      | CUSIP: 3140GR3C6<br>LEI: 254900HROIFWPRGM1V77 | Long             | ABS-MBS          | USGSE             | US        |    384438 | PA      | $365828.18    | 0.01%             | 2048-02-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION         | 30 YR SINGLE FAMILY MBS      | CUSIP: 3140Q7HV2<br>LEI: 254900HROIFWPRGM1V77 | Long             | ABS-MBS          | USGSE             | US        |   2198619 | PA      | $2095357.03   | 0.03%             | 2047-08-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION         | 30 YR SINGLE FAMILY MBS      | CUSIP: 3140HFGR4<br>LEI: 254900HROIFWPRGM1V77 | Long             | ABS-MBS          | USGSE             | US        |    410733 | PA      | $388032.37    | 0.01%             | 2048-04-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION         | 30 YR SINGLE FAMILY MBS      | CUSIP: 3140HFG29<br>LEI: 254900HROIFWPRGM1V77 | Long             | ABS-MBS          | USGSE             | US        |   1769882 | PA      | $1669114.86   | 0.03%             | 2048-04-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION         | 30 YR SINGLE FAMILY MBS      | CUSIP: 3140H7LL9<br>LEI: 254900HROIFWPRGM1V77 | Long             | ABS-MBS          | USGSE             | US        |   3618627 | PA      | $3427390.94   | 0.06%             | 2048-04-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION         | 30 YR SINGLE FAMILY MBS      | CUSIP: 31418CXP4<br>LEI: 254900HROIFWPRGM1V77 | Long             | ABS-MBS          | USGSE             | US        |     41727 | PA      | $39656.41     | 0.00%             | 2048-06-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION         | 30 YR SINGLE FAMILY MBS      | CUSIP: 31418CS62<br>LEI: 254900HROIFWPRGM1V77 | Long             | ABS-MBS          | USGSE             | US        |    130526 | PA      | $124229.91    | 0.00%             | 2048-01-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION         | 30 YR SINGLE FAMILY MBS      | CUSIP: 31418CXN9<br>LEI: 254900HROIFWPRGM1V77 | Long             | ABS-MBS          | USGSE             | US        |   2379443 | PA      | $2271045.45   | 0.04%             | 2048-06-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION         | 30 YR SINGLE FAMILY MBS      | CUSIP: 3140JLP99<br>LEI: 254900HROIFWPRGM1V77 | Long             | ABS-MBS          | USGSE             | US        |   1356706 | PA      | $1288930.47   | 0.02%             | 2048-12-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION         | 30 YR SINGLE FAMILY MBS      | CUSIP: 31418CZJ6<br>LEI: 254900HROIFWPRGM1V77 | Long             | ABS-MBS          | USGSE             | US        |   2029136 | PA      | $1907915.31   | 0.03%             | 2048-08-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION         | 30 YR SINGLE FAMILY MBS      | CUSIP: 3140JSZQ5<br>LEI: 254900HROIFWPRGM1V77 | Long             | ABS-MBS          | USGSE             | US        |    680343 | PA      | $614447.67    | 0.01%             | 2049-04-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION         | 30 YR SINGLE FAMILY MBS      | CUSIP: 3140JXKA5<br>LEI: 254900HROIFWPRGM1V77 | Long             | ABS-MBS          | USGSE             | US        |     54360 | PA      | $48002.06     | 0.00%             | 2049-09-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corporation        | 30 YR SINGLE FAMILY MBS      | CUSIP: 3133KHGV2<br>LEI: 254900HROIFWPRGM1V77 | Long             | ABS-MBS          | USGSE             | US        |   5767433 | PA      | $5026897.48   | 0.08%             | 2050-01-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corporation        | 30 YR SINGLE FAMILY MBS      | CUSIP: 3133A4PK6<br>LEI: 254900HROIFWPRGM1V77 | Long             | ABS-MBS          | USGSE             | US        |  16397917 | PA      | $13574460.76  | 0.23%             | 2050-05-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION         | 30 YR SINGLE FAMILY MBS      | CUSIP: 3140X6R52<br>LEI: 254900HROIFWPRGM1V77 | Long             | ABS-MBS          | USGSE             | US        |  12475764 | PA      | $10628040.17  | 0.18%             | 2050-06-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION         | 30 YR SINGLE FAMILY MBS      | CUSIP: 3140QEBS0<br>LEI: 254900HROIFWPRGM1V77 | Long             | ABS-MBS          | USGSE             | US        |  16095888 | PA      | $13214469.60  | 0.22%             | 2050-07-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corporation        | 30 YR SINGLE FAMILY MBS      | CUSIP: 3133KGK23<br>LEI: 254900HROIFWPRGM1V77 | Long             | ABS-MBS          | USGSE             | US        |   6257666 | PA      | $5454657.05   | 0.09%             | 2049-08-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corporation        | 30 YR SINGLE FAMILY MBS      | CUSIP: 3133A9ZV0<br>LEI: 254900HROIFWPRGM1V77 | Long             | ABS-MBS          | USGSE             | US        |   7662049 | PA      | $6246267.77   | 0.10%             | 2050-09-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corporation        | 30 YR SINGLE FAMILY MBS      | CUSIP: 3133A8LC9<br>LEI: 254900HROIFWPRGM1V77 | Long             | ABS-MBS          | USGSE             | US        |  11163035 | PA      | $9134843.95   | 0.15%             | 2050-08-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION         | 30 YR SINGLE FAMILY MBS      | CUSIP: 3140X8KN6<br>LEI: 254900HROIFWPRGM1V77 | Long             | ABS-MBS          | USGSE             | US        |  14507823 | PA      | $11860941.46  | 0.20%             | 2050-11-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corporation        | 30 YR SINGLE FAMILY MBS      | CUSIP: 3133AB2K5<br>LEI: 254900HROIFWPRGM1V77 | Long             | ABS-MBS          | USGSE             | US        |  14388695 | PA      | $11757042.52  | 0.20%             | 2050-11-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION         | 30 YR SINGLE FAMILY MBS      | CUSIP: 3140XAEY4<br>LEI: 254900HROIFWPRGM1V77 | Long             | ABS-MBS          | USGSE             | US        |  12305910 | PA      | $10334371.53  | 0.17%             | 2051-01-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION         | 30 YR SINGLE FAMILY MBS      | CUSIP: 3140QGE94<br>LEI: 254900HROIFWPRGM1V77 | Long             | ABS-MBS          | USGSE             | US        |   6893533 | PA      | $5808269.06   | 0.10%             | 2050-12-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION         | 30 YR SINGLE FAMILY MBS      | CUSIP: 3140KEHY7<br>LEI: 254900HROIFWPRGM1V77 | Long             | ABS-MBS          | USGSE             | US        |   5894750 | PA      | $4996619.19   | 0.08%             | 2050-08-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION         | 30 YR SINGLE FAMILY MBS      | CUSIP: 3140LRB64<br>LEI: 254900HROIFWPRGM1V77 | Long             | ABS-MBS          | USGSE             | US        |  32685139 | PA      | $26691858.23  | 0.44%             | 2051-08-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION         | 30 YR SINGLE FAMILY MBS      | CUSIP: 3140XAYT3<br>LEI: 254900HROIFWPRGM1V77 | Long             | ABS-MBS          | USGSE             | US        |   5808999 | PA      | $5053008.36   | 0.08%             | 2050-09-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION         | 30 YR SINGLE FAMILY MBS      | CUSIP: 3140XCZ92<br>LEI: 254900HROIFWPRGM1V77 | Long             | ABS-MBS          | USGSE             | US        |  33346093 | PA      | $27329993.11  | 0.45%             | 2051-09-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION         | 30 YR SINGLE FAMILY MBS      | CUSIP: 3140XDPD2<br>LEI: 254900HROIFWPRGM1V77 | Long             | ABS-MBS          | USGSE             | US        |  47636333 | PA      | $40017768.97  | 0.66%             | 2051-10-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION         | 30 YR SINGLE FAMILY MBS      | CUSIP: 3140XDNF9<br>LEI: 254900HROIFWPRGM1V77 | Long             | ABS-MBS          | USGSE             | US        |  16331309 | PA      | $13829592.86  | 0.23%             | 2051-06-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION         | 30 YR SINGLE FAMILY MBS      | CUSIP: 3140XDWE2<br>LEI: 254900HROIFWPRGM1V77 | Long             | ABS-MBS          | USGSE             | US        |  11211887 | PA      | $9513283.82   | 0.16%             | 2051-07-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION         | 30 YR SINGLE FAMILY MBS      | CUSIP: 3140XB6S4<br>LEI: 254900HROIFWPRGM1V77 | Long             | ABS-MBS          | USGSE             | US        |  11070114 | PA      | $9399903.87   | 0.16%             | 2051-07-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION         | 30 YR SINGLE FAMILY MBS      | CUSIP: 3140QL3A2<br>LEI: 254900HROIFWPRGM1V77 | Long             | ABS-MBS          | USGSE             | US        |   5848990 | PA      | $5066780.16   | 0.08%             | 2051-09-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION         | 30 YR SINGLE FAMILY MBS      | CUSIP: 3140XD3U8<br>LEI: 254900HROIFWPRGM1V77 | Long             | ABS-MBS          | USGSE             | US        |  25710771 | PA      | $21752574.60  | 0.36%             | 2051-11-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION         | 30 YR SINGLE FAMILY MBS      | CUSIP: 3140MBCU4<br>LEI: 254900HROIFWPRGM1V77 | Long             | ABS-MBS          | USGSE             | US        |  12570988 | PA      | $10659319.99  | 0.18%             | 2052-01-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION         | 30 YR SINGLE FAMILY MBS      | CUSIP: 3140XFJA0<br>LEI: 254900HROIFWPRGM1V77 | Long             | ABS-MBS          | USGSE             | US        |  46275037 | PA      | $39307211.09  | 0.65%             | 2052-01-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION         | 30 YR SINGLE FAMILY MBS      | CUSIP: 3140XF4J7<br>LEI: 254900HROIFWPRGM1V77 | Long             | ABS-MBS          | USGSE             | US        |  25447854 | PA      | $22433519.22  | 0.37%             | 2052-03-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION         | 30 YR SINGLE FAMILY MBS      | CUSIP: 3140MGDV0<br>LEI: 254900HROIFWPRGM1V77 | Long             | ABS-MBS          | USGSE             | US        |  13537280 | PA      | $12027355.60  | 0.20%             | 2052-02-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corporation        | 30 YR SINGLE FAMILY MBS      | CUSIP: 3133B5KV3<br>LEI: 254900HROIFWPRGM1V77 | Long             | ABS-MBS          | USGSE             | US        |  13429427 | PA      | $11931632.55  | 0.20%             | 2052-02-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION         | 30 YR SINGLE FAMILY MBS      | CUSIP: 3140MHTJ8<br>LEI: 254900HROIFWPRGM1V77 | Long             | ABS-MBS          | USGSE             | US        |  11713154 | PA      | $10396561.90  | 0.17%             | 2052-03-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corporation        | 30 YR SINGLE FAMILY MBS      | CUSIP: 3133KNJ79<br>LEI: 254900HROIFWPRGM1V77 | Long             | ABS-MBS          | USGSE             | US        |  40231566 | PA      | $35710802.76  | 0.59%             | 2052-01-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION         | 30 YR SINGLE FAMILY MBS      | CUSIP: 3140XFH61<br>LEI: 254900HROIFWPRGM1V77 | Long             | ABS-MBS          | USGSE             | US        |  22823870 | PA      | $20665804.80  | 0.34%             | 2052-01-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION         | 30 YR SINGLE FAMILY MBS      | CUSIP: 3140XHL54<br>LEI: 254900HROIFWPRGM1V77 | Long             | ABS-MBS          | USGSE             | US        |  34000187 | PA      | $32357106.18  | 0.54%             | 2052-06-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION         | 30 YR SINGLE FAMILY MBS      | CUSIP: 3140MWHJ8<br>LEI: 254900HROIFWPRGM1V77 | Long             | ABS-MBS          | USGSE             | US        |  11810157 | PA      | $11342113.16  | 0.19%             | 2052-07-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION         | 30 YR SINGLE FAMILY MBS      | CUSIP: 3140MUW63<br>LEI: 254900HROIFWPRGM1V77 | Long             | ABS-MBS          | USGSE             | US        |  12130420 | PA      | $11649680.03  | 0.19%             | 2052-07-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION         | 30 YR SINGLE FAMILY MBS      | CUSIP: 3140MSUC7<br>LEI: 254900HROIFWPRGM1V77 | Long             | ABS-MBS          | USGSE             | US        |  16993710 | PA      | $16311219.85  | 0.27%             | 2052-06-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION         | 30 YR SINGLE FAMILY MBS      | CUSIP: 3140MSU86<br>LEI: 254900HROIFWPRGM1V77 | Long             | ABS-MBS          | USGSE             | US        |  28057876 | PA      | $27193880.96  | 0.45%             | 2052-07-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION         | 30 YR SINGLE FAMILY MBS      | CUSIP: 3140XHVJ3<br>LEI: 254900HROIFWPRGM1V77 | Long             | ABS-MBS          | USGSE             | US        |  21512905 | PA      | $20719478.85  | 0.34%             | 2052-08-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION         | 30 YR SINGLE FAMILY MBS      | CUSIP: 3140MRAX5<br>LEI: 254900HROIFWPRGM1V77 | Long             | ABS-MBS          | USGSE             | US        |  16654455 | PA      | $15871589.15  | 0.26%             | 2052-07-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION         | 30 YR SINGLE FAMILY MBS      | CUSIP: 3140MXZY3<br>LEI: 254900HROIFWPRGM1V77 | Long             | ABS-MBS          | USGSE             | US        |  26528855 | PA      | $25788490.69  | 0.43%             | 2052-07-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corporation        | 30 YR SINGLE FAMILY MBS      | CUSIP: 3132DNYG2<br>LEI: 254900HROIFWPRGM1V77 | Long             | ABS-MBS          | USGSE             | US        |  19832800 | PA      | $19629355.77  | 0.33%             | 2052-10-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION         | 30 YR SINGLE FAMILY MBS      | CUSIP: 3140XJBV4<br>LEI: 254900HROIFWPRGM1V77 | Long             | ABS-MBS          | USGSE             | US        |  23605034 | PA      | $23588106.05  | 0.39%             | 2052-09-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corporation        | 30 YR SINGLE FAMILY MBS      | CUSIP: 3132DN3T8<br>LEI: 254900HROIFWPRGM1V77 | Long             | ABS-MBS          | USGSE             | US        |  17597533 | PA      | $17588221.79  | 0.29%             | 2052-10-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION         | 30 YR SINGLE FAMILY MBS      | CUSIP: 3140N5Z49<br>LEI: 254900HROIFWPRGM1V77 | Long             | ABS-MBS          | USGSE             | US        |  19459621 | PA      | $19238956.45  | 0.32%             | 2052-10-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corporation        | 30 YR SINGLE FAMILY MBS      | CUSIP: 3133BKB99<br>LEI: 254900HROIFWPRGM1V77 | Long             | ABS-MBS          | USGSE             | US        |  18162408 | PA      | $17971186.51  | 0.30%             | 2052-08-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION      | 30 YR SINGLE FAMILY MBS      | CUSIP: 36202CCG6<br>LEI: 254900HROIFWPRGM1V77 | Long             | ABS-MBS          | USGA              | US        |       955 | PA      | $970.70       | 0.00%             | 2024-09-20      | Fixed         | 9.00%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION      | 30 YR SINGLE FAMILY MBS      | CUSIP: 36202CG72<br>LEI: 254900HROIFWPRGM1V77 | Long             | ABS-MBS          | USGA              | US        |       838 | PA      | $859.27       | 0.00%             | 2025-06-20      | Fixed         | 9.00%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION      | 30 YR SINGLE FAMILY MBS      | CUSIP: 36202CLU5<br>LEI: 254900HROIFWPRGM1V77 | Long             | ABS-MBS          | USGA              | US        |      1048 | PA      | $1067.01      | 0.00%             | 2025-12-20      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION      | 30 YR SINGLE FAMILY MBS      | CUSIP: 36202CK77<br>LEI: 254900HROIFWPRGM1V77 | Long             | ABS-MBS          | USGA              | US        |      5569 | PA      | $5665.47      | 0.00%             | 2025-11-20      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION      | 30 YR SINGLE FAMILY MBS      | CUSIP: 36202CNT6<br>LEI: 254900HROIFWPRGM1V77 | Long             | ABS-MBS          | USGA              | US        |     11153 | PA      | $11379.51     | 0.00%             | 2026-04-20      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION      | 30 YR SINGLE FAMILY MBS      | CUSIP: 36206JAS3<br>LEI: 254900HROIFWPRGM1V77 | Long             | ABS-MBS          | USGA              | US        |     10089 | PA      | $10402.07     | 0.00%             | 2027-09-15      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION      | 30 YR SINGLE FAMILY MBS      | CUSIP: 36208HST4<br>LEI: 254900HROIFWPRGM1V77 | Long             | ABS-MBS          | USGA              | US        |     47365 | PA      | $48844.15     | 0.00%             | 2027-11-15      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION      | 30 YR SINGLE FAMILY MBS      | CUSIP: 36206EDP7<br>LEI: 254900HROIFWPRGM1V77 | Long             | ABS-MBS          | USGA              | US        |     11082 | PA      | $11288.02     | 0.00%             | 2025-10-15      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION      | 30 YR SINGLE FAMILY MBS      | CUSIP: 36207NEN0<br>LEI: 254900HROIFWPRGM1V77 | Long             | ABS-MBS          | USGA              | US        |     21346 | PA      | $21857.27     | 0.00%             | 2027-01-15      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION      | 30 YR SINGLE FAMILY MBS      | CUSIP: 36207UTB4<br>LEI: 254900HROIFWPRGM1V77 | Long             | ABS-MBS          | USGA              | US        |      6131 | PA      | $6287.37      | 0.00%             | 2027-05-15      | Fixed         | 8.00%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION      | 30 YR SINGLE FAMILY MBS      | CUSIP: 36208UYA9<br>LEI: 254900HROIFWPRGM1V77 | Long             | ABS-MBS          | USGA              | US        |     12927 | PA      | $13281.21     | 0.00%             | 2027-12-15      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION      | 30 YR SINGLE FAMILY MBS      | CUSIP: 36206DST5<br>LEI: 254900HROIFWPRGM1V77 | Long             | ABS-MBS          | USGA              | US        |      1883 | PA      | $1932.07      | 0.00%             | 2026-06-15      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION      | 30 YR SINGLE FAMILY MBS      | CUSIP: 36207FFF3<br>LEI: 254900HROIFWPRGM1V77 | Long             | ABS-MBS          | USGA              | US        |      1680 | PA      | $1721.01      | 0.00%             | 2026-10-15      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION      | 30 YR SINGLE FAMILY MBS      | CUSIP: 36207UJ74<br>LEI: 254900HROIFWPRGM1V77 | Long             | ABS-MBS          | USGA              | US        |       941 | PA      | $950.98       | 0.00%             | 2027-01-15      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION      | 30 YR SINGLE FAMILY MBS      | CUSIP: 36206AM42<br>LEI: 254900HROIFWPRGM1V77 | Long             | ABS-MBS          | USGA              | US        |      4075 | PA      | $4137.44      | 0.00%             | 2025-08-15      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION      | 30 YR SINGLE FAMILY MBS      | CUSIP: 36207MRY4<br>LEI: 254900HROIFWPRGM1V77 | Long             | ABS-MBS          | USGA              | US        |      4008 | PA      | $4117.89      | 0.00%             | 2028-02-15      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION      | 30 YR SINGLE FAMILY MBS      | CUSIP: 36225ART9<br>LEI: 254900HROIFWPRGM1V77 | Long             | ABS-MBS          | USGA              | US        |      9742 | PA      | $9940.85      | 0.00%             | 2027-01-15      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION      | 30 YR SINGLE FAMILY MBS      | CUSIP: 36209HMN2<br>LEI: 254900HROIFWPRGM1V77 | Long             | ABS-MBS          | USGA              | US        |     34775 | PA      | $36163.50     | 0.00%             | 2028-03-15      | Fixed         | 8.00%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION      | 30 YR SINGLE FAMILY MBS      | CUSIP: 36208PNU8<br>LEI: 254900HROIFWPRGM1V77 | Long             | ABS-MBS          | USGA              | US        |      2724 | PA      | $2822.04      | 0.00%             | 2028-04-15      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION      | 30 YR SINGLE FAMILY MBS      | CUSIP: 36209AR77<br>LEI: 254900HROIFWPRGM1V77 | Long             | ABS-MBS          | USGA              | US        |      4481 | PA      | $4649.51      | 0.00%             | 2028-02-15      | Fixed         | 8.00%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION      | 30 YR SINGLE FAMILY MBS      | CUSIP: 36208VYG4<br>LEI: 254900HROIFWPRGM1V77 | Long             | ABS-MBS          | USGA              | US        |       980 | PA      | $989.97       | 0.00%             | 2028-02-15      | Fixed         | 8.00%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION      | 30 YR SINGLE FAMILY MBS      | CUSIP: 36208VS22<br>LEI: 254900HROIFWPRGM1V77 | Long             | ABS-MBS          | USGA              | US        |     12955 | PA      | $13505.24     | 0.00%             | 2028-04-15      | Fixed         | 8.00%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION      | 30 YR SINGLE FAMILY MBS      | CUSIP: 36207MT48<br>LEI: 254900HROIFWPRGM1V77 | Long             | ABS-MBS          | USGA              | US        |      3604 | PA      | $3760.64      | 0.00%             | 2028-03-15      | Fixed         | 8.00%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION      | 30 YR SINGLE FAMILY MBS      | CUSIP: 36208VSH9<br>LEI: 254900HROIFWPRGM1V77 | Long             | ABS-MBS          | USGA              | US        |     14306 | PA      | $14928.45     | 0.00%             | 2028-03-15      | Fixed         | 8.00%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION      | 30 YR SINGLE FAMILY MBS      | CUSIP: 36208WM59<br>LEI: 254900HROIFWPRGM1V77 | Long             | ABS-MBS          | USGA              | US        |      2017 | PA      | $2031.00      | 0.00%             | 2028-01-15      | Fixed         | 8.00%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION      | 30 YR SINGLE FAMILY MBS      | CUSIP: 36209NFE7<br>LEI: 254900HROIFWPRGM1V77 | Long             | ABS-MBS          | USGA              | US        |     13427 | PA      | $13733.90     | 0.00%             | 2028-06-15      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION      | 30 YR SINGLE FAMILY MBS      | CUSIP: 36208PT81<br>LEI: 254900HROIFWPRGM1V77 | Long             | ABS-MBS          | USGA              | US        |     31784 | PA      | $32688.26     | 0.00%             | 2028-06-15      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION      | 30 YR SINGLE FAMILY MBS      | CUSIP: 36209STU5<br>LEI: 254900HROIFWPRGM1V77 | Long             | ABS-MBS          | USGA              | US        |      2256 | PA      | $2301.33      | 0.00%             | 2028-06-15      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION      | 30 YR SINGLE FAMILY MBS      | CUSIP: 36209HJ55<br>LEI: 254900HROIFWPRGM1V77 | Long             | ABS-MBS          | USGA              | US        |     33975 | PA      | $34866.18     | 0.00%             | 2028-07-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION      | 30 YR SINGLE FAMILY MBS      | CUSIP: 36202C4Q3<br>LEI: 254900HROIFWPRGM1V77 | Long             | ABS-MBS          | USGA              | US        |       817 | PA      | $840.65       | 0.00%             | 2028-08-20      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION      | 30 YR SINGLE FAMILY MBS      | CUSIP: 36209JJ69<br>LEI: 254900HROIFWPRGM1V77 | Long             | ABS-MBS          | USGA              | US        |     24818 | PA      | $25543.06     | 0.00%             | 2028-08-15      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION      | 30 YR SINGLE FAMILY MBS      | CUSIP: 36208CFF9<br>LEI: 254900HROIFWPRGM1V77 | Long             | ABS-MBS          | USGA              | US        |     31050 | PA      | $31775.95     | 0.00%             | 2028-08-15      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION      | 30 YR SINGLE FAMILY MBS      | CUSIP: 36207SQY2<br>LEI: 254900HROIFWPRGM1V77 | Long             | ABS-MBS          | USGA              | US        |     13599 | PA      | $13903.42     | 0.00%             | 2027-07-15      | Fixed         | 8.00%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION      | 30 YR SINGLE FAMILY MBS      | CUSIP: 36203K7A6<br>LEI: 254900HROIFWPRGM1V77 | Long             | ABS-MBS          | USGA              | US        |     23074 | PA      | $23407.38     | 0.00%             | 2024-08-15      | Fixed         | 8.50%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION      | 30 YR SINGLE FAMILY MBS      | CUSIP: 36209RLJ0<br>LEI: 254900HROIFWPRGM1V77 | Long             | ABS-MBS          | USGA              | US        |      8131 | PA      | $8590.67      | 0.00%             | 2030-03-15      | Fixed         | 8.00%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION      | 30 YR SINGLE FAMILY MBS      | CUSIP: 36208EXT5<br>LEI: 254900HROIFWPRGM1V77 | Long             | ABS-MBS          | USGA              | US        |     16819 | PA      | $17555.16     | 0.00%             | 2027-08-15      | Fixed         | 8.50%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION      | 30 YR SINGLE FAMILY MBS      | CUSIP: 36208HMM5<br>LEI: 254900HROIFWPRGM1V77 | Long             | ABS-MBS          | USGA              | US        |       525 | PA      | $545.88       | 0.00%             | 2027-08-15      | Fixed         | 8.50%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION      | 30 YR SINGLE FAMILY MBS      | CUSIP: 36212AXC4<br>LEI: 254900HROIFWPRGM1V77 | Long             | ABS-MBS          | USGA              | US        |     27976 | PA      | $29127.70     | 0.00%             | 2030-03-15      | Fixed         | 8.00%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION      | 30 YR SINGLE FAMILY MBS      | CUSIP: 36207FD40<br>LEI: 254900HROIFWPRGM1V77 | Long             | ABS-MBS          | USGA              | US        |      4863 | PA      | $4989.28      | 0.00%             | 2026-09-15      | Fixed         | 8.00%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION      | 30 YR SINGLE FAMILY MBS      | CUSIP: 36225A7H7<br>LEI: 254900HROIFWPRGM1V77 | Long             | ABS-MBS          | USGA              | US        |      9234 | PA      | $9477.90      | 0.00%             | 2028-11-15      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION      | 30 YR SINGLE FAMILY MBS      | CUSIP: 36208YLW7<br>LEI: 254900HROIFWPRGM1V77 | Long             | ABS-MBS          | USGA              | US        |     52856 | PA      | $54285.08     | 0.00%             | 2028-09-15      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION      | 30 YR SINGLE FAMILY MBS      | CUSIP: 36208DB46<br>LEI: 254900HROIFWPRGM1V77 | Long             | ABS-MBS          | USGA              | US        |     11107 | PA      | $11316.06     | 0.00%             | 2027-03-15      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION      | 30 YR SINGLE FAMILY MBS      | CUSIP: 36207BBG4<br>LEI: 254900HROIFWPRGM1V77 | Long             | ABS-MBS          | USGA              | US        |     89777 | PA      | $92913.71     | 0.00%             | 2029-06-15      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION      | 30 YR SINGLE FAMILY MBS      | CUSIP: 36225BHF8<br>LEI: 254900HROIFWPRGM1V77 | Long             | ABS-MBS          | USGA              | US        |     48738 | PA      | $50271.73     | 0.00%             | 2030-01-15      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION      | 30 YR SINGLE FAMILY MBS      | CUSIP: 36225BKT4<br>LEI: 254900HROIFWPRGM1V77 | Long             | ABS-MBS          | USGA              | US        |      4281 | PA      | $4434.89      | 0.00%             | 2030-08-15      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION      | 30 YR SINGLE FAMILY MBS      | CUSIP: 36225BKC1<br>LEI: 254900HROIFWPRGM1V77 | Long             | ABS-MBS          | USGA              | US        |     10024 | PA      | $10374.26     | 0.00%             | 2030-06-15      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION      | 30 YR SINGLE FAMILY MBS      | CUSIP: 36211FQZ1<br>LEI: 254900HROIFWPRGM1V77 | Long             | ABS-MBS          | USGA              | US        |      2330 | PA      | $2402.73      | 0.00%             | 2030-11-15      | Fixed         | 8.00%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION      | 30 YR SINGLE FAMILY MBS      | CUSIP: 36200KKH9<br>LEI: 254900HROIFWPRGM1V77 | Long             | ABS-MBS          | USGA              | US        |     59003 | PA      | $59933.19     | 0.00%             | 2033-01-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION      | 30 YR SINGLE FAMILY MBS      | CUSIP: 36212M7L7<br>LEI: 254900HROIFWPRGM1V77 | Long             | ABS-MBS          | USGA              | US        |     47098 | PA      | $48041.73     | 0.00%             | 2032-01-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION      | 30 YR SINGLE FAMILY MBS      | CUSIP: 36202SWK0<br>LEI: 254900HROIFWPRGM1V77 | Long             | ABS-MBS          | USGA              | US        |    422192 | PA      | $429222.41    | 0.01%             | 2033-08-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION      | 30 YR SINGLE FAMILY MBS      | CUSIP: 36200MN33<br>LEI: 254900HROIFWPRGM1V77 | Long             | ABS-MBS          | USGA              | US        |     45559 | PA      | $46675.90     | 0.00%             | 2033-06-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION      | 30 YR SINGLE FAMILY MBS      | CUSIP: 36200MNC3<br>LEI: 254900HROIFWPRGM1V77 | Long             | ABS-MBS          | USGA              | US        |     29352 | PA      | $30042.83     | 0.00%             | 2033-06-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION      | 30 YR SINGLE FAMILY MBS      | CUSIP: 36200MHU0<br>LEI: 254900HROIFWPRGM1V77 | Long             | ABS-MBS          | USGA              | US        |      9197 | PA      | $9446.44      | 0.00%             | 2033-04-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION      | 30 YR SINGLE FAMILY MBS      | CUSIP: 36201F6T9<br>LEI: 254900HROIFWPRGM1V77 | Long             | ABS-MBS          | USGA              | US        |     55843 | PA      | $57301.88     | 0.00%             | 2032-11-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION      | 30 YR SINGLE FAMILY MBS      | CUSIP: 36295LKA8<br>LEI: 254900HROIFWPRGM1V77 | Long             | ABS-MBS          | USGA              | US        |     52137 | PA      | $54722.25     | 0.00%             | 2037-08-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION      | 30 YR SINGLE FAMILY MBS      | CUSIP: 36294RB73<br>LEI: 254900HROIFWPRGM1V77 | Long             | ABS-MBS          | USGA              | US        |    351432 | PA      | $367890.64    | 0.01%             | 2037-07-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION      | 30 YR SINGLE FAMILY MBS      | CUSIP: 36295FKM5<br>LEI: 254900HROIFWPRGM1V77 | Long             | ABS-MBS          | USGA              | US        |    132511 | PA      | $136503.14    | 0.00%             | 2037-06-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION      | 30 YR SINGLE FAMILY MBS      | CUSIP: 36241KLQ9<br>LEI: 254900HROIFWPRGM1V77 | Long             | ABS-MBS          | USGA              | US        |    177549 | PA      | $182663.02    | 0.00%             | 2037-01-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION      | 30 YR SINGLE FAMILY MBS      | CUSIP: 36294SKJ5<br>LEI: 254900HROIFWPRGM1V77 | Long             | ABS-MBS          | USGA              | US        |     39636 | PA      | $40846.84     | 0.00%             | 2037-02-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION      | 30 YR SINGLE FAMILY MBS      | CUSIP: 3620AECZ1<br>LEI: 254900HROIFWPRGM1V77 | Long             | ABS-MBS          | USGA              | US        |    313093 | PA      | $298681.96    | 0.00%             | 2040-02-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION      | 30 YR SINGLE FAMILY MBS      | CUSIP: 3620C0YW2<br>LEI: 254900HROIFWPRGM1V77 | Long             | ABS-MBS          | USGA              | US        |    492215 | PA      | $469154.49    | 0.01%             | 2040-06-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION      | 30 YR SINGLE FAMILY MBS      | CUSIP: 3620C0YX0<br>LEI: 254900HROIFWPRGM1V77 | Long             | ABS-MBS          | USGA              | US        |    301742 | PA      | $287903.56    | 0.00%             | 2040-06-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION      | 30 YR SINGLE FAMILY MBS      | CUSIP: 3620A7ZP3<br>LEI: 254900HROIFWPRGM1V77 | Long             | ABS-MBS          | USGA              | US        |    533793 | PA      | $517897.57    | 0.01%             | 2040-08-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION         | 30 YR SINGLE FAMILY MBS      | CUSIP: 31380RFX8<br>LEI: 254900HROIFWPRGM1V77 | Long             | ABS-MBS          | USGSE             | US        |     41772 | PA      | $42453.82     | 0.00%             | 2028-10-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION         | 30 YR SINGLE FAMILY MBS      | CUSIP: 31371HX86<br>LEI: 254900HROIFWPRGM1V77 | Long             | ABS-MBS          | USGSE             | US        |       605 | PA      | $617.66       | 0.00%             | 2029-09-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION         | 30 YR SINGLE FAMILY MBS      | CUSIP: 31383R6Y3<br>LEI: 254900HROIFWPRGM1V77 | Long             | ABS-MBS          | USGSE             | US        |     54352 | PA      | $56122.77     | 0.00%             | 2029-09-01      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION         | 30 YR SINGLE FAMILY MBS      | CUSIP: 31371JL36<br>LEI: 254900HROIFWPRGM1V77 | Long             | ABS-MBS          | USGSE             | US        |       119 | PA      | $126.25       | 0.00%             | 2030-06-01      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION         | 30 YR SINGLE FAMILY MBS      | CUSIP: 31383WPF2<br>LEI: 254900HROIFWPRGM1V77 | Long             | ABS-MBS          | USGSE             | US        |     32429 | PA      | $34068.96     | 0.00%             | 2030-08-01      | Fixed         | 8.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION         | 30 YR SINGLE FAMILY MBS      | CUSIP: 31371J2F0<br>LEI: 254900HROIFWPRGM1V77 | Long             | ABS-MBS          | USGSE             | US        |        75 | PA      | $77.00        | 0.00%             | 2031-04-01      | Fixed         | 8.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION         | 30 YR SINGLE FAMILY MBS      | CUSIP: 31389MUN5<br>LEI: 254900HROIFWPRGM1V77 | Long             | ABS-MBS          | USGSE             | US        |    118006 | PA      | $119072.75    | 0.00%             | 2032-09-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION         | 30 YR SINGLE FAMILY MBS      | CUSIP: 31391CVA0<br>LEI: 254900HROIFWPRGM1V77 | Long             | ABS-MBS          | USGSE             | US        |     35606 | PA      | $35400.64     | 0.00%             | 2033-02-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| UBS-Barclays Commercial Mortgage Trust        | AAA PRIVATE-LABEL CMBS       | CUSIP: 90270YBF5<br>LEI: 549300G1IXWLFE766Q13 | Long             | ABS-MBS          |  | US        |     45983 | PA      | $44203.72     | 0.00%             | 2046-03-10      | Fixed         | 3.18%                 | No            |                  2 | On Loan: No      |
| COMM 2013-CCRE11 Mortgage Trust               | AAA PRIVATE-LABEL CMBS       | CUSIP: 12630DAY0<br>LEI: 549300BCCWSDWINK2593 | Long             | ABS-MBS          |  | US        |   7139617 | PA      | $6832645.40   | 0.11%             | 2047-02-10      | Fixed         | 4.24%                 | No            |                  2 | On Loan: No      |
| COMM 2014-UBS2 Mortgage Trust                 | AAA PRIVATE-LABEL CMBS       | CUSIP: 12591UAF0<br>LEI: 5493004GWEVMOU8S3L34 | Long             | ABS-MBS          |  | US        |   5100716 | PA      | $4837393.00   | 0.08%             | 2047-03-10      | Fixed         | 3.96%                 | No            |                  2 | On Loan: No      |
| COMM 2014-LC15 Mortgage Trust                 | AAA PRIVATE-LABEL CMBS       | CUSIP: 12591TAE6<br>LEI: 5493004GWEVMOU8S3L34 | Long             | ABS-MBS          |  | US        |  20404941 | PA      | $19479610.00  | 0.32%             | 2047-04-10      | Fixed         | 4.01%                 | No            |                  2 | On Loan: No      |
| JPMBB Commercial Mortgage Securities Trust    | AAA PRIVATE-LABEL CMBS       | CUSIP: 46641WAV9<br>LEI: 549300UOGMFS1M8XVM16 | Long             | ABS-MBS          |  | US        |   5101168 | PA      | $4842279.50   | 0.08%             | 2047-04-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Wells Fargo Commercial Mortgage Trust         | AAA PRIVATE-LABEL CMBS       | CUSIP: 94988XAU0<br>LEI: 549300PX4QZK7CUM8D08 | Long             | ABS-MBS          |  | US        |   5107269 | PA      | $4843044.00   | 0.08%             | 2050-08-15      | Fixed         | 3.82%                 | No            |                  2 | On Loan: No      |
| JPMBB Commercial Mortgage Securities Trust    | AAA PRIVATE-LABEL CMBS       | CUSIP: 46642CBJ8<br>LEI: 549300UOGMFS1M8XVM16 | Long             | ABS-MBS          |  | US        |   2295295 | PA      | $2195451.68   | 0.04%             | 2047-07-15      | Fixed         | 3.80%                 | No            |                  2 | On Loan: No      |
| JPMBB Commercial Mortgage Securities Trust    | AAA PRIVATE-LABEL CMBS       | CUSIP: 46641JAW6<br>LEI: 549300UOGMFS1M8XVM16 | Long             | ABS-MBS          |  | US        |   7090501 | PA      | $6618577.19   | 0.11%             | 2047-02-15      | Fixed         | 4.08%                 | No            |                  2 | On Loan: No      |
| Citigroup Commercial Mortgage Securities      | AAA PRIVATE-LABEL CMBS       | CUSIP: 17322VAT3<br>LEI: IQJMB5BZ5ZI2PIKBXP78 | Long             | ABS-MBS          |  | US        |   8160533 | PA      | $7730140.80   | 0.13%             | 2047-07-10      | Fixed         | 3.62%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION      | MULTIFAMILY CONSTRUCTION MBS | CUSIP: 3617QLXM0<br>LEI: 254900HROIFWPRGM1V77 | Long             | ABS-MBS          | USGA              | US        |  16457503 | PA      | $12982924.71  | 0.22%             | 2062-04-15      | Fixed         | 2.45%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION      | MULTIFAMILY CONSTRUCTION MBS | CUSIP: 3617U7V89<br>LEI: 254900HROIFWPRGM1V77 | Long             | ABS-MBS          | USGA              | US        |   2245825 | PA      | $-8276505.52  | -0.14%            | 2064-08-15      | Floating      | 2.59%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION      | MULTIFAMILY CONSTRUCTION MBS | CUSIP: 3617VDU29<br>LEI: 254900HROIFWPRGM1V77 | Long             | ABS-MBS          | USGA              | US        |  13748315 | PA      | $10716790.00  | 0.18%             | 2063-02-15      | Fixed         | 2.62%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION      | MULTIFAMILY CONSTRUCTION MBS | CUSIP: 3617VBMY2<br>LEI: 254900HROIFWPRGM1V77 | Long             | ABS-MBS          | USGA              | US        |  24896109 | PA      | $18639148.00  | 0.31%             | 2063-05-15      | Fixed         | 2.58%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION      | MULTIFAMILY CONSTRUCTION MBS | CUSIP: 3617V84Y9<br>LEI: 254900HROIFWPRGM1V77 | Long             | ABS-MBS          | USGA              | US        |  12917207 | PA      | $219219.87    | 0.00%             | 2063-12-15      | Fixed         | 3.05%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION      | MULTIFAMILY CONSTRUCTION MBS | CUSIP: 3617V3VL8<br>LEI: 254900HROIFWPRGM1V77 | Long             | ABS-MBS          | USGA              | US        |  30204426 | PA      | $23755723.35  | 0.39%             | 2063-06-15      | Fixed         | 2.98%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION      | MULTIFAMILY CONSTRUCTION MBS | CUSIP: 3617VPHV3<br>LEI: 254900HROIFWPRGM1V77 | Long             | ABS-MBS          | USGA              | US        |  13198051 | PA      | $9522108.38   | 0.16%             | 2063-01-15      | Fixed         | 2.64%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION      | MULTIFAMILY CONSTRUCTION MBS | CUSIP: 3617W6VQ9<br>LEI: 254900HROIFWPRGM1V77 | Long             | ABS-MBS          | USGA              | US        |  19346236 | PA      | $14624213.39  | 0.24%             | 2063-04-15      | Fixed         | 2.75%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION      | MULTIFAMILY CONSTRUCTION MBS | CUSIP: 3617F2DL8<br>LEI: 254900HROIFWPRGM1V77 | Long             | ABS-MBS          | USGA              | US        |   9207108 | PA      | $-7608224.85  | -0.13%            | 2064-04-15      | Fixed         | 2.25%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION      | MULTIFAMILY CONSTRUCTION MBS | CUSIP: 3617XRBV3<br>LEI: 254900HROIFWPRGM1V77 | Long             | ABS-MBS          | USGA              | US        |   1545786 | PA      | $-3568061.59  | -0.06%            | 2064-01-15      | Fixed         | 3.24%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION      | MULTIFAMILY CONSTRUCTION MBS | CUSIP: 3617YPFY6<br>LEI: 254900HROIFWPRGM1V77 | Long             | ABS-MBS          | USGA              | US        |   1839533 | PA      | $251508.45    | 0.00%             | 2064-02-15      | Fixed         | 4.08%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION      | MULTIFAMILY CONSTRUCTION MBS | CUSIP: 3617XRB50<br>LEI: 254900HROIFWPRGM1V77 | Long             | ABS-MBS          | USGA              | US        |    195984 | PA      | $-1391537.54  | -0.02%            | 2063-11-15      | Fixed         | 3.69%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION      | MULTIFAMILY CONSTRUCTION MBS | CUSIP: 3617FTAZ1<br>LEI: 254900HROIFWPRGM1V77 | Long             | ABS-MBS          | USGA              | US        |   4477102 | PA      | $3950225.54   | 0.07%             | 2063-12-15      | Fixed         | 3.60%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION      | MULTIFAMILY CONSTRUCTION MBS | CUSIP: 3617YXCS5<br>LEI: 254900HROIFWPRGM1V77 | Long             | ABS-MBS          | USGA              | US        |   6176109 | PA      | $5420668.01   | 0.09%             | 2063-09-15      | Fixed         | 4.14%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION      | MULTIFAMILY CONSTRUCTION MBS | CUSIP: 3617FTA32<br>LEI: 254900HROIFWPRGM1V77 | Long             | ABS-MBS          | USGA              | US        |   5344677 | PA      | $4769786.93   | 0.08%             | 2064-01-15      | Fixed         | 3.75%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION      | MULTIFAMILY PERMANENT MBS    | CUSIP: 36181R5Z4<br>LEI: 254900HROIFWPRGM1V77 | Long             | ABS-MBS          | USGA              | US        |  30174459 | PA      | $30022150.25  | 0.50%             | 2038-09-15      | Fixed         | 4.25%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION      | MULTIFAMILY PERMANENT MBS    | CUSIP: N/A<br>LEI: 254900HROIFWPRGM1V77       | Long             | ABS-MBS          | USGA              | US        |  16035638 | PA      | $16027504.84  | 0.27%             | 2037-04-20      | Fixed         | 5.25%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION      | MULTIFAMILY PERMANENT MBS    | CUSIP: 36184QBX1<br>LEI: 254900HROIFWPRGM1V77 | Long             | ABS-MBS          | USGA              | US        |   2366379 | PA      | $2433933.62   | 0.04%             | 2055-06-15      | Fixed         | 4.45%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION      | MULTIFAMILY PERMANENT MBS    | CUSIP: 36193CAA2<br>LEI: 254900HROIFWPRGM1V77 | Long             | ABS-MBS          | USGA              | US        |   4037633 | PA      | $3614780.29   | 0.06%             | 2051-05-15      | Fixed         | 4.10%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION      | MULTIFAMILY PERMANENT MBS    | CUSIP: 3617A45T1<br>LEI: 254900HROIFWPRGM1V77 | Long             | ABS-MBS          | USGA              | US        |  13335702 | PA      | $12149648.15  | 0.20%             | 2035-11-15      | Fixed         | 3.67%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION      | MULTIFAMILY PERMANENT MBS    | CUSIP: 36180CVN6<br>LEI: 254900HROIFWPRGM1V77 | Long             | ABS-MBS          | USGA              | US        |  41522816 | PA      | $37209232.46  | 0.62%             | 2039-08-15      | Fixed         | 3.92%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION      | MULTIFAMILY PERMANENT MBS    | CUSIP: 36193DFR8<br>LEI: 254900HROIFWPRGM1V77 | Long             | ABS-MBS          | USGA              | US        |  28496793 | PA      | $26117237.96  | 0.43%             | 2057-12-15      | Fixed         | 3.62%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION      | MULTIFAMILY PERMANENT MBS    | CUSIP: 36186PSX3<br>LEI: 254900HROIFWPRGM1V77 | Long             | ABS-MBS          | USGA              | US        |  13837563 | PA      | $12526689.68  | 0.21%             | 2057-06-15      | Fixed         | 3.60%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION      | MULTIFAMILY PERMANENT MBS    | CUSIP: 36189YXT4<br>LEI: 254900HROIFWPRGM1V77 | Long             | ABS-MBS          | USGA              | US        |  16006203 | PA      | $14625051.72  | 0.24%             | 2042-04-15      | Fixed         | 3.53%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION      | MULTIFAMILY PERMANENT MBS    | CUSIP: 36197CYB0<br>LEI: 254900HROIFWPRGM1V77 | Long             | ABS-MBS          | USGA              | US        |  58401558 | PA      | $52910469.44  | 0.88%             | 2060-01-15      | Fixed         | 3.38%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION      | MULTIFAMILY PERMANENT MBS    | CUSIP: 36196BLS0<br>LEI: 254900HROIFWPRGM1V77 | Long             | ABS-MBS          | USGA              | US        |  10242039 | PA      | $9442980.06   | 0.16%             | 2058-10-15      | Fixed         | 3.65%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION      | MULTIFAMILY PERMANENT MBS    | CUSIP: 3617MRWR1<br>LEI: 254900HROIFWPRGM1V77 | Long             | ABS-MBS          | USGA              | US        |  31930236 | PA      | $26479211.07  | 0.44%             | 2056-01-15      | Fixed         | 3.03%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION      | MULTIFAMILY PERMANENT MBS    | CUSIP: 3617G0RF9<br>LEI: 254900HROIFWPRGM1V77 | Long             | ABS-MBS          | USGA              | US        |  15639534 | PA      | $14189331.84  | 0.24%             | 2059-08-15      | Fixed         | 3.74%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION      | MULTIFAMILY PERMANENT MBS    | CUSIP: 3617G0QU7<br>LEI: 254900HROIFWPRGM1V77 | Long             | ABS-MBS          | USGA              | US        |  17068756 | PA      | $15012066.17  | 0.25%             | 2059-09-15      | Fixed         | 3.34%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION      | MULTIFAMILY PERMANENT MBS    | CUSIP: 3617ATJK0<br>LEI: 254900HROIFWPRGM1V77 | Long             | ABS-MBS          | USGA              | US        |  14265968 | PA      | $12633017.19  | 0.21%             | 2059-02-15      | Fixed         | 3.39%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION      | MULTIFAMILY PERMANENT MBS    | CUSIP: 3617MRW26<br>LEI: 254900HROIFWPRGM1V77 | Long             | ABS-MBS          | USGA              | US        |  28245672 | PA      | $21945954.91  | 0.36%             | 2060-09-15      | Fixed         | 2.32%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION      | MULTIFAMILY PERMANENT MBS    | CUSIP: 3617QRG87<br>LEI: 254900HROIFWPRGM1V77 | Long             | ABS-MBS          | USGA              | US        |  25685734 | PA      | $20059147.11  | 0.33%             | 2057-04-15      | Fixed         | 2.74%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION      | MULTIFAMILY PERMANENT MBS    | CUSIP: 3617QCSM6<br>LEI: 254900HROIFWPRGM1V77 | Long             | ABS-MBS          | USGA              | US        |  11521355 | PA      | $9015801.25   | 0.15%             | 2058-08-15      | Fixed         | 2.78%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION      | MULTIFAMILY PERMANENT MBS    | CUSIP: 3617HVYX3<br>LEI: 254900HROIFWPRGM1V77 | Long             | ABS-MBS          | USGA              | US        |   8212701 | PA      | $7215451.19   | 0.12%             | 2060-09-15      | Fixed         | 3.30%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION      | MULTIFAMILY PERMANENT MBS    | CUSIP: 3617GCDB7<br>LEI: 254900HROIFWPRGM1V77 | Long             | ABS-MBS          | USGA              | US        |  25423340 | PA      | $20438653.78  | 0.34%             | 2046-04-15      | Fixed         | 3.27%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION      | MULTIFAMILY PERMANENT MBS    | CUSIP: 3617URRH0<br>LEI: 254900HROIFWPRGM1V77 | Long             | ABS-MBS          | USGA              | US        |  37641212 | PA      | $30095437.94  | 0.50%             | 2059-08-15      | Fixed         | 3.17%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION      | MULTIFAMILY PERMANENT MBS    | CUSIP: 3617JMZP7<br>LEI: 254900HROIFWPRGM1V77 | Long             | ABS-MBS          | USGA              | US        |  11465490 | PA      | $10232872.02  | 0.17%             | 2060-11-15      | Fixed         | 3.75%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION      | MULTIFAMILY PERMANENT MBS    | CUSIP: 3617AU3D0<br>LEI: 254900HROIFWPRGM1V77 | Long             | ABS-MBS          | USGA              | US        |   7209878 | PA      | $6874341.93   | 0.11%             | 2061-01-15      | Fixed         | 4.53%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION      | MULTIFAMILY PERMANENT MBS    | CUSIP: 3617AU3F5<br>LEI: 254900HROIFWPRGM1V77 | Long             | ABS-MBS          | USGA              | US        |   7895067 | PA      | $7527695.95   | 0.12%             | 2061-01-15      | Fixed         | 4.53%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION      | MULTIFAMILY PERMANENT MBS    | CUSIP: 3617W6V97<br>LEI: 254900HROIFWPRGM1V77 | Long             | ABS-MBS          | USGA              | US        |  53867487 | PA      | $41392875.35  | 0.69%             | 2056-11-15      | Fixed         | 2.08%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION      | MULTIFAMILY PERMANENT MBS    | CUSIP: 3617W9QW6<br>LEI: 254900HROIFWPRGM1V77 | Long             | ABS-MBS          | USGA              | US        |  52568607 | PA      | $40583168.29  | 0.67%             | 2059-11-15      | Fixed         | 2.94%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION      | MULTIFAMILY PERMANENT MBS    | CUSIP: 3617XJD31<br>LEI: 254900HROIFWPRGM1V77 | Long             | ABS-MBS          | USGA              | US        |  56671659 | PA      | $46432020.79  | 0.77%             | 2061-05-15      | Fixed         | 3.36%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION      | MULTIFAMILY PERMANENT MBS    | CUSIP: 36197JZS7<br>LEI: 254900HROIFWPRGM1V77 | Long             | ABS-MBS          | USGA              | US        |  26404262 | PA      | $23141480.92  | 0.38%             | 2034-02-15      | Fixed         | 4.37%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION      | MULTIFAMILY PERMANENT MBS    | CUSIP: 3617JMZM4<br>LEI: 254900HROIFWPRGM1V77 | Long             | ABS-MBS          | USGA              | US        |  34621368 | PA      | $30015728.17  | 0.50%             | 2061-04-15      | Fixed         | 3.60%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION      | MULTIFAMILY PERMANENT MBS    | CUSIP: 3617H4UZ2<br>LEI: 254900HROIFWPRGM1V77 | Long             | ABS-MBS          | USGA              | US        |  39230919 | PA      | $36089302.60  | 0.60%             | 2060-08-15      | Fixed         | 3.78%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION      | MULTIFAMILY PERMANENT MBS    | CUSIP: 3617H3KC6<br>LEI: 254900HROIFWPRGM1V77 | Long             | ABS-MBS          | USGA              | US        |   2298356 | PA      | $2193077.91   | 0.04%             | 2060-12-15      | Fixed         | 4.35%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION      | MULTIFAMILY PERMANENT MBS    | CUSIP: 3617JMZW2<br>LEI: 254900HROIFWPRGM1V77 | Long             | ABS-MBS          | USGA              | US        |  43146291 | PA      | $37173137.59  | 0.62%             | 2061-09-15      | Fixed         | 3.41%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION      | MULTIFAMILY PERMANENT MBS    | CUSIP: 3618AGQ36<br>LEI: 254900HROIFWPRGM1V77 | Long             | ABS-MBS          | USGA              | US        |  25454826 | PA      | $23492229.87  | 0.39%             | 2057-11-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION      | MULTIFAMILY PERMANENT MBS    | CUSIP: 3617JMZU6<br>LEI: 254900HROIFWPRGM1V77 | Long             | ABS-MBS          | USGA              | US        |  53943370 | PA      | $46794599.79  | 0.78%             | 2061-11-15      | Fixed         | 3.43%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION      | MULTIFAMILY PERMANENT MBS    | CUSIP: 3617NM4P6<br>LEI: 254900HROIFWPRGM1V77 | Long             | ABS-MBS          | USGA              | US        |  35892199 | PA      | $29306768.77  | 0.49%             | 2062-03-15      | Fixed         | 2.67%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION      | MULTIFAMILY PERMANENT MBS    | CUSIP: 3617VBM55<br>LEI: 254900HROIFWPRGM1V77 | Long             | ABS-MBS          | USGA              | US        |   6634686 | PA      | $5514701.61   | 0.09%             | 2062-10-15      | Fixed         | 2.65%                 | No            |                  2 | On Loan: No      |
| City of Chicago                               | MULTIFAMILY REVENUE BONDS    | CUSIP: 167570PB0<br>LEI: T5UYO5SYLC8K73MJQX30 | Long             | ABS-MBS          | USGA              | US        |   1469487 | PA      | $1500621.15   | 0.02%             | 2037-09-20      | Fixed         | 4.63%                 | No            |                  2 | On Loan: No      |
| City of Chicago                               | MULTIFAMILY REVENUE BONDS    | CUSIP: 167570PC8<br>LEI: T5UYO5SYLC8K73MJQX30 | Long             | ABS-MBS          | USGA              | US        |    991905 | PA      | $1000229.30   | 0.02%             | 2044-03-20      | Fixed         | 4.90%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOUSING ADMINISTRATION                | MF PERMANENT RISK-SHARE PC   | CUSIP: N/A<br>LEI: N/A                        | Long             | ABS-MBS          | USGA              | US        |   2016172 | PA      | $2013043.76   | 0.03%             | 2038-06-01      | Fixed         | 5.60%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOUSING ADMINISTRATION                | MF PERMANENT RISK-SHARE PC   | CUSIP: N/A<br>LEI: N/A                        | Long             | ABS-MBS          | USGA              | US        |   1584351 | PA      | $1585202.09   | 0.03%             | 2044-05-01      | Fixed         | 5.87%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOUSING ADMINISTRATION                | MF PERMANENT RISK-SHARE PC   | CUSIP: N/A<br>LEI: N/A                        | Long             | ABS-MBS          | USGA              | US        |   3478248 | PA      | $3479563.25   | 0.06%             | 2046-08-01      | Fixed         | 6.40%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOUSING ADMINISTRATION                | MF PERMANENT RISK-SHARE PC   | CUSIP: N/A<br>LEI: N/A                        | Long             | ABS-MBS          | USGA              | US        |   6636394 | PA      | $6622072.54   | 0.11%             | 2047-03-01      | Fixed         | 5.35%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOUSING ADMINISTRATION                | MF PERMANENT RISK-SHARE PC   | CUSIP: N/A<br>LEI: N/A                        | Long             | ABS-MBS          | USGA              | US        |   3798271 | PA      | $3795546.11   | 0.06%             | 2038-04-01      | Fixed         | 5.89%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOUSING ADMINISTRATION                | MF PERMANENT RISK-SHARE PC   | CUSIP: N/A<br>LEI: N/A                        | Long             | ABS-MBS          | USGA              | US        |   3167817 | PA      | $3143036.86   | 0.05%             | 2050-01-01      | Fixed         | 6.60%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOUSING ADMINISTRATION                | MF PERMANENT RISK-SHARE PC   | CUSIP: N/A<br>LEI: N/A                        | Long             | ABS-MBS          | USGA              | US        |   1929304 | PA      | $1935338.36   | 0.03%             | 2053-01-01      | Fixed         | 5.80%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOUSING ADMINISTRATION                | MF PERMANENT RISK-SHARE PC   | CUSIP: N/A<br>LEI: N/A                        | Long             | ABS-MBS          | USGA              | US        |  59971536 | PA      | $55794570.07  | 0.93%             | 2053-12-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOUSING ADMINISTRATION                | MF PERMANENT RISK-SHARE PC   | CUSIP: N/A<br>LEI: N/A                        | Long             | ABS-MBS          | USGA              | US        |   7605650 | PA      | $7477745.25   | 0.12%             | 2037-12-01      | Fixed         | 3.65%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOUSING ADMINISTRATION                | MF PERMANENT RISK-SHARE PC   | CUSIP: N/A<br>LEI: N/A                        | Long             | ABS-MBS          | USGA              | US        |   7852014 | PA      | $7219761.18   | 0.12%             | 2050-02-01      | Fixed         | 5.17%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOUSING ADMINISTRATION                | MF PERMANENT RISK-SHARE PC   | CUSIP: N/A<br>LEI: N/A                        | Long             | ABS-MBS          | USGA              | US        |   4439931 | PA      | $3844200.74   | 0.06%             | 2062-02-15      | Fixed         | 3.72%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOUSING ADMINISTRATION                | MF PERMANENT RISK-SHARE PC   | CUSIP: N/A<br>LEI: N/A                        | Long             | ABS-MBS          | USGA              | US        |   3086617 | PA      | $2711884.94   | 0.05%             | 2062-03-15      | Fixed         | 3.90%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOUSING ADMINISTRATION                | MF PERMANENT RISK-SHARE PC   | CUSIP: N/A<br>LEI: N/A                        | Long             | ABS-MBS          | USGA              | US        |         0 | PA      | $-1399818.19  | -0.02%            | 2063-09-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOUSING ADMINISTRATION                | MF PERMANENT RISK-SHARE PC   | CUSIP: N/A<br>LEI: N/A                        | Long             | ABS-MBS          | USGA              | US        |  21546970 | PA      | $19247209.00  | 0.32%             | 2060-12-01      | Fixed         | 4.10%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION         | MULTIFAMILY PERMANENT MBS    | CUSIP: 31377LWH2<br>LEI: 254900HROIFWPRGM1V77 | Long             | ABS-MBS          | USGSE             | US        |     35469 | PA      | $35376.04     | 0.00%             | 2023-07-01      | Fixed         | 8.40%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION         | MULTIFAMILY PERMANENT MBS    | CUSIP: 31377TT48<br>LEI: 254900HROIFWPRGM1V77 | Long             | ABS-MBS          | USGSE             | US        |    214702 | PA      | $213791.80    | 0.00%             | 2029-01-01      | Fixed         | 5.96%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION         | MULTIFAMILY PERMANENT MBS    | CUSIP: 31413VYB7<br>LEI: 254900HROIFWPRGM1V77 | Long             | ABS-MBS          | USGSE             | US        |   3073911 | PA      | $3064382.34   | 0.05%             | 2023-01-01      | Fixed         | 6.15%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION         | MULTIFAMILY PERMANENT MBS    | CUSIP: 31381RK78<br>LEI: 254900HROIFWPRGM1V77 | Long             | ABS-MBS          | USGSE             | US        |   4269460 | PA      | $4276228.75   | 0.07%             | 2041-06-01      | Fixed         | 5.69%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION         | MULTIFAMILY PERMANENT MBS    | CUSIP: 31381RK86<br>LEI: 254900HROIFWPRGM1V77 | Long             | ABS-MBS          | USGSE             | US        |   2079496 | PA      | $2080287.19   | 0.03%             | 2041-06-01      | Fixed         | 5.75%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION         | MULTIFAMILY PERMANENT MBS    | CUSIP: 31381SN99<br>LEI: 254900HROIFWPRGM1V77 | Long             | ABS-MBS          | USGSE             | US        |    528842 | PA      | $511972.21    | 0.01%             | 2035-06-01      | Fixed         | 4.69%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION         | MULTIFAMILY PERMANENT MBS    | CUSIP: 31381U2P1<br>LEI: 254900HROIFWPRGM1V77 | Long             | ABS-MBS          | USGSE             | US        |   3652085 | PA      | $3750481.65   | 0.06%             | 2029-08-01      | Fixed         | 5.30%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION         | MULTIFAMILY PERMANENT MBS    | CUSIP: 3138L3SY2<br>LEI: 254900HROIFWPRGM1V77 | Long             | ABS-MBS          | USGSE             | US        |   2540475 | PA      | $2432505.79   | 0.04%             | 2025-06-01      | Fixed         | 2.99%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION         | MULTIFAMILY PERMANENT MBS    | CUSIP: 3138L4S79<br>LEI: 254900HROIFWPRGM1V77 | Long             | ABS-MBS          | USGSE             | US        |   3282067 | PA      | $3219062.77   | 0.05%             | 2023-12-01      | Fixed         | 3.46%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION         | MULTIFAMILY PERMANENT MBS    | CUSIP: 3138L5CM0<br>LEI: 254900HROIFWPRGM1V77 | Long             | ABS-MBS          | USGSE             | US        |   4290977 | PA      | $4263085.69   | 0.07%             | 2023-10-01      | Fixed         | 3.66%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION         | MULTIFAMILY PERMANENT MBS    | CUSIP: 3138L4WV1<br>LEI: 254900HROIFWPRGM1V77 | Long             | ABS-MBS          | USGSE             | US        |  10158279 | PA      | $10009968.00  | 0.17%             | 2023-09-01      | Fixed         | 3.41%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION         | MULTIFAMILY PERMANENT MBS    | CUSIP: 3138L4YH0<br>LEI: 254900HROIFWPRGM1V77 | Long             | ABS-MBS          | USGSE             | US        |   5855256 | PA      | $5823051.89   | 0.10%             | 2023-09-01      | Fixed         | 3.61%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION         | MULTIFAMILY PERMANENT MBS    | CUSIP: 3138L7T48<br>LEI: 254900HROIFWPRGM1V77 | Long             | ABS-MBS          | USGSE             | US        |  10508639 | PA      | $9902212.64   | 0.16%             | 2029-10-01      | Fixed         | 3.36%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION         | MULTIFAMILY PERMANENT MBS    | CUSIP: 3138L7VB9<br>LEI: 254900HROIFWPRGM1V77 | Long             | ABS-MBS          | USGSE             | US        |   2729550 | PA      | $2623865.18   | 0.04%             | 2026-10-01      | Fixed         | 3.40%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION         | MULTIFAMILY PERMANENT MBS    | CUSIP: 3138L9FR8<br>LEI: 254900HROIFWPRGM1V77 | Long             | ABS-MBS          | USGSE             | US        |  24859317 | PA      | $22748155.57  | 0.38%             | 2030-04-01      | Fixed         | 3.04%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION         | MULTIFAMILY PERMANENT MBS    | CUSIP: 3138L9JU7<br>LEI: 254900HROIFWPRGM1V77 | Long             | ABS-MBS          | USGSE             | US        |   5062361 | PA      | $4526409.19   | 0.08%             | 2035-04-01      | Fixed         | 3.42%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION         | MULTIFAMILY PERMANENT MBS    | CUSIP: 3138L9J29<br>LEI: 254900HROIFWPRGM1V77 | Long             | ABS-MBS          | USGSE             | US        |  25676646 | PA      | $23542631.16  | 0.39%             | 2030-04-01      | Fixed         | 3.05%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION         | MULTIFAMILY PERMANENT MBS    | CUSIP: 3138L9LM2<br>LEI: 254900HROIFWPRGM1V77 | Long             | ABS-MBS          | USGSE             | US        |  12601438 | PA      | $11559958.45  | 0.19%             | 2030-04-01      | Fixed         | 3.12%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION         | MULTIFAMILY PERMANENT MBS    | CUSIP: 3138L9XT4<br>LEI: 254900HROIFWPRGM1V77 | Long             | ABS-MBS          | USGSE             | US        |   6466523 | PA      | $5927693.63   | 0.10%             | 2030-05-01      | Fixed         | 3.21%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION         | MULTIFAMILY PERMANENT MBS    | CUSIP: 3138L92T8<br>LEI: 254900HROIFWPRGM1V77 | Long             | ABS-MBS          | USGSE             | US        |   9202420 | PA      | $8373213.83   | 0.14%             | 2035-05-01      | Fixed         | 3.18%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION         | MULTIFAMILY PERMANENT MBS    | CUSIP: 3138L9XB3<br>LEI: 254900HROIFWPRGM1V77 | Long             | ABS-MBS          | USGSE             | US        |   3602314 | PA      | $3403922.39   | 0.06%             | 2027-06-01      | Fixed         | 3.02%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION         | MULTIFAMILY PERMANENT MBS    | CUSIP: 3138LAPD5<br>LEI: 254900HROIFWPRGM1V77 | Long             | ABS-MBS          | USGSE             | US        |  21223691 | PA      | $19281529.79  | 0.32%             | 2035-07-01      | Fixed         | 3.63%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION         | MULTIFAMILY PERMANENT MBS    | CUSIP: 3138LCBV6<br>LEI: 254900HROIFWPRGM1V77 | Long             | ABS-MBS          | USGSE             | US        |  15017427 | PA      | $14289579.75  | 0.24%             | 2027-10-01      | Fixed         | 3.31%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION         | MULTIFAMILY PERMANENT MBS    | CUSIP: 3138LBAX5<br>LEI: 254900HROIFWPRGM1V77 | Long             | ABS-MBS          | USGSE             | US        |  14358357 | PA      | $13599941.64  | 0.23%             | 2025-11-01      | Fixed         | 2.70%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION         | MULTIFAMILY PERMANENT MBS    | CUSIP: 3138LCWY7<br>LEI: 254900HROIFWPRGM1V77 | Long             | ABS-MBS          | USGSE             | US        |   6958954 | PA      | $6646984.80   | 0.11%             | 2027-01-01      | Fixed         | 3.26%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION         | MULTIFAMILY PERMANENT MBS    | CUSIP: 3138LDFD0<br>LEI: 254900HROIFWPRGM1V77 | Long             | ABS-MBS          | USGSE             | US        |  15519072 | PA      | $14469242.26  | 0.24%             | 2028-04-01      | Fixed         | 2.92%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION         | MULTIFAMILY PERMANENT MBS    | CUSIP: 3138LD6N8<br>LEI: 254900HROIFWPRGM1V77 | Long             | ABS-MBS          | USGSE             | US        |  25095555 | PA      | $22210000.00  | 0.37%             | 2031-06-01      | Fixed         | 2.91%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION         | MULTIFAMILY PERMANENT MBS    | CUSIP: 3138LEAD3<br>LEI: 254900HROIFWPRGM1V77 | Long             | ABS-MBS          | USGSE             | US        |  60000000 | PA      | $56046000.00  | 0.93%             | 2026-06-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION         | MULTIFAMILY PERMANENT MBS    | CUSIP: 3138LEH95<br>LEI: 254900HROIFWPRGM1V77 | Long             | ABS-MBS          | USGSE             | US        |  36278927 | PA      | $33309722.87  | 0.55%             | 2028-07-01      | Fixed         | 2.72%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION         | MULTIFAMILY PERMANENT MBS    | CUSIP: 3138LEMS7<br>LEI: 254900HROIFWPRGM1V77 | Long             | ABS-MBS          | USGSE             | US        |  25831538 | PA      | $24011568.00  | 0.40%             | 2026-08-01      | Fixed         | 2.46%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION         | MULTIFAMILY PERMANENT MBS    | CUSIP: 3138LGKE5<br>LEI: 254900HROIFWPRGM1V77 | Long             | ABS-MBS          | USGSE             | US        |  15115589 | PA      | $14057950.48  | 0.23%             | 2026-12-01      | Fixed         | 2.49%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION         | MULTIFAMILY PERMANENT MBS    | CUSIP: 3138ET5Z5<br>LEI: 254900HROIFWPRGM1V77 | Long             | ABS-MBS          | USGSE             | US        |   3179780 | PA      | $3031225.87   | 0.05%             | 2026-05-01      | Fixed         | 3.13%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION         | MULTIFAMILY PERMANENT MBS    | CUSIP: 3138LHTV6<br>LEI: 254900HROIFWPRGM1V77 | Long             | ABS-MBS          | USGSE             | US        |   7563830 | PA      | $7047525.89   | 0.12%             | 2029-04-01      | Fixed         | 3.14%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION         | MULTIFAMILY PERMANENT MBS    | CUSIP: 3138LJCH1<br>LEI: 254900HROIFWPRGM1V77 | Long             | ABS-MBS          | USGSE             | US        |  27802825 | PA      | $26181334.33  | 0.43%             | 2027-06-01      | Fixed         | 2.94%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION         | MULTIFAMILY PERMANENT MBS    | CUSIP: 3138LJD80<br>LEI: 254900HROIFWPRGM1V77 | Long             | ABS-MBS          | USGSE             | US        |  65488360 | PA      | $61637369.91  | 1.02%             | 2027-06-01      | Fixed         | 2.92%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION         | MULTIFAMILY PERMANENT MBS    | CUSIP: 3138LKHG5<br>LEI: 254900HROIFWPRGM1V77 | Long             | ABS-MBS          | USGSE             | US        |   6303694 | PA      | $5923030.08   | 0.10%             | 2027-05-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION         | MULTIFAMILY PERMANENT MBS    | CUSIP: 3138LLU78<br>LEI: 254900HROIFWPRGM1V77 | Long             | ABS-MBS          | USGSE             | US        |  18100000 | PA      | $18081972.40  | 0.30%             | 2027-12-01      | Floating      | 4.16%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION         | MULTIFAMILY PERMANENT MBS    | CUSIP: 3138LLRM9<br>LEI: 254900HROIFWPRGM1V77 | Long             | ABS-MBS          | USGSE             | US        |  22425000 | PA      | $22374310.53  | 0.37%             | 2028-01-01      | Floating      | 4.15%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION         | MULTIFAMILY PERMANENT MBS    | CUSIP: 3138LMNU3<br>LEI: 254900HROIFWPRGM1V77 | Long             | ABS-MBS          | USGSE             | US        |  30420000 | PA      | $30336801.30  | 0.50%             | 2028-02-01      | Floating      | 4.10%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION         | MULTIFAMILY PERMANENT MBS    | CUSIP: 3138LMP49<br>LEI: 254900HROIFWPRGM1V77 | Long             | ABS-MBS          | USGSE             | US        |  38275000 | PA      | $38191855.22  | 0.63%             | 2028-03-01      | Floating      | 4.12%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION         | MULTIFAMILY PERMANENT MBS    | CUSIP: 3140HTM30<br>LEI: 254900HROIFWPRGM1V77 | Long             | ABS-MBS          | USGSE             | US        |  12799331 | PA      | $11973592.40  | 0.20%             | 2031-04-01      | Fixed         | 3.46%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION         | MULTIFAMILY PERMANENT MBS    | CUSIP: 3140HT5P0<br>LEI: 254900HROIFWPRGM1V77 | Long             | ABS-MBS          | USGSE             | US        |  22419522 | PA      | $20736160.00  | 0.34%             | 2029-06-01      | Fixed         | 3.17%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION         | MULTIFAMILY PERMANENT MBS    | CUSIP: 3140HT3B3<br>LEI: 254900HROIFWPRGM1V77 | Long             | ABS-MBS          | USGSE             | US        |  25000000 | PA      | $25019880.00  | 0.42%             | 2029-05-01      | Floating      | 4.38%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION         | MULTIFAMILY PERMANENT MBS    | CUSIP: 3140HUEF9<br>LEI: 254900HROIFWPRGM1V77 | Long             | ABS-MBS          | USGSE             | US        |  41302000 | PA      | $41339093.33  | 0.69%             | 2029-06-01      | Floating      | 4.39%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION         | MULTIFAMILY PERMANENT MBS    | CUSIP: 3140JAWR5<br>LEI: 254900HROIFWPRGM1V77 | Long             | ABS-MBS          | USGSE             | US        |   6660083 | PA      | $6070780.12   | 0.10%             | 2029-05-01      | Fixed         | 3.33%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION         | MULTIFAMILY PERMANENT MBS    | CUSIP: 3140HVJB1<br>LEI: 254900HROIFWPRGM1V77 | Long             | ABS-MBS          | USGSE             | US        |  14148044 | PA      | $13203778.51  | 0.22%             | 2026-09-01      | Fixed         | 2.55%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION         | MULTIFAMILY PERMANENT MBS    | CUSIP: 3140HU4N3<br>LEI: 254900HROIFWPRGM1V77 | Long             | ABS-MBS          | USGSE             | US        |  37934874 | PA      | $33963930.00  | 0.56%             | 2029-08-01      | Fixed         | 2.67%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION         | MULTIFAMILY PERMANENT MBS    | CUSIP: 3138LM4U4<br>LEI: 254900HROIFWPRGM1V77 | Long             | ABS-MBS          | USGSE             | US        |  12278000 | PA      | $11506666.16  | 0.19%             | 2028-07-01      | Fixed         | 3.68%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION         | MULTIFAMILY PERMANENT MBS    | CUSIP: 3140HVDA9<br>LEI: 254900HROIFWPRGM1V77 | Long             | ABS-MBS          | USGSE             | US        |   8797838 | PA      | $7757856.00   | 0.13%             | 2031-08-01      | Fixed         | 2.85%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION         | MULTIFAMILY PERMANENT MBS    | CUSIP: 3140HTYA1<br>LEI: 254900HROIFWPRGM1V77 | Long             | ABS-MBS          | USGSE             | US        |  13202334 | PA      | $11352062.19  | 0.19%             | 2034-09-01      | Fixed         | 2.97%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION         | MULTIFAMILY PERMANENT MBS    | CUSIP: 3140HVQ31<br>LEI: 254900HROIFWPRGM1V77 | Long             | ABS-MBS          | USGSE             | US        |  20632578 | PA      | $16992000.00  | 0.28%             | 2034-09-01      | Fixed         | 2.96%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION         | MULTIFAMILY PERMANENT MBS    | CUSIP: 3140HWBD3<br>LEI: 254900HROIFWPRGM1V77 | Long             | ABS-MBS          | USGSE             | US        |   9834522 | PA      | $9147320.00   | 0.15%             | 2026-11-01      | Fixed         | 2.61%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION         | MULTIFAMILY PERMANENT MBS    | CUSIP: 3140HWCD2<br>LEI: 254900HROIFWPRGM1V77 | Long             | ABS-MBS          | USGSE             | US        |  10305388 | PA      | $8962244.40   | 0.15%             | 2031-10-01      | Fixed         | 2.76%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION         | MULTIFAMILY PERMANENT MBS    | CUSIP: 3140HU6Y7<br>LEI: 254900HROIFWPRGM1V77 | Long             | ABS-MBS          | USGSE             | US        |   5956812 | PA      | $5134996.50   | 0.09%             | 2030-02-01      | Fixed         | 2.33%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION         | MULTIFAMILY PERMANENT MBS    | CUSIP: 3140HWL83<br>LEI: 254900HROIFWPRGM1V77 | Long             | ABS-MBS          | USGSE             | US        |  18661559 | PA      | $15935101.00  | 0.26%             | 2031-11-01      | Fixed         | 2.43%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION         | MULTIFAMILY PERMANENT MBS    | CUSIP: 3140HVXW9<br>LEI: 254900HROIFWPRGM1V77 | Long             | ABS-MBS          | USGSE             | US        |  12088903 | PA      | $10617119.87  | 0.18%             | 2029-11-01      | Fixed         | 2.33%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION         | MULTIFAMILY PERMANENT MBS    | CUSIP: 3140HWJZ6<br>LEI: 254900HROIFWPRGM1V77 | Long             | ABS-MBS          | USGSE             | US        |  12013157 | PA      | $10194317.50  | 0.17%             | 2031-11-01      | Fixed         | 2.49%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION         | MULTIFAMILY PERMANENT MBS    | CUSIP: 3140HWZS4<br>LEI: 254900HROIFWPRGM1V77 | Long             | ABS-MBS          | USGSE             | US        |  20660457 | PA      | $18084000.00  | 0.30%             | 2030-01-01      | Fixed         | 2.53%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION         | MULTIFAMILY PERMANENT MBS    | CUSIP: 3140HXPN4<br>LEI: 254900HROIFWPRGM1V77 | Long             | ABS-MBS          | USGSE             | US        |  11330509 | PA      | $9913112.91   | 0.16%             | 2030-03-01      | Fixed         | 2.55%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION         | MULTIFAMILY PERMANENT MBS    | CUSIP: 3140HYCN6<br>LEI: 254900HROIFWPRGM1V77 | Long             | ABS-MBS          | USGSE             | US        |   6491847 | PA      | $4943360.00   | 0.08%             | 2035-04-01      | Fixed         | 1.94%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION         | MULTIFAMILY PERMANENT MBS    | CUSIP: 3140HYER5<br>LEI: 254900HROIFWPRGM1V77 | Long             | ABS-MBS          | USGSE             | US        |  13483312 | PA      | $11034900.00  | 0.18%             | 2032-05-01      | Fixed         | 2.09%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION         | MULTIFAMILY PERMANENT MBS    | CUSIP: 3140HWJR4<br>LEI: 254900HROIFWPRGM1V77 | Long             | ABS-MBS          | USGSE             | US        |   9567469 | PA      | $7873925.03   | 0.13%             | 2034-11-01      | Fixed         | 2.46%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION         | MULTIFAMILY PERMANENT MBS    | CUSIP: 3140J0CH1<br>LEI: 254900HROIFWPRGM1V77 | Long             | ABS-MBS          | USGSE             | US        |   4616065 | PA      | $3486455.61   | 0.06%             | 2035-07-01      | Fixed         | 1.82%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION         | MULTIFAMILY PERMANENT MBS    | CUSIP: 3140J0FZ8<br>LEI: 254900HROIFWPRGM1V77 | Long             | ABS-MBS          | USGSE             | US        |   7507285 | PA      | $6113382.59   | 0.10%             | 2030-07-01      | Fixed         | 1.46%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION         | MULTIFAMILY PERMANENT MBS    | CUSIP: 3140J0GW4<br>LEI: 254900HROIFWPRGM1V77 | Long             | ABS-MBS          | USGSE             | US        |   3267331 | PA      | $2653646.80   | 0.04%             | 2030-07-01      | Fixed         | 1.41%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION         | MULTIFAMILY PERMANENT MBS    | CUSIP: 3140J0JH4<br>LEI: 254900HROIFWPRGM1V77 | Long             | ABS-MBS          | USGSE             | US        |  14322031 | PA      | $11323942.50  | 0.19%             | 2030-07-01      | Fixed         | 1.27%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION         | MULTIFAMILY PERMANENT MBS    | CUSIP: 3140J0JC5<br>LEI: 254900HROIFWPRGM1V77 | Long             | ABS-MBS          | USGSE             | US        |  38058841 | PA      | $30082965.00  | 0.50%             | 2030-07-01      | Fixed         | 1.25%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION         | MULTIFAMILY PERMANENT MBS    | CUSIP: 3140J0KT6<br>LEI: 254900HROIFWPRGM1V77 | Long             | ABS-MBS          | USGSE             | US        |  20774319 | PA      | $16190900.00  | 0.27%             | 2032-07-01      | Fixed         | 1.55%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION         | MULTIFAMILY PERMANENT MBS    | CUSIP: 3140J0K74<br>LEI: 254900HROIFWPRGM1V77 | Long             | ABS-MBS          | USGSE             | US        |   1266382 | PA      | $1033629.98   | 0.02%             | 2030-07-01      | Fixed         | 1.65%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION         | MULTIFAMILY PERMANENT MBS    | CUSIP: 3140J0K66<br>LEI: 254900HROIFWPRGM1V77 | Long             | ABS-MBS          | USGSE             | US        |   3061243 | PA      | $2440570.00   | 0.04%             | 2030-07-01      | Fixed         | 1.47%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION         | MULTIFAMILY PERMANENT MBS    | CUSIP: 3140J0LU2<br>LEI: 254900HROIFWPRGM1V77 | Long             | ABS-MBS          | USGSE             | US        |  14265244 | PA      | $11037328.12  | 0.18%             | 2032-07-01      | Fixed         | 1.52%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION         | MULTIFAMILY PERMANENT MBS    | CUSIP: 3140J0MQ0<br>LEI: 254900HROIFWPRGM1V77 | Long             | ABS-MBS          | USGSE             | US        |  25684017 | PA      | $20413731.00  | 0.34%             | 2030-07-01      | Fixed         | 1.22%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION         | MULTIFAMILY PERMANENT MBS    | CUSIP: 3140J0NB2<br>LEI: 254900HROIFWPRGM1V77 | Long             | ABS-MBS          | USGSE             | US        |  10640696 | PA      | $8225700.00   | 0.14%             | 2032-07-01      | Fixed         | 1.53%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION         | MULTIFAMILY PERMANENT MBS    | CUSIP: 3140J0N30<br>LEI: 254900HROIFWPRGM1V77 | Long             | ABS-MBS          | USGSE             | US        |   7159558 | PA      | $5781389.86   | 0.10%             | 2030-08-01      | Fixed         | 1.17%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION         | MULTIFAMILY PERMANENT MBS    | CUSIP: 3140J0PH7<br>LEI: 254900HROIFWPRGM1V77 | Long             | ABS-MBS          | USGSE             | US        |   8542182 | PA      | $5065411.20   | 0.08%             | 2050-07-01      | Fixed         | 2.09%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION         | MULTIFAMILY PERMANENT MBS    | CUSIP: 3140J0PT1<br>LEI: 254900HROIFWPRGM1V77 | Long             | ABS-MBS          | USGSE             | US        |  10622927 | PA      | $8424150.00   | 0.14%             | 2030-07-01      | Fixed         | 1.38%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION         | MULTIFAMILY PERMANENT MBS    | CUSIP: 3140J0QJ2<br>LEI: 254900HROIFWPRGM1V77 | Long             | ABS-MBS          | USGSE             | US        |   9137590 | PA      | $6764940.00   | 0.11%             | 2035-08-01      | Fixed         | 1.76%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION         | MULTIFAMILY PERMANENT MBS    | CUSIP: 3140J0R51<br>LEI: 254900HROIFWPRGM1V77 | Long             | ABS-MBS          | USGSE             | US        |  21240231 | PA      | $16833600.00  | 0.28%             | 2030-08-01      | Fixed         | 1.32%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION         | MULTIFAMILY PERMANENT MBS    | CUSIP: 3140J0TU4<br>LEI: 254900HROIFWPRGM1V77 | Long             | ABS-MBS          | USGSE             | US        |   4428773 | PA      | $3520745.87   | 0.06%             | 2030-08-01      | Fixed         | 1.31%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION         | MULTIFAMILY PERMANENT MBS    | CUSIP: 3140J0UK4<br>LEI: 254900HROIFWPRGM1V77 | Long             | ABS-MBS          | USGSE             | US        |   1170354 | PA      | $942919.67    | 0.02%             | 2030-08-01      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION         | MULTIFAMILY PERMANENT MBS    | CUSIP: 3140J0Q37<br>LEI: 254900HROIFWPRGM1V77 | Long             | ABS-MBS          | USGSE             | US        |  47169728 | PA      | $33393767.73  | 0.55%             | 2037-08-01      | Fixed         | 1.57%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION         | MULTIFAMILY PERMANENT MBS    | CUSIP: 3140J1DZ8<br>LEI: 254900HROIFWPRGM1V77 | Long             | ABS-MBS          | USGSE             | US        |  14354706 | PA      | $8745780.00   | 0.15%             | 2050-09-01      | Fixed         | 2.16%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION         | MULTIFAMILY PERMANENT MBS    | CUSIP: 3140J1FB9<br>LEI: 254900HROIFWPRGM1V77 | Long             | ABS-MBS          | USGSE             | US        |  12820942 | PA      | $9961304.81   | 0.17%             | 2032-09-01      | Fixed         | 1.68%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION         | MULTIFAMILY PERMANENT MBS    | CUSIP: 3140J1K80<br>LEI: 254900HROIFWPRGM1V77 | Long             | ABS-MBS          | USGSE             | US        |  16554837 | PA      | $11808081.00  | 0.20%             | 2035-09-01      | Fixed         | 1.71%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION         | MULTIFAMILY PERMANENT MBS    | CUSIP: 3140J1K98<br>LEI: 254900HROIFWPRGM1V77 | Long             | ABS-MBS          | USGSE             | US        |   3332304 | PA      | $2386446.00   | 0.04%             | 2035-09-01      | Fixed         | 1.77%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION         | MULTIFAMILY PERMANENT MBS    | CUSIP: 3140J15B0<br>LEI: 254900HROIFWPRGM1V77 | Long             | ABS-MBS          | USGSE             | US        |  27329295 | PA      | $21292023.90  | 0.35%             | 2030-11-01      | Fixed         | 1.17%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION         | MULTIFAMILY PERMANENT MBS    | CUSIP: 3140J2LB0<br>LEI: 254900HROIFWPRGM1V77 | Long             | ABS-MBS          | USGSE             | US        |   9330303 | PA      | $6741570.00   | 0.11%             | 2035-11-01      | Fixed         | 1.71%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION         | MULTIFAMILY PERMANENT MBS    | CUSIP: N/A<br>LEI: 254900HROIFWPRGM1V77       | Long             | ABS-MBS          | USGSE             | US        |         0 | PA      | $-12162696.16 | -0.20%            | 2039-12-01      | Fixed         | 2.21%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION         | MULTIFAMILY PERMANENT MBS    | CUSIP: 3140LAFS9<br>LEI: 254900HROIFWPRGM1V77 | Long             | ABS-MBS          | USGSE             | US        |  21430738 | PA      | $18319662.40  | 0.30%             | 2027-12-01      | Fixed         | 1.06%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION         | MULTIFAMILY PERMANENT MBS    | CUSIP: 3140J3CK8<br>LEI: 254900HROIFWPRGM1V77 | Long             | ABS-MBS          | USGSE             | US        |  12479910 | PA      | $9853040.00   | 0.16%             | 2030-12-01      | Fixed         | 1.47%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION         | MULTIFAMILY PERMANENT MBS    | CUSIP: 3140LAG90<br>LEI: 254900HROIFWPRGM1V77 | Long             | ABS-MBS          | USGSE             | US        |  22015278 | PA      | $17757550.00  | 0.29%             | 2031-01-01      | Fixed         | 1.57%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION         | MULTIFAMILY PERMANENT MBS    | CUSIP: 3140LBL68<br>LEI: 254900HROIFWPRGM1V77 | Long             | ABS-MBS          | USGSE             | US        |  24994773 | PA      | $19877500.00  | 0.33%             | 2031-01-01      | Fixed         | 1.26%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION         | MULTIFAMILY PERMANENT MBS    | CUSIP: 3140LBTF0<br>LEI: 254900HROIFWPRGM1V77 | Long             | ABS-MBS          | USGSE             | US        |   6237007 | PA      | $4761680.00   | 0.08%             | 2033-03-01      | Fixed         | 1.74%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION         | MULTIFAMILY PERMANENT MBS    | CUSIP: 3140LBVK6<br>LEI: 254900HROIFWPRGM1V77 | Long             | ABS-MBS          | USGSE             | US        |  23855000 | PA      | $23794611.07  | 0.39%             | 2031-03-01      | Floating      | 3.25%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION         | MULTIFAMILY PERMANENT MBS    | CUSIP: 3140LBWH2<br>LEI: 254900HROIFWPRGM1V77 | Long             | ABS-MBS          | USGSE             | US        |  10075000 | PA      | $10053538.24  | 0.17%             | 2031-03-01      | Floating      | 3.26%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION         | MULTIFAMILY PERMANENT MBS    | CUSIP: N/A<br>LEI: 254900HROIFWPRGM1V77       | Long             | ABS-MBS          | USGSE             | US        |         0 | PA      | $-2748679.10  | -0.05%            | 2039-03-01      | Fixed         | 2.59%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION         | MULTIFAMILY PERMANENT MBS    | CUSIP: 3140LBXH1<br>LEI: 254900HROIFWPRGM1V77 | Long             | ABS-MBS          | USGSE             | US        |  17500000 | PA      | $17484321.75  | 0.29%             | 2031-04-01      | Floating      | 3.27%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION         | MULTIFAMILY PERMANENT MBS    | CUSIP: N/A<br>LEI: 254900HROIFWPRGM1V77       | Long             | ABS-MBS          | USGSE             | US        |         0 | PA      | $-2629965.72  | -0.04%            | 2038-07-01      | Fixed         | 2.56%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION         | MULTIFAMILY PERMANENT MBS    | CUSIP: 3140LDCF4<br>LEI: 254900HROIFWPRGM1V77 | Long             | ABS-MBS          | USGSE             | US        |  23679418 | PA      | $18957457.50  | 0.31%             | 2031-08-01      | Fixed         | 1.76%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION         | MULTIFAMILY PERMANENT MBS    | CUSIP: 3140LC5T4<br>LEI: 254900HROIFWPRGM1V77 | Long             | ABS-MBS          | USGSE             | US        |   3747972 | PA      | $2646245.21   | 0.04%             | 2051-04-01      | Fixed         | 2.41%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION         | MULTIFAMILY PERMANENT MBS    | CUSIP: 3140LDA25<br>LEI: 254900HROIFWPRGM1V77 | Long             | ABS-MBS          | USGSE             | US        |  58191753 | PA      | $45664600.00  | 0.76%             | 2031-10-01      | Fixed         | 1.58%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION         | MULTIFAMILY PERMANENT MBS    | CUSIP: 3140LC7D7<br>LEI: 254900HROIFWPRGM1V77 | Long             | ABS-MBS          | USGSE             | US        |  13148700 | PA      | $11438054.00  | 0.19%             | 2039-08-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION         | MULTIFAMILY PERMANENT MBS    | CUSIP: 3140LCMH1<br>LEI: 254900HROIFWPRGM1V77 | Long             | ABS-MBS          | USGSE             | US        |  10018609 | PA      | $8442000.00   | 0.14%             | 2028-08-01      | Fixed         | 1.22%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION         | MULTIFAMILY PERMANENT MBS    | CUSIP: 3140LBY23<br>LEI: 254900HROIFWPRGM1V77 | Long             | ABS-MBS          | USGSE             | US        |  18556854 | PA      | $14891400.00  | 0.25%             | 2031-04-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION         | MULTIFAMILY PERMANENT MBS    | CUSIP: 3140LD2L2<br>LEI: 254900HROIFWPRGM1V77 | Long             | ABS-MBS          | USGSE             | US        |  21538419 | PA      | $17890069.63  | 0.30%             | 2036-12-01      | Fixed         | 1.76%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION         | MULTIFAMILY PERMANENT MBS    | CUSIP: 3140LD5B1<br>LEI: 254900HROIFWPRGM1V77 | Long             | ABS-MBS          | USGSE             | US        |  25431958 | PA      | $20563840.00  | 0.34%             | 2031-11-01      | Fixed         | 1.88%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION         | MULTIFAMILY PERMANENT MBS    | CUSIP: 3140LECX3<br>LEI: 254900HROIFWPRGM1V77 | Long             | ABS-MBS          | USGSE             | US        |  40948141 | PA      | $40876066.38  | 0.68%             | 2031-11-01      | Floating      | 3.24%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION         | MULTIFAMILY PERMANENT MBS    | CUSIP: 3140LEMT1<br>LEI: 254900HROIFWPRGM1V77 | Long             | ABS-MBS          | USGSE             | US        |  13561999 | PA      | $9634356.72   | 0.16%             | 2051-12-01      | Fixed         | 2.47%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION         | MULTIFAMILY PERMANENT MBS    | CUSIP: 3140LEGH4<br>LEI: 254900HROIFWPRGM1V77 | Long             | ABS-MBS          | USGSE             | US        |  12600192 | PA      | $9197525.01   | 0.15%             | 2051-12-01      | Fixed         | 2.56%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION         | MULTIFAMILY PERMANENT MBS    | CUSIP: N/A<br>LEI: 254900HROIFWPRGM1V77       | Long             | ABS-MBS          | USGSE             | US        |         0 | PA      | $-5861904.00  | -0.10%            | 2039-02-01      | Fixed         | 2.59%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION         | MULTIFAMILY PERMANENT MBS    | CUSIP: N/A<br>LEI: 254900HROIFWPRGM1V77       | Long             | ABS-MBS          | USGSE             | US        |    277940 | PA      | $-7455851.68  | -0.12%            | 2040-07-01      | Fixed         | 2.72%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION         | MULTIFAMILY PERMANENT MBS    | CUSIP: N/A<br>LEI: 254900HROIFWPRGM1V77       | Long             | ABS-MBS          | USGSE             | US        |         0 | PA      | $-3094392.60  | -0.05%            | 2040-01-01      | Fixed         | 2.58%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION         | MULTIFAMILY PERMANENT MBS    | CUSIP: 3140LFJ62<br>LEI: 254900HROIFWPRGM1V77 | Long             | ABS-MBS          | USGSE             | US        |  25166077 | PA      | $18184549.50  | 0.30%             | 2042-03-01      | Fixed         | 2.57%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION         | MULTIFAMILY PERMANENT MBS    | CUSIP: 3140LFH64<br>LEI: 254900HROIFWPRGM1V77 | Long             | ABS-MBS          | USGSE             | US        |  20004881 | PA      | $19958744.00  | 0.33%             | 2029-02-01      | Floating      | 3.33%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION         | MULTIFAMILY PERMANENT MBS    | CUSIP: 3140LFRB2<br>LEI: 254900HROIFWPRGM1V77 | Long             | ABS-MBS          | USGSE             | US        |   6569685 | PA      | $5140677.73   | 0.09%             | 2052-05-01      | Fixed         | 3.24%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION         | MULTIFAMILY PERMANENT MBS    | CUSIP: 3140LFX41<br>LEI: 254900HROIFWPRGM1V77 | Long             | ABS-MBS          | USGSE             | US        |  19875832 | PA      | $16314532.84  | 0.27%             | 2038-04-01      | Fixed         | 2.93%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION         | MULTIFAMILY PERMANENT MBS    | CUSIP: 3140LFX58<br>LEI: 254900HROIFWPRGM1V77 | Long             | ABS-MBS          | USGSE             | US        |  16198803 | PA      | $13296344.27  | 0.22%             | 2038-04-01      | Fixed         | 2.93%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION         | MULTIFAMILY PERMANENT MBS    | CUSIP: 3140LFZA5<br>LEI: 254900HROIFWPRGM1V77 | Long             | ABS-MBS          | USGSE             | US        |   7423898 | PA      | $5738165.65   | 0.10%             | 2052-04-01      | Fixed         | 3.01%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION         | MULTIFAMILY PERMANENT MBS    | CUSIP: 3140LGKM3<br>LEI: 254900HROIFWPRGM1V77 | Long             | ABS-MBS          | USGSE             | US        |  28529990 | PA      | $28609712.40  | 0.47%             | 2032-05-01      | Floating      | 3.53%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION         | MULTIFAMILY PERMANENT MBS    | CUSIP: 3140LGK43<br>LEI: 254900HROIFWPRGM1V77 | Long             | ABS-MBS          | USGSE             | US        |  23705000 | PA      | $23732018.96  | 0.39%             | 2032-05-01      | Floating      | 3.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION         | MULTIFAMILY PERMANENT MBS    | CUSIP: N/A<br>LEI: 254900HROIFWPRGM1V77       | Long             | ABS-MBS          | USGSE             | US        |  20950000 | PA      | $17031931.00  | 0.28%             | 2038-01-01      | Fixed         | 2.46%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION         | MULTIFAMILY PERMANENT MBS    | CUSIP: 3140LGP71<br>LEI: 254900HROIFWPRGM1V77 | Long             | ABS-MBS          | USGSE             | US        |  70018750 | PA      | $69988023.00  | 1.16%             | 2029-06-01      | Floating      | 3.51%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION         | MULTIFAMILY PERMANENT MBS    | CUSIP: N/A<br>LEI: 254900HROIFWPRGM1V77       | Long             | ABS-MBS          | USGSE             | US        |         0 | PA      | $-1195534.11  | -0.02%            | 2041-07-01      | Fixed         | 4.47%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION         | MULTIFAMILY PERMANENT MBS    | CUSIP: 3140LGSL7<br>LEI: 254900HROIFWPRGM1V77 | Long             | ABS-MBS          | USGSE             | US        |  30975360 | PA      | $30855761.74  | 0.51%             | 2032-06-01      | Floating      | 3.56%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION         | MULTIFAMILY PERMANENT MBS    | CUSIP: 313637ZA1<br>LEI: 254900HROIFWPRGM1V77 | Long             | ABS-MBS          | USGSE             | US        |  19929068 | PA      | $18498288.00  | 0.31%             | 2033-10-01      | Fixed         | 3.70%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION         | MULTIFAMILY PERMANENT MBS    | CUSIP: 3140LGWU2<br>LEI: 254900HROIFWPRGM1V77 | Long             | ABS-MBS          | USGSE             | US        |  26566810 | PA      | $25076625.00  | 0.42%             | 2032-08-01      | Fixed         | 3.91%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION         | MULTIFAMILY PERMANENT MBS    | CUSIP: 3140LHAD2<br>LEI: 254900HROIFWPRGM1V77 | Long             | ABS-MBS          | USGSE             | US        |  15702946 | PA      | $15053489.10  | 0.25%             | 2032-08-01      | Fixed         | 4.11%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION         | MULTIFAMILY PERMANENT MBS    | CUSIP: 3140LHUD0<br>LEI: 254900HROIFWPRGM1V77 | Long             | ABS-MBS          | USGSE             | US        |  12510305 | PA      | $11925325.51  | 0.20%             | 2052-10-01      | Fixed         | 4.80%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION         | MULTIFAMILY PERMANENT MBS    | CUSIP: 3140LHXW5<br>LEI: 254900HROIFWPRGM1V77 | Long             | ABS-MBS          | USGSE             | US        |  15804799 | PA      | $15805147.64  | 0.26%             | 2032-11-01      | Floating      | 3.30%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION         | MULTIFAMILY PERMANENT MBS    | CUSIP: N/A<br>LEI: 254900HROIFWPRGM1V77       | Long             | ABS-MBS          | USGSE             | US        |  20406239 | PA      | $19996668.34  | 0.33%             | 2030-02-01      | Fixed         | 4.39%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION         | MULTIFAMILY PERMANENT MBS    | CUSIP: N/A<br>LEI: 254900HROIFWPRGM1V77       | Long             | ABS-MBS          | USGSE             | US        |  18924192 | PA      | $18661235.89  | 0.31%             | 2030-02-01      | Fixed         | 4.69%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION         | MULTIFAMILY PERMANENT MBS    | CUSIP: N/A<br>LEI: 254900HROIFWPRGM1V77       | Long             | ABS-MBS          | USGSE             | US        |  29909588 | PA      | $29610491.63  | 0.49%             | 2028-03-01      | Fixed         | 4.56%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corporation        | MULTIFAMILY PERMANENT MBS    | CUSIP: 3132WWYB2<br>LEI: 254900HROIFWPRGM1V77 | Long             | ABS-MBS          | USGSE             | US        |  15959038 | PA      | $14696347.31  | 0.24%             | 2029-12-01      | Fixed         | 3.28%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corporation        | MULTIFAMILY PERMANENT MBS    | CUSIP: 3132XEAM3<br>LEI: 254900HROIFWPRGM1V77 | Long             | ABS-MBS          | USGSE             | US        |  13951222 | PA      | $12847130.67  | 0.21%             | 2030-04-01      | Fixed         | 3.38%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corporation        | MULTIFAMILY PERMANENT MBS    | CUSIP: 3132WWYD8<br>LEI: 254900HROIFWPRGM1V77 | Long             | ABS-MBS          | USGSE             | US        |  25003899 | PA      | $22891397.11  | 0.38%             | 2030-04-01      | Fixed         | 3.60%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corporation        | MULTIFAMILY PERMANENT MBS    | CUSIP: 3132XEAP6<br>LEI: 254900HROIFWPRGM1V77 | Long             | ABS-MBS          | USGSE             | US        |  18296177 | PA      | $16874880.49  | 0.28%             | 2030-06-01      | Fixed         | 3.48%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corporation        | MULTIFAMILY PERMANENT MBS    | CUSIP: 3132XEAS0<br>LEI: 254900HROIFWPRGM1V77 | Long             | ABS-MBS          | USGSE             | US        |   9465619 | PA      | $8725920.13   | 0.14%             | 2029-12-01      | Fixed         | 3.34%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corporation        | MULTIFAMILY PERMANENT MBS    | CUSIP: 3132XHKY9<br>LEI: 254900HROIFWPRGM1V77 | Long             | ABS-MBS          | USGSE             | US        |   7519376 | PA      | $6366329.14   | 0.11%             | 2031-06-01      | Fixed         | 2.40%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corporation        | MULTIFAMILY PERMANENT MBS    | CUSIP: 3132XHK29<br>LEI: 254900HROIFWPRGM1V77 | Long             | ABS-MBS          | USGSE             | US        |  11901794 | PA      | $10080167.54  | 0.17%             | 2031-06-01      | Fixed         | 2.42%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corporation        | MULTIFAMILY PERMANENT MBS    | CUSIP: 3132WWAQ5<br>LEI: 254900HROIFWPRGM1V77 | Long             | ABS-MBS          | USGSE             | US        |  20554375 | PA      | $13547033.99  | 0.22%             | 2050-05-01      | Fixed         | 2.04%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corporation        | MULTIFAMILY PERMANENT MBS    | CUSIP: N/A<br>LEI: 254900HROIFWPRGM1V77       | Long             | ABS-MBS          | USGSE             | US        |    163125 | PA      | $-8029404.00  | -0.13%            | 2034-02-25      | Fixed         | 2.38%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corporation        | MULTIFAMILY PERMANENT MBS    | CUSIP: 3132V8AN6<br>LEI: 254900HROIFWPRGM1V77 | Long             | ABS-MBS          | USGSE             | US        |   3903445 | PA      | $3890483.92   | 0.06%             | 2027-07-01      | Floating      | 3.26%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corporation        | MULTIFAMILY PERMANENT MBS    | CUSIP: N/A<br>LEI: 254900HROIFWPRGM1V77       | Long             | ABS-MBS          | USGSE             | US        |         0 | PA      | $-3337233.75  | -0.06%            | 2040-05-01      | Fixed         | 3.86%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corporation        | MULTIFAMILY PERMANENT MBS    | CUSIP: 3137FBTQ9<br>LEI: 254900HROIFWPRGM1V77 | Long             | ABS-MBS          | USGSE             | US        |  33331391 | PA      | $30914737.53  | 0.51%             | 2033-10-25      | Floating      | 3.35%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corporation        | MULTIFAMILY PERMANENT MBS    | CUSIP: 3137FKWD4<br>LEI: 254900HROIFWPRGM1V77 | Long             | ABS-MBS          | USGSE             | US        |  17978544 | PA      | $17492740.26  | 0.29%             | 2026-01-25      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corporation        | MULTIFAMILY PERMANENT MBS    | CUSIP: 3137FKSQ0<br>LEI: 254900HROIFWPRGM1V77 | Long             | ABS-MBS          | USGSE             | US        |  10045897 | PA      | $9703184.00   | 0.16%             | 2025-10-25      | Fixed         | 3.68%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corporation        | MULTIFAMILY PERMANENT MBS    | CUSIP: 3137F72K0<br>LEI: 254900HROIFWPRGM1V77 | Long             | ABS-MBS          | USGSE             | US        |   4767331 | PA      | $4668746.69   | 0.08%             | 2030-10-25      | Fixed         | 4.47%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corporation        | MULTIFAMILY PERMANENT MBS    | CUSIP: 3137F72L8<br>LEI: 254900HROIFWPRGM1V77 | Long             | ABS-MBS          | USGSE             | US        |   8412937 | PA      | $8186950.13   | 0.14%             | 2030-10-25      | Floating      | 4.09%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corporation        | MULTIFAMILY PERMANENT MBS    | CUSIP: 3137F84N0<br>LEI: 254900HROIFWPRGM1V77 | Long             | ABS-MBS          | USGSE             | US        |  15370628 | PA      | $14959502.43  | 0.25%             | 2030-12-25      | Floating      | 4.03%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corporation        | MULTIFAMILY PERMANENT MBS    | CUSIP: 3137F84M2<br>LEI: 254900HROIFWPRGM1V77 | Long             | ABS-MBS          | USGSE             | US        |  11793854 | PA      | $11463778.38  | 0.19%             | 2030-11-25      | Floating      | 4.40%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corporation        | MULTIFAMILY PERMANENT MBS    | CUSIP: 3137F8ZR7<br>LEI: 254900HROIFWPRGM1V77 | Long             | ABS-MBS          | USGSE             | US        |  15648210 | PA      | $15225644.17  | 0.25%             | 2030-12-25      | Floating      | 3.98%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corporation        | MULTIFAMILY PERMANENT MBS    | CUSIP: 3137F9ZZ7<br>LEI: 254900HROIFWPRGM1V77 | Long             | ABS-MBS          | USGSE             | US        |  16828681 | PA      | $16582588.59  | 0.28%             | 2027-11-25      | Floating      | 4.27%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corporation        | MULTIFAMILY PERMANENT MBS    | CUSIP: 3137FXZ84<br>LEI: 254900HROIFWPRGM1V77 | Long             | ABS-MBS          | USGSE             | US        |  33179307 | PA      | $32151793.63  | 0.53%             | 2031-01-25      | Floating      | 3.97%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corporation        | MULTIFAMILY PERMANENT MBS    | CUSIP: 3137H1LV6<br>LEI: 254900HROIFWPRGM1V77 | Long             | ABS-MBS          | USGSE             | US        |  27167453 | PA      | $26212962.48  | 0.44%             | 2031-06-25      | Floating      | 3.97%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corporation        | MULTIFAMILY PERMANENT MBS    | CUSIP: 3137H2NB6<br>LEI: 254900HROIFWPRGM1V77 | Long             | ABS-MBS          | USGSE             | US        |  27413259 | PA      | $26305700.17  | 0.44%             | 2031-08-25      | Floating      | 3.93%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION         | MULTIFAMILY PERMANENT MBS    | CUSIP: 3136AT5G5<br>LEI: 254900HROIFWPRGM1V77 | Long             | ABS-MBS          | USGSE             | US        |   1816180 | PA      | $1701189.96   | 0.03%             | 2039-07-25      | Fixed         | 2.94%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION         | MULTIFAMILY PERMANENT MBS    | CUSIP: 3136AY2C6<br>LEI: 254900HROIFWPRGM1V77 | Long             | ABS-MBS          | USGSE             | US        |  23018238 | PA      | $21504168.76  | 0.36%             | 2027-09-25      | Fixed         | 2.93%                 | No            |                  2 | On Loan: No      |
| CREDIT SUISSE SECURITIES                      | MULTIFAMILY PERMANENT MBS    | CUSIP: 12647RAA2<br>LEI: 1V8Y6QCX6YMJ2OELII46 | Long             | ABS-MBS          | USGA              | US        |   4735080 | PA      | $3740763.27   | 0.06%             | 2053-05-27      | Fixed         | 4.86%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION      | MULTIFAMILY PERMANENT MBS    | CUSIP: 38378BCM9<br>LEI: 254900HROIFWPRGM1V77 | Long             | ABS-MBS          | USGA              | US        |    361816 | PA      | $358625.92    | 0.01%             | 2043-11-16      | Fixed         | 3.26%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION      | MULTIFAMILY PERMANENT MBS    | CUSIP: 38376GXA3<br>LEI: 254900HROIFWPRGM1V77 | Long             | ABS-MBS          | USGA              | US        |    115760 | PA      | $109786.35    | 0.00%             | 2044-02-16      | Fixed         | 2.72%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION      | MULTIFAMILY PERMANENT MBS    | CUSIP: 38376G5S5<br>LEI: 254900HROIFWPRGM1V77 | Long             | ABS-MBS          | USGA              | US        |    250333 | PA      | $240000.17    | 0.00%             | 2044-02-16      | Fixed         | 3.37%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION      | MULTIFAMILY PERMANENT MBS    | CUSIP: 38378BF87<br>LEI: 254900HROIFWPRGM1V77 | Long             | ABS-MBS          | USGA              | US        |  28440414 | PA      | $25597344.04  | 0.42%             | 2053-01-16      | Fixed         | 2.43%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION      | MULTIFAMILY PERMANENT MBS    | CUSIP: 38378BA82<br>LEI: 254900HROIFWPRGM1V77 | Long             | ABS-MBS          | USGA              | US        |   7076008 | PA      | $6220427.40   | 0.10%             | 2051-11-16      | Fixed         | 2.31%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION      | MULTIFAMILY PERMANENT MBS    | CUSIP: 38378BWB1<br>LEI: 254900HROIFWPRGM1V77 | Long             | ABS-MBS          | USGA              | US        |    834844 | PA      | $777008.67    | 0.01%             | 2050-04-16      | Fixed         | 2.82%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION      | MULTIFAMILY PERMANENT MBS    | CUSIP: 38378NST1<br>LEI: 254900HROIFWPRGM1V77 | Long             | ABS-MBS          | USGA              | US        |   8290044 | PA      | $8287627.21   | 0.14%             | 2045-12-16      | Fixed         | 3.63%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION      | MULTIFAMILY PERMANENT MBS    | CUSIP: 38378NPP2<br>LEI: 254900HROIFWPRGM1V77 | Long             | ABS-MBS          | USGA              | US        |    160373 | PA      | $161525.09    | 0.00%             | 2041-07-16      | Fixed         | 3.20%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION      | MULTIFAMILY PERMANENT MBS    | CUSIP: 38378NPQ0<br>LEI: 254900HROIFWPRGM1V77 | Long             | ABS-MBS          | USGA              | US        |   9643629 | PA      | $9582703.00   | 0.16%             | 2044-03-16      | Fixed         | 3.35%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION      | MULTIFAMILY PERMANENT MBS    | CUSIP: 38378NZ63<br>LEI: 254900HROIFWPRGM1V77 | Long             | ABS-MBS          | USGA              | US        |    326298 | PA      | $322155.94    | 0.01%             | 2046-04-16      | Fixed         | 3.96%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION      | MULTIFAMILY PERMANENT MBS    | CUSIP: 38378N3R2<br>LEI: 254900HROIFWPRGM1V77 | Long             | ABS-MBS          | USGA              | US        |   3767984 | PA      | $3714586.75   | 0.06%             | 2054-01-16      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION      | MULTIFAMILY PERMANENT MBS    | CUSIP: 38378XGG0<br>LEI: 254900HROIFWPRGM1V77 | Long             | ABS-MBS          | USGA              | US        |    220318 | PA      | $218716.97    | 0.00%             | 2051-09-16      | Fixed         | 3.12%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION      | MULTIFAMILY PERMANENT MBS    | CUSIP: 38378XDV0<br>LEI: 254900HROIFWPRGM1V77 | Long             | ABS-MBS          | USGA              | US        |  17914091 | PA      | $17091019.16  | 0.28%             | 2054-09-16      | Fixed         | 3.25%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION      | MULTIFAMILY PERMANENT MBS    | CUSIP: 38378XDY4<br>LEI: 254900HROIFWPRGM1V77 | Long             | ABS-MBS          | USGA              | US        |   6574807 | PA      | $6319583.33   | 0.10%             | 2055-05-16      | Fixed         | 3.33%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION      | MULTIFAMILY PERMANENT MBS    | CUSIP: 38378XC74<br>LEI: 254900HROIFWPRGM1V77 | Long             | ABS-MBS          | USGA              | US        |  11590272 | PA      | $10301244.45  | 0.17%             | 2054-05-16      | Fixed         | 3.05%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION      | MULTIFAMILY PERMANENT MBS    | CUSIP: 38378BAN9<br>LEI: 254900HROIFWPRGM1V77 | Long             | ABS-MBS          | USGA              | US        |   4284928 | PA      | $3911403.84   | 0.06%             | 2052-09-16      | Fixed         | 3.60%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION      | MULTIFAMILY PERMANENT MBS    | CUSIP: 38379KKK3<br>LEI: 254900HROIFWPRGM1V77 | Long             | ABS-MBS          | USGA              | US        |   3253590 | PA      | $3039438.14   | 0.05%             | 2048-12-16      | Fixed         | 2.25%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION      | MULTIFAMILY PERMANENT MBS    | CUSIP: 38379KCE6<br>LEI: 254900HROIFWPRGM1V77 | Long             | ABS-MBS          | USGA              | US        |   2302406 | PA      | $2167664.52   | 0.04%             | 2047-08-16      | Fixed         | 2.40%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION      | MULTIFAMILY PERMANENT MBS    | CUSIP: 38379K3U0<br>LEI: 254900HROIFWPRGM1V77 | Long             | ABS-MBS          | USGA              | US        |   3338542 | PA      | $3180175.72   | 0.05%             | 2048-05-16      | Fixed         | 2.70%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION      | MULTIFAMILY PERMANENT MBS    | CUSIP: 38379KQ35<br>LEI: 254900HROIFWPRGM1V77 | Long             | ABS-MBS          | USGA              | US        |   5086662 | PA      | $4406837.00   | 0.07%             | 2052-12-16      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION      | MULTIFAMILY PERMANENT MBS    | CUSIP: 38379KLA4<br>LEI: 254900HROIFWPRGM1V77 | Long             | ABS-MBS          | USGA              | US        |   4689810 | PA      | $4324608.33   | 0.07%             | 2049-04-16      | Fixed         | 2.79%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION      | MULTIFAMILY PERMANENT MBS    | CUSIP: 38379K3N6<br>LEI: 254900HROIFWPRGM1V77 | Long             | ABS-MBS          | USGA              | US        |   1046439 | PA      | $996773.13    | 0.02%             | 2056-04-16      | Fixed         | 2.60%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION      | MULTIFAMILY PERMANENT MBS    | CUSIP: 38379UBY1<br>LEI: 254900HROIFWPRGM1V77 | Long             | ABS-MBS          | USGA              | US        |    897638 | PA      | $883211.01    | 0.01%             | 2055-12-16      | Fixed         | 2.60%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION      | MULTIFAMILY PERMANENT MBS    | CUSIP: 38379RCD3<br>LEI: 254900HROIFWPRGM1V77 | Long             | ABS-MBS          | USGA              | US        |    490800 | PA      | $480736.37    | 0.01%             | 2056-05-16      | Fixed         | 2.15%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION      | MULTIFAMILY PERMANENT MBS    | CUSIP: 38379RCE1<br>LEI: 254900HROIFWPRGM1V77 | Long             | ABS-MBS          | USGA              | US        |    894982 | PA      | $860056.11    | 0.01%             | 2056-06-16      | Fixed         | 2.20%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION      | MULTIFAMILY PERMANENT MBS    | CUSIP: 38379UFN1<br>LEI: 254900HROIFWPRGM1V77 | Long             | ABS-MBS          | USGA              | US        |   1158496 | PA      | $1126232.55   | 0.02%             | 2056-03-16      | Fixed         | 2.30%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION      | MULTIFAMILY PERMANENT MBS    | CUSIP: 38379UED4<br>LEI: 254900HROIFWPRGM1V77 | Long             | ABS-MBS          | USGA              | US        |   2869035 | PA      | $2668745.37   | 0.04%             | 2056-11-16      | Fixed         | 2.35%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION      | MULTIFAMILY PERMANENT MBS    | CUSIP: 38379UGN0<br>LEI: 254900HROIFWPRGM1V77 | Long             | ABS-MBS          | USGA              | US        |   2957276 | PA      | $2807998.97   | 0.05%             | 2056-10-16      | Fixed         | 2.30%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION      | MULTIFAMILY PERMANENT MBS    | CUSIP: 38379RGT4<br>LEI: 254900HROIFWPRGM1V77 | Long             | ABS-MBS          | USGA              | US        |   3095773 | PA      | $2771015.91   | 0.05%             | 2057-03-16      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION      | MULTIFAMILY PERMANENT MBS    | CUSIP: 38380JEK0<br>LEI: 254900HROIFWPRGM1V77 | Long             | ABS-MBS          | USGA              | US        |  17730776 | PA      | $15179204.24  | 0.25%             | 2058-09-16      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION      | MULTIFAMILY PERMANENT MBS    | CUSIP: 38380JER5<br>LEI: 254900HROIFWPRGM1V77 | Long             | ABS-MBS          | USGA              | US        |  57291570 | PA      | $47590146.00  | 0.79%             | 2053-02-16      | Fixed         | 2.80%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION      | MULTIFAMILY PERMANENT MBS    | CUSIP: 38380MYK1<br>LEI: 254900HROIFWPRGM1V77 | Long             | ABS-MBS          | USGA              | US        |  32068898 | PA      | $31575522.04  | 0.52%             | 2059-04-16      | Fixed         | 3.25%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION      | MULTIFAMILY PERMANENT MBS    | CUSIP: 38380MY47<br>LEI: 254900HROIFWPRGM1V77 | Long             | ABS-MBS          | USGA              | US        |   4603696 | PA      | $4482002.59   | 0.07%             | 2059-12-16      | Fixed         | 2.80%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION      | MULTIFAMILY PERMANENT MBS    | CUSIP: 38380NCY3<br>LEI: 254900HROIFWPRGM1V77 | Long             | ABS-MBS          | USGA              | US        |   3181136 | PA      | $3022342.78   | 0.05%             | 2058-07-16      | Fixed         | 2.70%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION      | MULTIFAMILY PERMANENT MBS    | CUSIP: 38380NWP0<br>LEI: 254900HROIFWPRGM1V77 | Long             | ABS-MBS          | USGA              | US        |   7412960 | PA      | $6811778.14   | 0.11%             | 2059-06-16      | Fixed         | 2.60%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION      | MULTIFAMILY PERMANENT MBS    | CUSIP: 38380PRT3<br>LEI: 254900HROIFWPRGM1V77 | Long             | ABS-MBS          | USGA              | US        |  64771874 | PA      | $54102923.85  | 0.90%             | 2062-05-16      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION      | MULTIFAMILY PERMANENT MBS    | CUSIP: 38380RJW1<br>LEI: 254900HROIFWPRGM1V77 | Long             | ABS-MBS          | USGA              | US        |  27359219 | PA      | $22317211.17  | 0.37%             | 2062-09-16      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION      | MULTIFAMILY PERMANENT MBS    | CUSIP: 38380RPH7<br>LEI: 254900HROIFWPRGM1V77 | Long             | ABS-MBS          | USGA              | US        |  21405115 | PA      | $17216038.36  | 0.29%             | 2062-09-16      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION      | MULTIFAMILY PERMANENT MBS    | CUSIP: 38380RNF3<br>LEI: 254900HROIFWPRGM1V77 | Long             | ABS-MBS          | USGA              | US        |  17686349 | PA      | $14189551.23  | 0.24%             | 2063-06-16      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION      | MULTIFAMILY PERMANENT MBS    | CUSIP: 38380RTN0<br>LEI: 254900HROIFWPRGM1V77 | Long             | ABS-MBS          | USGA              | US        |  22835873 | PA      | $18137584.52  | 0.30%             | 2063-06-16      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION      | MULTIFAMILY PERMANENT MBS    | CUSIP: 38380RUU2<br>LEI: 254900HROIFWPRGM1V77 | Long             | ABS-MBS          | USGA              | US        |  55745638 | PA      | $44762893.53  | 0.74%             | 2062-10-16      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION      | MULTIFAMILY PERMANENT MBS    | CUSIP: 38380RYJ3<br>LEI: 254900HROIFWPRGM1V77 | Long             | ABS-MBS          | USGA              | US        |  37616631 | PA      | $30557417.82  | 0.51%             | 2062-07-16      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION      | MULTIFAMILY PERMANENT MBS    | CUSIP: 38380RG53<br>LEI: 254900HROIFWPRGM1V77 | Long             | ABS-MBS          | USGA              | US        |  50507401 | PA      | $41293125.24  | 0.69%             | 2063-04-16      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION      | MULTIFAMILY PERMANENT MBS    | CUSIP: 38380NH77<br>LEI: 254900HROIFWPRGM1V77 | Long             | ABS-MBS          | USGA              | US        |  17294790 | PA      | $14653688.24  | 0.24%             | 2060-08-16      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION      | MULTIFAMILY PERMANENT MBS    | CUSIP: 38380R2Z2<br>LEI: 254900HROIFWPRGM1V77 | Long             | ABS-MBS          | USGA              | US        |  27348193 | PA      | $22427777.86  | 0.37%             | 2062-12-16      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION      | MULTIFAMILY PERMANENT MBS    | CUSIP: 38380N5M7<br>LEI: 254900HROIFWPRGM1V77 | Long             | ABS-MBS          | USGA              | US        |  16989647 | PA      | $14374710.01  | 0.24%             | 2061-02-16      | Fixed         | 2.35%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION      | MULTIFAMILY PERMANENT MBS    | CUSIP: 38380NM55<br>LEI: 254900HROIFWPRGM1V77 | Long             | ABS-MBS          | USGA              | US        |  12612085 | PA      | $10748806.21  | 0.18%             | 2061-01-16      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION      | MULTIFAMILY PERMANENT MBS    | CUSIP: 38380RT26<br>LEI: 254900HROIFWPRGM1V77 | Long             | ABS-MBS          | USGA              | US        |  28747067 | PA      | $23513972.08  | 0.39%             | 2062-10-16      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION      | MULTIFAMILY PERMANENT MBS    | CUSIP: 38381DLG3<br>LEI: 254900HROIFWPRGM1V77 | Long             | ABS-MBS          | USGA              | US        |  53077062 | PA      | $43560324.17  | 0.72%             | 2063-04-16      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION      | MULTIFAMILY PERMANENT MBS    | CUSIP: 38380N2L2<br>LEI: 254900HROIFWPRGM1V77 | Long             | ABS-MBS          | USGA              | US        |   9838957 | PA      | $8289979.43   | 0.14%             | 2061-01-16      | Fixed         | 2.35%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION      | MULTIFAMILY PERMANENT MBS    | CUSIP: 38381DTM2<br>LEI: 254900HROIFWPRGM1V77 | Long             | ABS-MBS          | USGA              | US        |  14632248 | PA      | $12019834.67  | 0.20%             | 2062-07-16      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION      | MULTIFAMILY PERMANENT MBS    | CUSIP: 38381DWJ5<br>LEI: 254900HROIFWPRGM1V77 | Long             | ABS-MBS          | USGA              | US        |  26805818 | PA      | $22179986.25  | 0.37%             | 2063-07-16      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION      | MULTIFAMILY PERMANENT MBS    | CUSIP: 38381DC65<br>LEI: 254900HROIFWPRGM1V77 | Long             | ABS-MBS          | USGA              | US        |  19614930 | PA      | $16066604.50  | 0.27%             | 2063-11-16      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION      | MULTIFAMILY PERMANENT MBS    | CUSIP: 38381DL32<br>LEI: 254900HROIFWPRGM1V77 | Long             | ABS-MBS          | USGA              | US        |  25870103 | PA      | $20764858.53  | 0.34%             | 2063-04-16      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION      | MULTIFAMILY PERMANENT MBS    | CUSIP: 38381DZ86<br>LEI: 254900HROIFWPRGM1V77 | Long             | ABS-MBS          | USGA              | US        |  35429627 | PA      | $29168814.05  | 0.48%             | 2064-03-16      | Fixed         | 1.95%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION      | MULTIFAMILY PERMANENT MBS    | CUSIP: 38379UZS8<br>LEI: 254900HROIFWPRGM1V77 | Long             | ABS-MBS          | USGA              | US        |  17150900 | PA      | $14237046.26  | 0.24%             | 2057-12-16      | Fixed         | 2.40%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION      | MULTIFAMILY PERMANENT MBS    | CUSIP: 38381EAR9<br>LEI: 254900HROIFWPRGM1V77 | Long             | ABS-MBS          | USGA              | US        |  45494443 | PA      | $37792149.20  | 0.63%             | 2063-07-16      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION      | MULTIFAMILY PERMANENT MBS    | CUSIP: 38381EEB0<br>LEI: 254900HROIFWPRGM1V77 | Long             | ABS-MBS          | USGA              | US        |   9348178 | PA      | $6570974.58   | 0.11%             | 2062-04-16      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION      | MULTIFAMILY PERMANENT MBS    | CUSIP: 38381EQP6<br>LEI: 254900HROIFWPRGM1V77 | Long             | ABS-MBS          | USGA              | US        |  42306439 | PA      | $34949134.84  | 0.58%             | 2063-10-16      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION      | MULTIFAMILY PERMANENT MBS    | CUSIP: 38381EPT9<br>LEI: 254900HROIFWPRGM1V77 | Long             | ABS-MBS          | USGA              | US        |  37682629 | PA      | $31861621.57  | 0.53%             | 2064-03-16      | Fixed         | 1.95%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION      | MULTIFAMILY PERMANENT MBS    | CUSIP: 38381EWY0<br>LEI: 254900HROIFWPRGM1V77 | Long             | ABS-MBS          | USGA              | US        |  24348699 | PA      | $20541651.04  | 0.34%             | 2064-03-16      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION      | MULTIFAMILY PERMANENT MBS    | CUSIP: 38381EPU6<br>LEI: 254900HROIFWPRGM1V77 | Long             | ABS-MBS          | USGA              | US        |  20501715 | PA      | $14949962.78  | 0.25%             | 2061-02-16      | Fixed         | 1.90%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION      | MULTIFAMILY PERMANENT MBS    | CUSIP: 38381EW53<br>LEI: 254900HROIFWPRGM1V77 | Long             | ABS-MBS          | USGA              | US        |   5822192 | PA      | $3756054.68   | 0.06%             | 2063-09-16      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| MASSACHUSETTS HOUSING FINANCE AGENCY          | MULTIFAMILY REVENUE BONDS    | CUSIP: 57586P7J9<br>LEI: 549300NLJBK1VP6K2K81 | Long             | ABS-MBS          | MUN               | US        |   5103050 | PA      | $5012528.50   | 0.08%             | 2028-12-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| MASSACHUSETTS HOUSING FINANCE AGENCY          | MULTIFAMILY REVENUE BONDS    | CUSIP: 57586P7K6<br>LEI: 549300NLJBK1VP6K2K81 | Long             | ABS-MBS          | MUN               | US        |   5000000 | PA      | $4983320.00   | 0.08%             | 2036-12-01      | Fixed         | 4.13%                 | No            |                  2 | On Loan: No      |
| MASSACHUSETTS HOUSING FINANCE AGENCY          | MULTIFAMILY REVENUE BONDS    | CUSIP: 57586P7L4<br>LEI: 549300NLJBK1VP6K2K81 | Long             | ABS-MBS          | MUN               | US        |   8305000 | PA      | $8111877.19   | 0.13%             | 2039-12-01      | Fixed         | 4.20%                 | No            |                  2 | On Loan: No      |
| MASSACHUSETTS HOUSING FINANCE AGENCY          | MULTIFAMILY REVENUE BONDS    | CUSIP: 57586P7M2<br>LEI: 549300NLJBK1VP6K2K81 | Long             | ABS-MBS          | MUN               | US        |  45000000 | PA      | $42164140.50  | 0.70%             | 2056-06-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| New York City Housing Development Corporation | MULTIFAMILY REVENUE BONDS    | CUSIP: 64972CBJ1<br>LEI: 549300SQWVHKBRF8D702 | Long             | ABS-MBS          | MUN               | US        |   3200000 | PA      | $3072952.32   | 0.05%             | 2035-05-01      | Fixed         | 3.75%                 | No            |                  2 | On Loan: No      |
| New York City Housing Development Corporation | MULTIFAMILY REVENUE BONDS    | CUSIP: 64972CSJ3<br>LEI: 549300SQWVHKBRF8D702 | Long             | ABS-MBS          | MUN               | US        |   5000000 | PA      | $4941846.50   | 0.08%             | 2045-11-01      | Fixed         | 2.95%                 | No            |                  2 | On Loan: No      |
| MASSACHUSETTS HOUSING FINANCE AGENCY          | MULTIFAMILY REVENUE BONDS    | CUSIP: N/A<br>LEI: 549300NLJBK1VP6K2K81       | Long             | ABS-MBS          | MUN               | US        |   9507423 | PA      | $7428094.58   | 0.12%             | 2058-12-01      | Fixed         | 3.85%                 | No            |                  2 | On Loan: No      |
| Connecticut Housing Finance Authority         | MULTIFAMILY REVENUE BONDS    | CUSIP: 20775CPS7<br>LEI: 5493003DXX0NRJKSH186 | Long             | ABS-MBS          | MUN               | US        |  12095117 | PA      | $8778135.91   | 0.15%             | 2050-05-15      | Fixed         | 3.25%                 | No            |                  2 | On Loan: No      |
| New York City Housing Development Corporation | MULTIFAMILY REVENUE BONDS    | CUSIP: 64972CM67<br>LEI: 549300SQWVHKBRF8D702 | Long             | ABS-MBS          | MUN               | US        |  20540173 | PA      | $15532848.52  | 0.26%             | 2046-10-01      | Fixed         | 3.10%                 | No            |                  2 | On Loan: No      |
| Chicago Housing Authority                     | MULTIFAMILY REVENUE BONDS    | CUSIP: 16753QBH9<br>LEI: N/A                  | Long             | ABS-MBS          | MUN               | US        |  25000000 | PA      | $22344857.50  | 0.37%             | 2038-01-01      | Fixed         | 4.36%                 | No            |                  2 | On Loan: No      |
| New York City Housing Development Corporation | MULTIFAMILY REVENUE BONDS    | CUSIP: 64972C8S5<br>LEI: 549300SQWVHKBRF8D702 | Long             | ABS-MBS          | MUN               | US        |  14555194 | PA      | $13028675.37  | 0.22%             | 2043-11-01      | Fixed         | 3.95%                 | No            |                  2 | On Loan: No      |
| New York City Housing Development Corporation | MULTIFAMILY REVENUE BONDS    | CUSIP: 64972C8T3<br>LEI: 549300SQWVHKBRF8D702 | Long             | ABS-MBS          | MUN               | US        |   9325133 | PA      | $8274539.68   | 0.14%             | 2048-11-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| New York City Housing Development Corporation | MULTIFAMILY REVENUE BONDS    | CUSIP: 64972C8U0<br>LEI: 549300SQWVHKBRF8D702 | Long             | ABS-MBS          | MUN               | US        |   8305135 | PA      | $7317235.69   | 0.12%             | 2053-11-01      | Fixed         | 4.13%                 | No            |                  2 | On Loan: No      |
| New York City Housing Development Corporation | MULTIFAMILY REVENUE BONDS    | CUSIP: 64972EHL6<br>LEI: 549300SQWVHKBRF8D702 | Long             | ABS-MBS          | MUN               | US        |  12000000 | PA      | $9125422.80   | 0.15%             | 2049-11-01      | Fixed         | 3.25%                 | No            |                  2 | On Loan: No      |
| New York City Housing Development Corporation | MULTIFAMILY REVENUE BONDS    | CUSIP: 64972EHM4<br>LEI: 549300SQWVHKBRF8D702 | Long             | ABS-MBS          | MUN               | US        |  20000000 | PA      | $14964806.00  | 0.25%             | 2054-11-01      | Fixed         | 3.35%                 | No            |                  2 | On Loan: No      |
| New York City Housing Development Corporation | MULTIFAMILY REVENUE BONDS    | CUSIP: 64972EHN2<br>LEI: 549300SQWVHKBRF8D702 | Long             | ABS-MBS          | MUN               | US        |  20000000 | PA      | $14952914.00  | 0.25%             | 2059-05-01      | Fixed         | 3.45%                 | No            |                  2 | On Loan: No      |
| MASSACHUSETTS HOUSING FINANCE AGENCY          | MULTIFAMILY REVENUE BONDS    | CUSIP: 57587AZ35<br>LEI: 549300NLJBK1VP6K2K81 | Long             | ABS-MBS          | MUN               | US        |   8345305 | PA      | $5903757.56   | 0.10%             | 2059-12-01      | Fixed         | 3.30%                 | No            |                  2 | On Loan: No      |
| MASSACHUSETTS HOUSING FINANCE AGENCY          | MULTIFAMILY REVENUE BONDS    | CUSIP: N/A<br>LEI: 549300NLJBK1VP6K2K81       | Long             | ABS-MBS          | MUN               | US        |  32283700 | PA      | $31425945.92  | 0.52%             | 2023-09-01      | Fixed         | 2.15%                 | No            |                  2 | On Loan: No      |
| MASSACHUSETTS HOUSING FINANCE AGENCY          | MULTIFAMILY REVENUE BONDS    | CUSIP: N/A<br>LEI: 549300NLJBK1VP6K2K81       | Long             | ABS-MBS          | MUN               | US        |   4466698 | PA      | $4436906.22   | 0.07%             | 2023-09-01      | Fixed         | 2.15%                 | No            |                  2 | On Loan: No      |
| MASSACHUSETTS HOUSING FINANCE AGENCY          | MULTIFAMILY REVENUE BONDS    | CUSIP: 57587GAA3<br>LEI: 549300NLJBK1VP6K2K81 | Long             | ABS-MBS          | MUN               | US        |  26410000 | PA      | $15596449.27  | 0.26%             | 2063-06-01      | Fixed         | 2.60%                 | No            |                  2 | On Loan: No      |
| MASSACHUSETTS HOUSING FINANCE AGENCY          | MULTIFAMILY REVENUE BONDS    | CUSIP: 57587GAB1<br>LEI: 549300NLJBK1VP6K2K81 | Long             | ABS-MBS          | MUN               | US        |  10020000 | PA      | $9796151.20   | 0.16%             | 2023-12-01      | Fixed         | 0.50%                 | No            |                  2 | On Loan: No      |
| Illinois Housing Development Authority        | MULTIFAMILY REVENUE BONDS    | CUSIP: 45202BHV1<br>LEI: 54930053Z6M9JVHBQZ16 | Long             | ABS-MBS          | MUN               | US        |  84893399 | PA      | $58494021.81  | 0.97%             | 2041-07-01      | Fixed         | 2.07%                 | No            |                  2 | On Loan: No      |
| New York City Housing Development Corporation | MULTIFAMILY REVENUE BONDS    | CUSIP: 64972EUS6<br>LEI: 549300SQWVHKBRF8D702 | Long             | ABS-MBS          | MUN               | US        |  13000000 | PA      | $8689942.30   | 0.14%             | 2046-11-01      | Fixed         | 3.05%                 | No            |                  2 | On Loan: No      |
| New York City Housing Development Corporation | MULTIFAMILY REVENUE BONDS    | CUSIP: 64972EUR8<br>LEI: 549300SQWVHKBRF8D702 | Long             | ABS-MBS          | MUN               | US        |   6275000 | PA      | $4488877.73   | 0.07%             | 2041-11-01      | Fixed         | 2.95%                 | No            |                  2 | On Loan: No      |
| Illinois Housing Development Authority        | MULTIFAMILY REVENUE BONDS    | CUSIP: 45202BHW9<br>LEI: 54930053Z6M9JVHBQZ16 | Long             | ABS-MBS          | MUN               | US        |    470039 | PA      | $449545.55    | 0.01%             | 2024-12-01      | Fixed         | 0.40%                 | No            |                  2 | On Loan: No      |
| Illinois Housing Development Authority        | MULTIFAMILY REVENUE BONDS    | CUSIP: 45202BHX7<br>LEI: 54930053Z6M9JVHBQZ16 | Long             | ABS-MBS          | MUN               | US        |  27733395 | PA      | $19347268.14  | 0.32%             | 2042-01-01      | Fixed         | 2.06%                 | No            |                  2 | On Loan: No      |
| Illinois Housing Development Authority        | MULTIFAMILY REVENUE BONDS    | CUSIP: 45202BJZ0<br>LEI: 54930053Z6M9JVHBQZ16 | Long             | ABS-MBS          | MUN               | US        |  21782696 | PA      | $13634857.34  | 0.23%             | 2062-07-01      | Fixed         | 2.65%                 | No            |                  2 | On Loan: No      |
| City of St. Louis Park, MN                    | MULTIFAMILY REVENUE BONDS    | CUSIP: N/A<br>LEI: 549300F6X6Q4H3ALF786       | Long             | ABS-MBS          | MUN               | US        |  20574706 | PA      | $19890390.97  | 0.33%             | 2026-01-01      | Fixed         | 2.93%                 | No            |                  2 | On Loan: No      |
| New York City Housing Development Corporation | MULTIFAMILY REVENUE BONDS    | CUSIP: 64972EZ51<br>LEI: 549300SQWVHKBRF8D702 | Long             | ABS-MBS          | MUN               | US        |   2000000 | PA      | $1962295.40   | 0.03%             | 2037-11-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| New York City Housing Development Corporation | MULTIFAMILY REVENUE BONDS    | CUSIP: 64972EZ69<br>LEI: 549300SQWVHKBRF8D702 | Long             | ABS-MBS          | MUN               | US        |   5000000 | PA      | $4851790.00   | 0.08%             | 2040-11-01      | Fixed         | 4.13%                 | No            |                  2 | On Loan: No      |
| New York City Housing Development Corporation | MULTIFAMILY REVENUE BONDS    | CUSIP: 64972E2C2<br>LEI: 549300SQWVHKBRF8D702 | Long             | ABS-MBS          | MUN               | US        |   3000000 | PA      | $2849332.80   | 0.05%             | 2045-11-01      | Fixed         | 4.30%                 | No            |                  2 | On Loan: No      |
| MASSACHUSETTS HOUSING FINANCE AGENCY          | MULTIFAMILY REVENUE BONDS    | CUSIP: 57587GRD9<br>LEI: 549300NLJBK1VP6K2K81 | Long             | ABS-MBS          | MUN               | US        |  53458351 | PA      | $54936649.69  | 0.91%             | 2066-06-01      | Fixed         | 5.11%                 | No            |                  2 | On Loan: No      |
| MASSACHUSETTS HOUSING FINANCE AGENCY          | MULTIFAMILY REVENUE BONDS    | CUSIP: 57587GUS2<br>LEI: 549300NLJBK1VP6K2K81 | Long             | ABS-MBS          | MUN               | US        |  26658605 | PA      | $26107447.78  | 0.43%             | 2066-06-01      | Fixed         | 4.90%                 | No            |                  2 | On Loan: No      |
| Ambac Assurance Corporation                   | MULTIFAMILY PERMANENT MBS    | CUSIP: N/A<br>LEI: 549300RYYRVPPB8NC636       | Long             | ABS-MBS          | MUN               | US        |   2864814 | PA      | $2840156.14   | 0.05%             | 2047-12-01      | Fixed         | 6.20%                 | No            |                  2 | On Loan: No      |
| Ambac Assurance Corporation                   | MULTIFAMILY PERMANENT MBS    | CUSIP: N/A<br>LEI: 549300RYYRVPPB8NC636       | Long             | ABS-MBS          | MUN               | US        |    878949 | PA      | $865515.60    | 0.01%             | 2048-11-01      | Fixed         | 6.40%                 | No            |                  2 | On Loan: No      |
| United States Department of the Treasury      | US Treasury                  | CUSIP: 9128284V9<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   9886805 | PA      | $9414904.00   | 0.16%             | 2028-08-15      | Fixed         | 2.88%                 | No            |                  2 | On Loan: No      |
| United States Department of the Treasury      | US Treasury                  | CUSIP: 912828YS3<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  30026662 | PA      | $26173356.00  | 0.43%             | 2029-11-15      | Fixed         | 1.75%                 | No            |                  2 | On Loan: No      |
| United States Department of the Treasury      | US Treasury                  | CUSIP: 912828Z94<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  36313947 | PA      | $29817889.50  | 0.49%             | 2030-02-15      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| United States Department of the Treasury      | US Treasury                  | CUSIP: 91282CBL4<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  24176537 | PA      | $20375737.50  | 0.34%             | 2031-02-15      | Fixed         | 1.13%                 | No            |                  2 | On Loan: No      |
| United States Department of the Treasury      | US Treasury                  | CUSIP: 912810SY5<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  43292465 | PA      | $31577002.80  | 0.52%             | 2041-05-15      | Fixed         | 2.25%                 | No            |                  2 | On Loan: No      |
| United States Department of the Treasury      | US Treasury                  | CUSIP: 912810TA6<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  19475421 | PA      | $13707116.00  | 0.23%             | 2041-08-15      | Fixed         | 1.75%                 | No            |                  2 | On Loan: No      |
| United States Department of the Treasury      | US Treasury                  | CUSIP: 912810TC2<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   6659296 | PA      | $5005271.60   | 0.08%             | 2041-11-15      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| United States Department of the Treasury      | US Treasury                  | CUSIP: 912810TF5<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  15294512 | PA      | $11457931.50  | 0.19%             | 2042-02-15      | Fixed         | 2.38%                 | No            |                  2 | On Loan: No      |
| United States Department of the Treasury      | US Treasury                  | CUSIP: 91282CDY4<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  14060918 | PA      | $12718359.00  | 0.21%             | 2032-02-15      | Fixed         | 1.88%                 | No            |                  2 | On Loan: No      |
| United States Department of the Treasury      | US Treasury                  | CUSIP: 91282CEP2<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  14889219 | PA      | $13827771.00  | 0.23%             | 2032-05-15      | Fixed         | 2.88%                 | No            |                  2 | On Loan: No      |
| United States Department of the Treasury      | US Treasury                  | CUSIP: 912810TJ7<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  18131932 | PA      | $16574048.00  | 0.28%             | 2052-08-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| United States Department of the Treasury      | US Treasury                  | CUSIP: 912810TM0<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  14758185 | PA      | $14695366.50  | 0.24%             | 2042-11-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| United States Department of the Treasury      | US Treasury                  | CUSIP: 91282CFX4<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  25042933 | PA      | $25002667.50  | 0.41%             | 2024-11-30      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| N/A                                           | MULTIFAMILY CONSTRUCTION     | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |  12914908 | PA      | $12698818.96  | 0.21%             | 2024-12-19      | Floating      | 6.54%                 | No            |                  3 | On Loan: No      |
| N/A                                           | MULTIFAMILY CONSTRUCTION     | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |  75360951 | PA      | $74360431.60  | 1.23%             | 2024-12-19      | Floating      | 6.54%                 | No            |                  3 | On Loan: No      |
| N/A                                           | MULTIFAMILY CONSTRUCTION     | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |  35637377 | PA      | $34315580.17  | 0.57%             | 2024-10-01      | Fixed         | 4.05%                 | No            |                  3 | On Loan: No      |
| N/A                                           | MULTIFAMILY CONSTRUCTION     | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |  14952812 | PA      | $14264775.00  | 0.24%             | 2024-06-01      | Fixed         | 3.45%                 | No            |                  3 | On Loan: No      |
| N/A                                           | MULTIFAMILY CONSTRUCTION     | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |  22428205 | PA      | $21535323.96  | 0.36%             | 2023-12-01      | Fixed         | 3.45%                 | No            |                  3 | On Loan: No      |
| N/A                                           | MULTIFAMILY CONSTRUCTION     | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |  15960805 | PA      | $15854974.89  | 0.26%             | 2023-12-10      | Floating      | 6.12%                 | No            |                  3 | On Loan: No      |
| N/A                                           | MULTIFAMILY CONSTRUCTION     | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |     35812 | PA      | $-155209.78   | 0.00%             | 2023-12-10      | Floating      | 6.32%                 | No            |                  3 | On Loan: No      |
| N/A                                           | MULTIFAMILY CONSTRUCTION     | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |   8267939 | PA      | $8236167.49   | 0.14%             | 2023-03-01      | Fixed         | 3.25%                 | No            |                  3 | On Loan: No      |
| N/A                                           | MULTIFAMILY CONSTRUCTION     | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |  10986915 | PA      | $10718664.00  | 0.18%             | 2023-12-31      | Fixed         | 3.50%                 | No            |                  3 | On Loan: No      |
| N/A                                           | MULTIFAMILY CONSTRUCTION     | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |   9449097 | PA      | $9492266.02   | 0.16%             | 2024-01-31      | Floating      | 10.38%                | No            |                  3 | On Loan: No      |
| N/A                                           | MULTIFAMILY CONSTRUCTION     | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |   1628164 | PA      | $1775795.10   | 0.03%             | 2024-11-19      | Floating      | 6.86%                 | No            |                  3 | On Loan: No      |
| N/A                                           | MULTIFAMILY CONSTRUCTION     | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |   7505225 | PA      | $6722479.53   | 0.11%             | 2024-12-01      | Fixed         | 3.60%                 | No            |                  3 | On Loan: No      |
| N/A                                           | MULTIFAMILY CONSTRUCTION     | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |    451932 | PA      | $-254373.22   | 0.00%             | 2024-06-01      | Fixed         | 3.60%                 | No            |                  3 | On Loan: No      |
| N/A                                           | MULTIFAMILY CONSTRUCTION     | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |   4961620 | PA      | $4541706.48   | 0.08%             | 2024-06-01      | Fixed         | 3.75%                 | No            |                  3 | On Loan: No      |
| N/A                                           | MULTIFAMILY CONSTRUCTION     | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |    -33190 | PA      | $-131649.83   | 0.00%             | 2023-12-01      | Fixed         | 3.75%                 | No            |                  3 | On Loan: No      |
| N/A                                           | MULTIFAMILY CONSTRUCTION     | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |   1371800 | PA      | $905345.86    | 0.02%             | 2025-11-20      | Fixed         | 4.04%                 | No            |                  3 | On Loan: No      |
| N/A                                           | MULTIFAMILY CONSTRUCTION     | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |     37488 | PA      | $-133821.51   | 0.00%             | 2025-04-01      | Floating      | 5.80%                 | No            |                  3 | On Loan: No      |
| N/A                                           | MULTIFAMILY CONSTRUCTION     | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |   -100776 | PA      | $-42103.23    | 0.00%             | 2025-04-01      | Floating      | 6.40%                 | No            |                  3 | On Loan: No      |
| N/A                                           | MULTIFAMILY CONSTRUCTION     | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |   2539124 | PA      | $2494138.25   | 0.04%             | 2024-09-10      | Floating      | 6.15%                 | No            |                  3 | On Loan: No      |
| HIT Advisers, LLC                             | Equity                       | CUSIP: N/A<br>LEI: N/A                        | Long             | EC               |  | US        |       999 | OU      | $236251.78    | 0.00%             | N/A             | None          |  | No            |                  3 | On Loan: No      |
| N/A                                           | US Treasury Futures          | CUSIP: N/A<br>LEI: N/A                        | N/A              | DCO              |  | US        |       400 | NC      | $1191079.14   | 0.02%             | N/A             | None          |  | No            |                  1 | On Loan: No      |

### Signature

**Date Signed:** 2023-02-27

**Name of Applicant:** AFL CIO Housing Investment Trust

**Signature:** /s/ Nicholas C. Milano

**Name of Signer:** Nicholas C. Milano

**Title:** General Counsel